diff options
| -rw-r--r-- | python/analytics/index.py | 11 | ||||
| -rw-r--r-- | python/analytics/option.py | 21 |
2 files changed, 14 insertions, 18 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 85842d15..75a3e0b2 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -21,25 +21,24 @@ from bbg_helpers import BBG_IP, retrieve_data, init_bbg_session from yieldcurve import get_curve, rate_helpers, YC, ql_to_jp from weakref import WeakSet -def g(index, spread, exercise_date, forward_yc=None, pv=None): +def g(index, spread, exercise_date, pv=None): """computes the strike clean price using the expected forward yield curve. """ - if forward_yc is None: - forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) exercise_date_settle = pd.Timestamp(exercise_date) + 3 * BDay() if spread is None and index._sc is not None: sc = index._sc - prot = index._default_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, + prot = index._default_leg.pv(exercise_date, step_in_date, + exercise_date_settle, index._yc, index._sc, index.recovery) else: rates = array.array('d', [spread * 1e-4]) upfront = 0. if pv is None else pv - sc = SpreadCurve(exercise_date, forward_yc, index.start_date, + sc = SpreadCurve(exercise_date, index._yc, index.start_date, step_in_date, exercise_date_settle, [index.end_date], rates, array.array('d', [upfront]), array.array('d', [index.recovery])) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, - forward_yc, sc, True) + index._yc, sc, True) if pv is not None: return 1e4 * pv / a + spread diff --git a/python/analytics/option.py b/python/analytics/option.py index 9a829b15..4617cdc7 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -34,9 +34,9 @@ from scipy.optimize import least_squares from scipy.special import logit, expit def calib(S0, fp, exercise_date, exercise_date_settle, - index, rolled_curve, tilt, w): + index, tilt, w): S = S0 * tilt * 1e-4 - pv = pv_vec(S, rolled_curve, exercise_date, exercise_date_settle, + pv = pv_vec(S, index._yc, exercise_date, exercise_date_settle, index.start_date, index.end_date, index.recovery, index.fixed_rate * 1e-4) return np.inner(pv, w) - fp @@ -75,13 +75,12 @@ def ATMstrike(index, exercise_date): class BlackSwaption(ForwardIndex): """Swaption class""" - __slots__ = ['_forward_yc', '_T', '_G', '_strike', 'option_type', + __slots__ = ['_T', '_G', '_strike', 'option_type', 'notional', 'sigma', '_original_pv', '_direction'] def __init__(self, index, exercise_date, strike, option_type="payer", direction="Long"): ForwardIndex.__init__(self, index, exercise_date, False) - self._forward_yc = roll_yc(index._yc, exercise_date) self._T = None self.strike = strike self.option_type = option_type.lower() @@ -121,12 +120,11 @@ class BlackSwaption(ForwardIndex): def exercise_date(self, d): self.forward_date = d ForwardIndex.__init__(self, self.index, d) - self._forward_yc = roll_yc(self.index._yc, d) if self.index._quote_is_price: self._strike = g(self.index, self.index.fixed_rate, - self.exercise_date, self._forward_yc, self._G) + self.exercise_date, self._G) else: - self._G = g(self.index, K, self.exercise_date, self._forward_yc) + self._G = g(self.index, K, self.exercise_date) @property def strike(self): @@ -140,11 +138,10 @@ class BlackSwaption(ForwardIndex): if self.index._quote_is_price: self._G = (100 - K) / 100 self._strike = g(self.index, self.index.fixed_rate, - self.exercise_date, self._forward_yc, self._G) + self.exercise_date, self._G) else: - self._G = g(self.index, K, self.exercise_date, self._forward_yc) + self._G = g(self.index, K, self.exercise_date) self._strike = K - #self._G = g(self.index, K, self.exercise_date) @property def atm_strike(self): @@ -374,7 +371,7 @@ class Swaption(BlackSwaption): T = self.T tilt = np.exp(-self.sigma**2/2 * T + self.sigma * self._Z * math.sqrt(T)) args = (self.forward_pv, self.exercise_date, self.exercise_date_settle, - self.index, self._forward_yc, tilt, self._w) + self.index, tilt, self._w) eta = 1.05 a = self.index.spread * 0.99 b = a * eta @@ -397,7 +394,7 @@ class Swaption(BlackSwaption): else: raise ValueError("option_type needs to be either 'payer' or 'receiver'") S = S0 * np.exp(-self.sigma**2/2 * T + self.sigma * Z * math.sqrt(T)) - r = pv_vec(S * 1e-4, self._forward_yc, self.exercise_date, + r = pv_vec(S * 1e-4, self.index._yc, self.exercise_date, self.exercise_date_settle, self.index.start_date, self.index.end_date, self.index.recovery, self.index.fixed_rate * 1e-4) val = (r - self._G) * 1/math.sqrt(2*math.pi) * np.exp(-Z**2/2) |