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import array
import datetime
import math
import numpy as np
import pandas as pd
from .black import black
from .utils import GHquad
from .index import g
from yieldcurve import roll_yc
from pandas.tseries.offsets import BDay
from pyisda.curve import SpreadCurve
from pyisda.flat_hazard import strike_vec
from scipy.optimize import brentq
from scipy.integrate import simps
def calib(S0, fp, exercise_date : datetime.date, exercise_date_settle :datetime.date,
index, rolled_curve, tilt, w):
S = S0 * tilt * 1e-4
a, b = strike_vec(S, rolled_curve, exercise_date, exercise_date_settle,
index.start_date, index.end_date, index.recovery)
vec = a - index.fixed_rate * b * 1e-4
return np.inner(vec, w) - fp
def ATMstrike(index, exercise_date : datetime.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
eta = 1.1
a = index.spread
b = index.spread * eta
while True:
if closure(b) > 0:
break
b *= eta
return brentq(closure, a, b)
class Swaption:
def __init__(self, index, exercise_date : datetime.date, strike : float, option_type="payer"):
self.index = index
self._exercise_date = exercise_date
self._forward_yc = roll_yc(self.index._yc, self.exercise_date)
self.exercise_date_settle = (pd.Timestamp(self.exercise_date) + 3* BDay()).date()
self._T = None
self.strike = strike
self.option_type = option_type.lower()
self._Z, self._w = GHquad(50)
self.notional = 1
@property
def exercise_date(self):
return self._exercise_date
@exercise_date.setter
def exercise_date(self, d : datetime.date):
self._exercise_date = d
self.exercise_date_settle = (pd.Timestamp(d) + 3* BDay()).date()
self._forward_yc = roll_yc(self.index._yc, self.exercise_date)
@property
def pv(self):
fp = self.index.forward_pv(self.exercise_date) / self.index.notional
T = self.T
tilt = np.exp(-self.sigma**2/2 * T + self.sigma * self._Z * math.sqrt(T))
rolled_curve = roll_yc(self.index._yc, self.exercise_date)
args = (fp, self.exercise_date, self.exercise_date_settle,
self.index, self._forward_yc, tilt, self._w)
eta = 1.1
a = self.index.spread
b = self.index.spread * eta
while True:
if calib(*((b,) + args)) > 0:
break
b *= eta
S0 = brentq(calib, a, b, args)
G = g(self.index, self.strike, self.exercise_date)
if T == 0:
pv = self.notional * (g(self.index, self.index.spread, self.exercise_date) - G)
if self.option_type == "payer":
return pv if self.index.spread > self.strike else 0
else:
return - pv if self.index.spread < self.strike else 0
Zstar = (math.log(self.strike/S0) + self.sigma**2/2 * T) / \
(self.sigma * math.sqrt(T))
if self.option_type == "payer":
Z = Zstar + np.logspace(0, 1.5, 300) - 1
elif self.option_type == "receiver":
Z = Zstar - np.logspace(0, 1.5, 300) + 1
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))
a, b = strike_vec(S * 1e-4, rolled_curve, self.exercise_date,
self.exercise_date_settle,
self.index.start_date, self.index.end_date, self.index.recovery)
val = ((a - b * self.index.fixed_rate*1e-4) - G) * 1/math.sqrt(2*math.pi) * np.exp(-Z**2/2)
df_scale = self.index._yc.discount_factor(self.exercise_date_settle)
return self.notional * simps(val, Z) * df_scale
@property
def pv2(self):
G = g(self.index, self.strike, self.exercise_date)
fp = self.index.forward_pv(self.exercise_date) / self.index.notional
forward_annuity = self.index.forward_annuity(self.exercise_date)
DA_forward_spread = fp / forward_annuity + self.index.fixed_rate * 1e-4
strike_tilde = self.index.fixed_rate * 1e-4 + G / forward_annuity
return forward_annuity * black(DA_forward_spread,
strike_tilde,
self.T,
self.sigma,
self.option_type) * self.notional
@property
def delta(self):
old_index_pv = self.index.pv
old_pv = self.pv
self.index.spread += 0.1
notional_ratio = self.index.notional/self.notional
delta = (self.pv - old_pv)/(self.index.pv - old_index_pv) * notional_ratio
self.index.spread -= 0.1
return delta
@property
def T(self):
if self._T:
return self._T
else:
return ((self.exercise_date - self.index.trade_date).days + 1)/365
@property
def gamma(self):
pass
@property
def theta(self):
old_pv = self.pv
self._T = self.T - 1/365
theta = self.pv - old_pv
self._T = None
return theta
@property
def vega(self):
old_pv = self.pv
self.sigma += 0.01
vega = self.pv - old_pv
self.sigma -= 0.01
return vega
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