

In [97]:

    
from uqer import Client
from uqer import DataAPI as api
from QuantLib import *



In [98]:

    
_ = Client(token='f1b9bea1d0b4e489c5ab9b69c3e2326a1bee6057af858067dbd1546453f428b2')









    



16937@wmcloud.com 账号登录成功



In [99]:

    
maturity_date = Date(15, 9, 2018)
start_date = Date(15, 3, 2018)

spot = 1.

risk_free = 0.035
dividend_rate = 0.0
volatility = 0.50
day_count = Actual365Fixed()
calendar = China(China.SSE)

Market Data



In [100]:

    
calculation_date = start_date
Settings.instance().evaluationDate = calculation_date

spot_handle = RelinkableQuoteHandle(SimpleQuote(spot))
vol_handle =  RelinkableQuoteHandle(SimpleQuote(volatility))

flat_ts = YieldTermStructureHandle(FlatForward(calculation_date, risk_free, day_count))
dividend_yield = YieldTermStructureHandle(FlatForward(calculation_date, dividend_rate, day_count))
flat_vol_ts = BlackVolTermStructureHandle(BlackConstantVol(calculation_date, calendar, vol_handle, day_count))

bsm_process = BlackScholesMertonProcess(spot_handle, dividend_yield, flat_ts, flat_vol_ts)

Analytic Digital Option

1. 参数



In [101]:

    
strike = 1.1 * spot
cash_pay = 0.05 * spot

2. 计算



In [107]:

    
payoff = CashOrNothingPayoff(Option.Call, strike, cash_pay)
exercise = EuropeanExercise(maturity_date)
option = EuropeanOption(payoff, exercise)



In [108]:

    
%%time
engine = AnalyticEuropeanEngine(bsm_process)
option.setPricingEngine(engine)

bsm_price = option.NPV()
bsm_delta = option.delta()
print("BSM european digital theoreticl price is {0:.4f}%".format(bsm_price * 100.))
print("BSM european digital theoreticl delta is {0:.4f}%".format(bsm_delta * 100.))









    



BSM european digital theoreticl price is 1.6995%
BSM european digital theoreticl delta is 5.1037%
Wall time: 1.01 ms

Analytic Spread Option

1. 参数



In [119]:

    
strike1 = 1.1 * spot
strike2 = 1.2 * spot

leverage = 0.9

2. 计算



In [120]:

    
payoff = GapPayoff(Option.Call, strike1, strike2)
exercise = EuropeanExercise(maturity_date)
option = EuropeanOption(payoff, exercise)



In [121]:

    
%%time
engine = AnalyticEuropeanEngine(bsm_process)
option.setPricingEngine(engine)

bsm_price = option.NPV() * leverage
bsm_delta = option.delta() * leverage
print("BSM european spread theoreticl price is {0:.4f}%".format(bsm_price * 100.))
print("BSM european spread theoreticl delta is {0:.4f}%".format(bsm_delta * 100.))









    



BSM european spread theoreticl price is 6.8093%
BSM european spread theoreticl delta is 34.3318%
Wall time: 999 µs



In [122]:

    
GapPayoff?



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