# -*- coding: utf-8 -*-
"""
vollib.black_scholes.greeks.numerical
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
A library for option pricing, implied volatility, and
greek calculation. vollib is based on lets_be_rational,
a Python wrapper for LetsBeRational by Peter Jaeckel as
described below.
:copyright: © 2015 Iota Technologies Pte Ltd
:license: MIT, see LICENSE for more details.
About LetsBeRational:
~~~~~~~~~~~~~~~~~~~~~~~
The source code of LetsBeRational resides at www.jaeckel.org/LetsBeRational.7z .
::
======================================================================================
Copyright © 2013-2014 Peter Jäckel.
Permission to use, copy, modify, and distribute this software is freely granted,
provided that this notice is preserved.
WARRANTY DISCLAIMER
The Software is provided "as is" without warranty of any kind, either express or implied,
including without limitation any implied warranties of condition, uninterrupted use,
merchantability, fitness for a particular purpose, or non-infringement.
======================================================================================
"""
# -----------------------------------------------------------------------------
# IMPORTS
# Standard library imports
import numpy
# Related third party imports
# Local application/library specific imports
from vollib.black_scholes import black_scholes
from vollib.black_scholes import python_black_scholes
# numerical greeks
from vollib.helper.numerical_greeks import delta as numerical_delta
from vollib.helper.numerical_greeks import vega as numerical_vega
from vollib.helper.numerical_greeks import theta as numerical_theta
from vollib.helper.numerical_greeks import rho as numerical_rho
from vollib.helper.numerical_greeks import gamma as numerical_gamma
# analytical greeks
from vollib.black_scholes.greeks.analytical import gamma as agamma
from vollib.black_scholes.greeks.analytical import delta as adelta
from vollib.black_scholes.greeks.analytical import vega as avega
from vollib.black_scholes.greeks.analytical import rho as arho
from vollib.black_scholes.greeks.analytical import theta as atheta
# -----------------------------------------------------------------------------
# FUNCTIONS - NUMERICAL GREEK CALCULATION
f = lambda flag, S, K, t, r, sigma, b: python_black_scholes(flag, S, K, t, r, sigma)
[docs]def delta(flag, S, K, t, r, sigma):
"""Return Black-Scholes delta of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
:type r: float
:param flag: 'c' or 'p' for call or put.
:type flag: str
"""
b = r
return numerical_delta(flag, S, K, t, r, sigma, b, f)
[docs]def theta(flag, S, K, t, r, sigma):
"""Return Black-Scholes theta of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
:type r: float
:param flag: 'c' or 'p' for call or put.
:type flag: str
"""
b = r
return numerical_theta(flag, S, K, t, r, sigma, b, f)
[docs]def vega(flag, S, K, t, r, sigma):
"""Return Black-Scholes vega of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
:type r: float
:param flag: 'c' or 'p' for call or put.
:type flag: str
"""
b = r
return numerical_vega(flag, S, K, t, r, sigma, b, f)
[docs]def rho(flag, S, K, t, r, sigma):
"""Return Black-Scholes rho of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
:type r: float
:param flag: 'c' or 'p' for call or put.
:type flag: str
"""
b = r
return numerical_rho(flag, S, K, t, r, sigma, b, f)
[docs]def gamma(flag, S, K, t, r, sigma):
"""Return Black-Scholes gamma of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
:type r: float
:param flag: 'c' or 'p' for call or put.
:type flag: str
"""
b = r
return numerical_gamma(flag, S, K, t, r, sigma, b, f)
[docs]def test():
"""Test by comparing analytical and numerical values.
>>> S = 49
>>> K = 50
>>> r = .05
>>> t = 0.3846
>>> sigma = 0.2
>>> flag = 'c'
>>> epsilon = .0001
>>> v1 = delta(flag, S, K, t, r, sigma)
>>> v2 = adelta(flag, S, K, t, r, sigma)
>>> abs(v1-v2)<epsilon
True
>>> v1 = gamma(flag, S, K, t, r, sigma)
>>> v2 = agamma(flag, S, K, t, r, sigma)
>>> abs(v1-v2)<epsilon
True
>>> v1 = rho(flag, S, K, t, r, sigma)
>>> v2 = arho(flag, S, K, t, r, sigma)
>>> abs(v1-v2)<epsilon
True
>>> v1 = vega(flag, S, K, t, r, sigma)
>>> v2 = avega(flag, S, K, t, r, sigma)
>>> abs(v1-v2)<epsilon
True
>>> v1 = theta(flag, S, K, t, r, sigma)
>>> v2 = atheta(flag, S, K, t, r, sigma)
>>> abs(v1-v2)<epsilon
True
"""
pass
[docs]def hull_book_tests():
"""
Example 17.1, page 355, Hull:
>>> S = 49
>>> K = 50
>>> r = .05
>>> t = 0.3846
>>> sigma = 0.2
>>> flag = 'c'
>>> delta_calc = delta(flag, S, K, t, r, sigma)
>>> # 0.521601633972
>>> delta_text_book = 0.522
>>> abs(delta_calc - delta_text_book) < .01
True
Example 17.2, page 359, Hull:
>>> S = 49
>>> K = 50
>>> r = .05
>>> t = 0.3846
>>> sigma = 0.2
>>> flag = 'c'
>>> annual_theta_calc = theta(flag, S, K, t, r, sigma) * 365
>>> # -4.30538996455
>>> annual_theta_text_book = -4.31
>>> abs(annual_theta_calc - annual_theta_text_book) < .01
True
Example 17.4, page 364, Hull:
>>> S = 49
>>> K = 50
>>> r = .05
>>> t = 0.3846
>>> sigma = 0.2
>>> flag = 'c'
>>> gamma_calc = gamma(flag, S, K, t, r, sigma)
>>> # 0.0655453772525
>>> gamma_text_book = 0.066
>>> abs(gamma_calc - gamma_text_book) < .001
True
Example 17.6, page 367, Hull:
>>> S = 49
>>> K = 50
>>> r = .05
>>> t = 0.3846
>>> sigma = 0.2
>>> flag = 'c'
>>> vega_calc = vega(flag, S, K, t, r, sigma)
>>> # 0.121052427542
>>> vega_text_book = 0.121
>>> abs(vega_calc - vega_text_book) < .01
True
Example 17.7, page 368, Hull:
>>> S = 49
>>> K = 50
>>> r = .05
>>> t = 0.3846
>>> sigma = 0.2
>>> flag = 'c'
>>> rho_calc = rho(flag, S, K, t, r, sigma)
>>> # 0.089065740988
>>> rho_text_book = 0.0891
>>> abs(rho_calc - rho_text_book) < .0001
True
"""
# -----------------------------------------------------------------------------
# MAIN
if __name__=='__main__':
import doctest
if not doctest.testmod().failed:
print "Doctest passed"