基于蒙特卡洛算法实现期权定价python源码.zip

# -*- coding: utf-8 -*- """ Created on Mon Mar 22 15:16:39 2021 @author: these """ from S_sim_class import * from options_class import * def pricing_MC0(payoff_func,S_sim): pass def pricing_snowball_basic_MC(self,payoff_func,Spast,K,startdate,enddate,curdate,r,b,sigma,\ T_year_interest,T_day_interest_noofdays_func,\ mu,knock_out_dates,knock_out_ratio,\ knock_out_payoff_yearly_rates,knock_in_ratio,knock_in_option_payoff,\ nothing_happens_payoff_yearly_rates,S_sim_class,\ T_year_S_sim=tday_year,date_series_funcs=tday_interval,date_noofdays_funcs=tday_noofdays,\ date_series_gen_args={},S_gen_args={'freq':1,'MC_M':10},tag3=''): if curdate==enddate: temp=payoff_func(Spast,K=K,startdate=startdate,enddate=enddate,curdate=curdate,\ knock_out_dates=knock_out_dates,knock_out_ratio=knock_out_ratio,\ T_day_interest_noofdays_func=T_day_interest_noofdays_func,T_year_interest=T_year_interest,\ knock_in_option_payoff=knock_in_option_payoff,\ knock_out_payoff_yearly_rates=knock_out_payoff_yearly_rates,knock_in_ratio=knock_in_ratio,\ nothing_happens_payoff_yearly_rates=nothing_happens_payoff_yearly_rates) return({'pricing':temp['payoff_amount'],'pricing_detail':temp['payoff_amount'],'tag':tag3+'over;'}) past_knock_out_dates=[i for i in knock_out_dates if i in Spast.index[:-1]] if len(past_knock_out_dates)>0: if Spast.loc[past_knock_out_dates].iloc[:-1,0].max()>K*knock_out_ratio: return({'pricing':None,'pricing_detail':[],'tag':tag3+'already_over;'}) if curdate in knock_out_dates: if Spast.loc[curdate,0]>K*knock_out_ratio: temp=knock_out_payoff_yearly_rates*T_day_interest_noofdays_func(startdate,curdate)/T_year_interest return({'pricing':temp,'pricing_detail':[temp],'tag':tag3+'over;'}) Sfuture=S_sim_class(startdate=curdate,enddate=enddate,S0=Spast.iloc[-1,0],r=r,b=b,\ sigma=sigma,T_year=T_year_S_sim,date_series_funcs=date_series_funcs,\ date_noofdays_funcs=date_noofdays_funcs,tag='') Sfuture.date_series_gen(**date_series_gen_args) Sfuture.S_gen(**S_gen_args) pricing_result=[] for i in range(Sfuture.S.shape[1]): Sall=pd.concat([Spast.iloc[:-1,0],Sfuture.S.iloc[:,i]]) temp=payoff_func(Sall,K=K,startdate=startdate,enddate=enddate,curdate=curdate,\ knock_out_dates=knock_out_dates,knock_out_ratio=knock_out_ratio,\ T_day_interest_noofdays_func=T_day_interest_noofdays_func,T_year_interest=T_year_interest,\ knock_in_option_payoff=knock_in_option_payoff,\ knock_out_payoff_yearly_rates=knock_out_payoff_yearly_rates,knock_in_ratio=knock_in_ratio,\ nothing_happens_payoff_yearly_rates=nothing_happens_payoff_yearly_rates) if temp["payoff_time"]>=curdate: discount_days=date_noofdays_funcs(curdate,temp["payoff_time"]) pricing_result.append(temp["payoff_amount"]*np.exp(-r*discount_days/T_year_S_sim)) # discount_days=naturalday_noofdays(curdate,temp["payoff_time"]) # pricing_result.append(temp["payoff_amount"]*np.exp(-r*discount_days/T_year_interest)) return({'pricing':np.mean(pricing_result),'pricing_detail':pricing_result,'tag':tag3+';'+Sfuture.tag}) snowball_basic.pricing_snowball_basic_MC=pricing_snowball_basic_MC def greeks_basic_diff(self,pricing_func,Spast,K,sigma,r,b,enddate,margin,requirements,**other_pricing_func_args): SpastToday=Spast.iloc[-1,0] Spast_plus=Spast.copy(deep=True) Spast_plus.iloc[-1,0]=SpastToday*(1+margin) Spast_minus=Spast.copy(deep=True) Spast_minus.iloc[-1,0]=SpastToday*(1-margin) result={} if 'delta' in requirements: result['delta']=(pricing_func(Spast=Spast_plus,r=r,b=b,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing']-\ pricing_func(Spast=Spast_minus,r=r,b=b,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing'] )*K/(2*margin*SpastToday) if 'gamma' in requirements: result['gamma']=(pricing_func(Spast=Spast_plus,r=r,b=b,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing']+\ pricing_func(Spast=Spast_minus,r=r,b=b,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing']-\ 2*pricing_func(Spast=Spast,r=r,b=b,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing'] )*K/(margin**2)/(SpastToday**2) if 'vega' in requirements: result['vega']=(pricing_func(Spast=Spast,r=r,b=b,K=K,sigma=sigma*(1+margin),enddate=enddate,**other_pricing_func_args)['pricing']-\ pricing_func(Spast=Spast,r=r,b=b,K=K,sigma=sigma*(1-margin),enddate=enddate,**other_pricing_func_args)['pricing'] )*K/(2*margin*sigma) r_plus=(1+margin)*r b_plus=(1+margin)*r-(r-b) r_minus=(1-margin)*r b_minus=(1-margin)*r-(r-b) if 'rho' in requirements: result['rho']=(pricing_func(Spast=Spast,r=r_plus,b=b_plus,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing']-\ pricing_func(Spast=Spast,r=r_minus,b=b_minus,K=K,sigma=sigma,enddate=enddate,**other_pricing_func_args)['pricing'] )*K/(2*margin*r) return(result) options.greeks_basic_diff=greeks_basic_diff #snow1.greeks_basic_diff(snow1.pricing_snowball_basic_MC,Spast,K,sigma,r,b,enddate,0.01,\ # startdate=startdate,payoff_func=payoff_func,curdate=curdate,\ # T_year_interest=T_year_interest,T_day_interest_noofdays_func=T_day_interest_noofdays_func,\ # mu=mu,knock_out_dates=knock_out_dates,knock_out_ratio=knock_out_ratio,\ # knock_out_payoff_yearly_rates=knock_out_payoff_yearly_rates,knock_in_ratio=knock_in_ratio,knock_in_option_payoff=knock_in_option_payoff,\ # nothing_happens_payoff_yearly_rates=nothing_happens_payoff_yearly_rates,S_sim_class=S_sim_class,\ # T_year_S_sim=tday_year,date_series_funcs=tday_interval,date_noofdays_funcs=tday_noofdays,\ # date_series_gen_args={},S_gen_args={'freq':1,'MC_M':1000},tag3='',requirements=['delta','gamma']) #quickly_set_params(snow1.greeks_basic_diff,snow1) #temp_args=quickly_set_params(snow1.pricing_snowball_basic_MC,snow1) #temp_args[2] #snow1.greeks_basic_diff(pricing_func=snow1.pricing_snowball_basic_MC,sigma=0.3,mu=snow1.b,S_sim_class=S_sim_BS,requirements=['delta'],margin=0.01,**dict(temp_args[0],**temp_args[1]))