1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
|
# Copyright (C) 2004 StatPro Italia srl
#
# This file is part of QuantLib, a free-software/open-source library
# for financial quantitative analysts and developers - http://quantlib.org/
#
# QuantLib is free software: you can redistribute it and/or modify it under the
# terms of the QuantLib license. You should have received a copy of the
# license along with this program; if not, please email quantlib-dev@lists.sf.net
# The license is also available online at http://quantlib.org/html/license.html
#
# This program is distributed in the hope that it will be useful, but WITHOUT
# ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
# FOR A PARTICULAR PURPOSE. See the license for more details.
from QuantLib import *
# global data
todaysDate = Date(15,May,1998)
Settings.instance().evaluationDate = todaysDate
settlementDate = Date(17,May,1998)
riskFreeRate = FlatForward(settlementDate, 0.06, Actual365Fixed())
# option parameters
exercise = AmericanExercise(settlementDate, Date(17,May,1999))
payoff = PlainVanillaPayoff(Option.Put, 40.0)
# market data
underlying = SimpleQuote(36.0)
volatility = BlackConstantVol(todaysDate, 0.20, Actual365Fixed())
dividendYield = FlatForward(settlementDate, 0.00, Actual365Fixed())
# report
header = '%19s' % 'method' + ' |' + \
' |'.join(['%17s' % tag for tag in ['value',
'estimated error',
'actual error' ] ])
print
print header
print '-'*len(header)
refValue = None
def report(method, x, dx = None):
e = '%.4f' % abs(x-refValue)
x = '%.5f' % x
if dx:
dx = '%.4f' % dx
else:
dx = 'n/a'
print '%19s' % method + ' |' + \
' |'.join(['%17s' % y for y in [x, dx, e] ])
# good to go
process = BlackScholesProcess(QuoteHandle(underlying),
YieldTermStructureHandle(dividendYield),
YieldTermStructureHandle(riskFreeRate),
BlackVolTermStructureHandle(volatility))
option = VanillaOption(process, payoff, exercise)
refValue = 4.48667344
report('reference value',refValue)
# method: analytic
option.setPricingEngine(BaroneAdesiWhaleyEngine())
report('Barone-Adesi-Whaley',option.NPV())
option.setPricingEngine(BjerksundStenslandEngine())
report('Bjerksund-Stensland',option.NPV())
# method: finite differences
timeSteps = 801
gridPoints = 800
option.setPricingEngine(FDAmericanEngine(timeSteps,gridPoints))
report('finite differences',option.NPV())
# method: binomial
timeSteps = 801
option.setPricingEngine(BinomialEuropeanEngine('jr',timeSteps))
report('binomial (JR)',option.NPV())
option.setPricingEngine(BinomialEuropeanEngine('crr',timeSteps))
report('binomial (CRR)',option.NPV())
option.setPricingEngine(BinomialEuropeanEngine('eqp',timeSteps))
report('binomial (EQP)',option.NPV())
option.setPricingEngine(BinomialEuropeanEngine('trigeorgis',timeSteps))
report('bin. (Trigeorgis)',option.NPV())
option.setPricingEngine(BinomialEuropeanEngine('tian',timeSteps))
report('binomial (Tian)',option.NPV())
option.setPricingEngine(BinomialEuropeanEngine('lr',timeSteps))
report('binomial (LR)',option.NPV())
|
