diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 16 |
1 files changed, 9 insertions, 7 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index b05fe374..27ee9059 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -1,3 +1,5 @@ +from __future__ import division + import array import datetime import math @@ -14,7 +16,7 @@ from pyisda.flat_hazard import pv_vec from scipy.optimize import brentq from scipy.integrate import simps -def calib(S0, fp, exercise_date : datetime.date, exercise_date_settle :datetime.date, +def calib(S0, fp, exercise_date, exercise_date_settle, index, rolled_curve, tilt, w): S = S0 * tilt * 1e-4 pv = pv_vec(S, rolled_curve, exercise_date, exercise_date_settle, @@ -22,7 +24,7 @@ def calib(S0, fp, exercise_date : datetime.date, exercise_date_settle :datetime. index.fixed_rate * 1e-4) return np.inner(pv, w) - fp -def ATMstrike(index, exercise_date : datetime.date): +def ATMstrike(index, exercise_date): exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() fp = index.forward_pv(exercise_date) / index.notional closure = lambda S: g(index, S, exercise_date) - fp @@ -37,7 +39,7 @@ def ATMstrike(index, exercise_date : datetime.date): class Swaption(ForwardIndex): """Swaption class""" - def __init__(self, index, exercise_date : datetime.date, strike : float, + def __init__(self, index, exercise_date, strike, option_type="payer", strike_is_price = False): ForwardIndex.__init__(self, index, exercise_date, strike_is_price) self._exercise_date = exercise_date @@ -54,7 +56,7 @@ class Swaption(ForwardIndex): return self._exercise_date @exercise_date.setter - def exercise_date(self, d : datetime.date): + def exercise_date(self, d): self._exercise_date = d ForwardIndex.__init__(self, self.index, d) self._forward_yc = roll_yc(self.index._yc, d) @@ -68,7 +70,7 @@ class Swaption(ForwardIndex): return self._strike @strike.setter - def strike(self, K : float): + def strike(self, K): if self._strike_is_price: self._G = (100 - K) / 100 # we compute the corresponding spread to the strike price @@ -127,7 +129,7 @@ class Swaption(ForwardIndex): return self.notional * simps(val, Z) * self.df @pv.setter - def pv(self, val: float): + def pv(self, val): if np.isnan(val): raise ValueError("val is nan") if val < self.intrinsic_value: @@ -161,7 +163,7 @@ class Swaption(ForwardIndex): self.sigma, self.option_type) * self.notional @pv_black.setter - def pv_black(self, val: float): + def pv_black(self, val): if np.isnan(val): raise ValueError("val is nan") if val < self.intrinsic_value: |