import pandas as pd from sets import Set from app.processor.strategy.entity.StrategyCalculatorDataBean import * from app.model.BlackScholesCalculator import * from app.entity.ConstantValue import * class StrategyCalculatorProcessor: @staticmethod # calculate by TTM def calculateOptions(strategyCalculatorDataBean): bs = BlackScholesCalculator() market = strategyCalculatorDataBean.marketInfo scenario = strategyCalculatorDataBean.scenario portfolio = strategyCalculatorDataBean.portfolio price = market.stockPrice dividendYield = market.dividendYield riskfreeRate = market.riskfreeRate optionMultiplier = market.optionMultiplier for posi in portfolio: tradeDirection = 1. if posi.buyOrSell == ConstantValue.BUY else -1. if posi.callOrPutOrStock == ConstantValue.STOCK: posi.value = tradeDirection * posi.quantity * price posi.delta = posi.value else: expiry = posi.expiryDays / 365. if expiry <= 0: posi.value = optionMultiplier * tradeDirection * posi.quantity * \ StrategyCalculatorProcessor.getProfitValue(posi.callOrPutOrStock, price, posi.strike) posi.delta = 0 posi.gamma = 0 posi.theta = 0 posi.vega = 0 posi.rho = 0 else: posi.value = optionMultiplier * tradeDirection * posi.quantity * bs.getValue(posi.callOrPutOrStock, price, posi.strike, posi.volatility, expiry, dividendYield, riskfreeRate) posi.delta = optionMultiplier * tradeDirection * posi.quantity * bs.getDelta(posi.callOrPutOrStock, price, posi.strike, posi.volatility, expiry, dividendYield, riskfreeRate) posi.delta *= price posi.gamma = optionMultiplier * tradeDirection * posi.quantity * bs.getGamma(price, posi.strike, posi.volatility, expiry, dividendYield, riskfreeRate) posi.gamma = posi.gamma * 0.5 * price * price posi.theta = optionMultiplier * tradeDirection * posi.quantity * bs.getTheta(posi.callOrPutOrStock, price, posi.strike, posi.volatility, expiry, dividendYield, riskfreeRate) posi.vega = optionMultiplier * tradeDirection * posi.quantity * bs.getVega(price, posi.strike, posi.volatility, expiry, dividendYield, riskfreeRate) posi.rho = optionMultiplier * tradeDirection * posi.quantity * bs.getRho(posi.callOrPutOrStock, price, posi.strike, posi.volatility, expiry, dividendYield, riskfreeRate) posi.cost = -1. * posi.value @staticmethod def calculateOptionsByDaysElapsed(strategyCalculatorDataBean): bs = BlackScholesCalculator() market = strategyCalculatorDataBean.marketInfo scenario = strategyCalculatorDataBean.scenario portfolio = strategyCalculatorDataBean.scenarioResults price = scenario.stockPrice if price <= 0: scenario.stockPrice = market.stockPrice price = market.stockPrice daysFromToday = scenario.daysFromToday volatilityShift = scenario.volatility riskfreeRate = scenario.riskfreeRate dividendYield = scenario.dividendYield # limited to the minimum expiry days minExpiryDays = 0 for posi in portfolio: if posi.callOrPutOrStock == ConstantValue.STOCK: continue if minExpiryDays == 0 or minExpiryDays > posi.expiryDays: minExpiryDays = posi.expiryDays daysFromToday = min(daysFromToday, minExpiryDays) scenario.daysFromToday = daysFromToday optionMultiplier = market.optionMultiplier # limited to the minimum expiry days minExpiryDays = -1. for posi in portfolio: if posi.callOrPutOrStock == ConstantValue.STOCK: continue if minExpiryDays < 0 or minExpiryDays > posi.expiryDays: minExpiryDays = posi.expiryDays for posi in portfolio: tradeDirection = 1. if posi.buyOrSell == ConstantValue.BUY else -1. if posi.callOrPutOrStock == ConstantValue.STOCK: posi.cost = tradeDirection * posi.quantity * market.stockPrice else: posi.cost = optionMultiplier * tradeDirection * posi.quantity * \ bs.getValue(posi.callOrPutOrStock, market.stockPrice, posi.strike, posi.volatility, max(posi.expiryDays, 0.0001) / 365., market.dividendYield, market.riskfreeRate) posi.cost *= -1. if posi.callOrPutOrStock == ConstantValue.STOCK: posi.value = tradeDirection * posi.quantity * price posi.delta = posi.value else: volatility = posi.volatility + volatilityShift volatility = max(volatility, 0.0001) posi.volatility = volatility expiry = (posi.expiryDays - daysFromToday) / 365. if expiry <= 0: posi.value = optionMultiplier * tradeDirection * posi.quantity * \ StrategyCalculatorProcessor.getProfitValue(posi.callOrPutOrStock, price, posi.strike) posi.delta = 0 posi.gamma = 0 posi.theta = 0 posi.vega = 0 posi.rho = 0 else: posi.value = optionMultiplier * tradeDirection * posi.quantity * bs.getValue(posi.callOrPutOrStock, price, posi.strike, volatility, expiry, dividendYield, riskfreeRate) posi.delta = optionMultiplier * tradeDirection * posi.quantity * bs.getDelta(posi.callOrPutOrStock, price, posi.strike, volatility, expiry, dividendYield, riskfreeRate) posi.delta *= price posi.gamma = optionMultiplier * tradeDirection * posi.quantity * bs.getGamma(price, posi.strike, volatility, expiry, dividendYield, riskfreeRate) posi.gamma = posi.gamma * 0.5 * price * price posi.theta = optionMultiplier * tradeDirection * posi.quantity * bs.getTheta(posi.callOrPutOrStock, price, posi.strike, volatility, expiry, dividendYield, riskfreeRate) posi.vega = optionMultiplier * tradeDirection * posi.quantity * bs.getVega(price, posi.strike, volatility, expiry, dividendYield, riskfreeRate) posi.rho = optionMultiplier * tradeDirection * posi.quantity * bs.getRho(posi.callOrPutOrStock, price, posi.strike, volatility, expiry, dividendYield, riskfreeRate) @staticmethod def calculateChart(strategyCalculatorDataBean): bs = BlackScholesCalculator() market = strategyCalculatorDataBean.marketInfo scenario = strategyCalculatorDataBean.scenario portfolio = strategyCalculatorDataBean.portfolio optionMultiplier = market.optionMultiplier daysFromToday = scenario.daysFromToday volatilityShift = scenario.volatility plRiskfreeRate = scenario.riskfreeRate # x-axis range stockPrice = scenario.stockPrice if stockPrice <= 0: stockPrice = market.stockPrice if strategyCalculatorDataBean.axisMin > 0: plMin = strategyCalculatorDataBean.axisMin else: plMin = stockPrice * 0.1 if strategyCalculatorDataBean.axisMax > 0: plMax = strategyCalculatorDataBean.axisMax else: plMax = stockPrice * 2 plMin = max(0.01, round(plMin, 2)) priceStep = (float(plMax) - float(plMin)) / 36. priceStep = max(0.01, round(priceStep, 2)) plMax = max(plMax, plMin + priceStep * 35.) # set Min and Max strategyCalculatorDataBean.axisMin = plMin strategyCalculatorDataBean.axisMax = plMax # limited to the minimum expiry days minExpiryDays = 0 for posi in portfolio: if posi.callOrPutOrStock == ConstantValue.STOCK: continue if minExpiryDays == 0 or minExpiryDays > posi.expiryDays: minExpiryDays = posi.expiryDays daysFromToday = min(daysFromToday, minExpiryDays) scenario.daysFromToday = daysFromToday # series title if daysFromToday == 0: currentLabel = 'Today' else: strLabel = "{0:.0f}".format(daysFromToday) currentLabel = 'In ' + strLabel + '-days' dfcolumns = ['Stock Price', currentLabel, 'At Expiry', 'Time Value'] results = pd.DataFrame([], columns=dfcolumns) xAxisSet = Set([]) plCurrent = plMin while (plCurrent <= plMax): xAxisSet.add(plCurrent) plCurrent += priceStep for posi in portfolio: if posi.callOrPutOrStock != ConstantValue.STOCK: xAxisSet.add(posi.strike) xAxisList = list(xAxisSet) xAxisList.sort() #print 'xAxisList', xAxisList plCurrent = plMin #while (plCurrent <= plMax): for plCurrent in xAxisList: todayValue = 0. expiryValue = 0. totalPremium = 0. for posi in portfolio: tradeDirection = 1. if posi.buyOrSell == ConstantValue.BUY else -1. quantity = posi.quantity volatility = posi.volatility + volatilityShift volatility = max(volatility, 0.0001) expiryYears = (posi.expiryDays - daysFromToday) / 365. #totalPremium += posi.premium * tradeDirection * quantity if posi.callOrPutOrStock == ConstantValue.STOCK: posCost = tradeDirection * posi.quantity * market.stockPrice else: posCost = optionMultiplier * tradeDirection * posi.quantity * \ bs.getValue(posi.callOrPutOrStock, market.stockPrice, posi.strike, posi.volatility, max(posi.expiryDays, 0.0001) / 365., market.dividendYield, market.riskfreeRate) posCost *= -1. totalPremium += posCost if posi.callOrPutOrStock == ConstantValue.STOCK: theTodayValue = plCurrent theExpiryValue = plCurrent else: if expiryYears > 0: theTodayValue = optionMultiplier * bs.getValue(posi.callOrPutOrStock, plCurrent, posi.strike, volatility, expiryYears, market.dividendYield, plRiskfreeRate) else: theTodayValue = optionMultiplier * \ StrategyCalculatorProcessor.getProfitValue(posi.callOrPutOrStock, plCurrent, posi.strike) if posi.expiryDays > minExpiryDays: theExpiryValue = optionMultiplier * bs.getValue(posi.callOrPutOrStock, plCurrent, posi.strike, volatility, (posi.expiryDays - minExpiryDays) / 365., market.dividendYield, plRiskfreeRate) else: theExpiryValue = optionMultiplier * StrategyCalculatorProcessor.getProfitValue( posi.callOrPutOrStock, plCurrent, posi.strike) todayValue += theTodayValue * tradeDirection * quantity expiryValue += theExpiryValue * tradeDirection * quantity theResult = pd.DataFrame([[plCurrent, todayValue + totalPremium, expiryValue + totalPremium, 0.]], columns=dfcolumns) #theResult = pd.DataFrame([[plCurrent, todayValue, expiryValue, 0.]], columns=dfcolumns) results = results.append(theResult) #plCurrent += priceStep results['Time Value'] = results[currentLabel] - results['At Expiry'] chartValueDict = {'chartTitles':dfcolumns, 'chartValues': results} return ChartDataBean(**chartValueDict) @staticmethod def getProfitValue(optionType, stockPrice, strike): if optionType == ConstantValue.STOCK: return stockPrice elif optionType == ConstantValue.CALL: return max(stockPrice - strike, 0.) else: return max(strike - stockPrice, 0.)