Fix exported struct fields
This commit is contained in:
Kevin
98
models.go
98
models.go
@@ -25,24 +25,24 @@ func (t RFC8601Time) MarshalJSON() ([]byte, error) {
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// Option struct that holds all the details of an option
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// Option details
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type Option struct {
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optType int64
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strike float64
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expiryDate RFC8601Time
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OptType int64
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Strike float64
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ExpiryDate RFC8601Time
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// Market data
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valueDate RFC8601Time
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spot float64
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rfr float64
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vol float64
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sims int64
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ValueDate RFC8601Time
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Spot float64
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Rfr float64
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Vol float64
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Sims int64
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// Results
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fv float64
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delta float64
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vega float64
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rho float64
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gamma float64
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theta float64
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FV float64
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Delta float64
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Vega float64
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Rho float64
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Gamma float64
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Theta float64
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}
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// Single simulation of Geometric Brownian Motion
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@@ -62,46 +62,46 @@ func RunSimulations(opt *Option) {
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var i int64
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var level float64
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levels := make([]float64, opt.sims)
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levels := make([]float64, opt.Sims)
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tte := opt.expiryDate.Sub(opt.valueDate).Hours() / (24 * 365)
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tte := opt.ExpiryDate.Sub(opt.ValueDate).Hours() / (24 * 365)
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for i = 0; i < opt.sims; i++ {
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for i = 0; i < opt.Sims; i++ {
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randNum := rand.NormFloat64()
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// Base
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levels[i] = gbmSimulation(opt.spot, opt.rfr, opt.vol, tte, randNum)
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opt.fv += math.Max((levels[i]-opt.strike)*float64(opt.optType), 0)
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levels[i] = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte, randNum)
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opt.FV += math.Max((levels[i]-opt.Strike)*float64(opt.OptType), 0)
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// Delta
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level = gbmSimulation(opt.spot+0.0001, opt.rfr, opt.vol, tte, randNum)
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opt.delta += math.Max((level-opt.strike)*float64(opt.optType), 0)
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level = gbmSimulation(opt.Spot+0.0001, opt.Rfr, opt.Vol, tte, randNum)
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opt.Delta += math.Max((level-opt.Strike)*float64(opt.OptType), 0)
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// Gamma -- TODO: Doesn't look right
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level = gbmSimulation(opt.spot+0.0001, opt.rfr, opt.vol, tte, randNum)
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level += gbmSimulation(opt.spot-0.0001, opt.rfr, opt.vol, tte, randNum)
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level -= 2 * gbmSimulation(opt.spot, opt.rfr, opt.vol, tte, randNum)
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opt.gamma += math.Max((level-opt.strike)*float64(opt.optType), 0)
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level = gbmSimulation(opt.Spot+0.0001, opt.Rfr, opt.Vol, tte, randNum)
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level += gbmSimulation(opt.Spot-0.0001, opt.Rfr, opt.Vol, tte, randNum)
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level -= 2 * gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte, randNum)
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opt.Gamma += math.Max((level-opt.Strike)*float64(opt.OptType), 0)
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// Vega
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level = gbmSimulation(opt.spot, opt.rfr, opt.vol+0.0001, tte, randNum)
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opt.vega += math.Max((level-opt.strike)*float64(opt.optType), 0)
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level = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol+0.0001, tte, randNum)
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opt.Vega += math.Max((level-opt.Strike)*float64(opt.OptType), 0)
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// Theta
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level = gbmSimulation(opt.spot, opt.rfr, opt.vol, tte-1./365, randNum)
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opt.theta += math.Max((level-opt.strike)*float64(opt.optType), 0)
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level = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte-1./365, randNum)
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opt.Theta += math.Max((level-opt.Strike)*float64(opt.OptType), 0)
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// Rho -- TODO: Doesn't look right
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level = gbmSimulation(opt.spot, opt.rfr+0.0001, opt.vol, tte, randNum)
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opt.rho += math.Max((level-opt.strike)*float64(opt.optType), 0)
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level = gbmSimulation(opt.Spot, opt.Rfr+0.0001, opt.Vol, tte, randNum)
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opt.Rho += math.Max((level-opt.Strike)*float64(opt.OptType), 0)
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}
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df := math.Exp(-opt.rfr * tte)
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opt.fv = opt.fv / float64(opt.sims) * df
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opt.delta = (opt.delta/float64(opt.sims)*df - opt.fv) / 0.0001
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opt.gamma = (opt.gamma/float64(opt.sims)*df - opt.fv) / 10000
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opt.vega = (opt.vega/float64(opt.sims)*df - opt.fv) / 0.01
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opt.theta = (opt.theta/float64(opt.sims)*math.Exp(-opt.rfr*(tte-1./365)) - opt.fv) / -(1. / 365)
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opt.rho = (opt.rho/float64(opt.sims)*math.Exp(-(opt.rfr+0.01)*tte) - opt.fv)
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df := math.Exp(-opt.Rfr * tte)
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opt.FV = opt.FV / float64(opt.Sims) * df
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opt.Delta = (opt.Delta/float64(opt.Sims)*df - opt.FV) / 0.0001
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opt.Gamma = (opt.Gamma/float64(opt.Sims)*df - opt.FV) / 10000
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opt.Vega = (opt.Vega/float64(opt.Sims)*df - opt.FV) / 0.01
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opt.Theta = (opt.Theta/float64(opt.Sims)*math.Exp(-opt.Rfr*(tte-1./365)) - opt.FV) / -(1. / 365)
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opt.Rho = (opt.Rho/float64(opt.Sims)*math.Exp(-(opt.Rfr+0.01)*tte) - opt.FV)
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}
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/*
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@@ -138,18 +138,18 @@ func main() {
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`,
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value.Format("2006-01-02"),
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"Call", "Call",
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opt.spot, opt.spot,
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opt.Spot, opt.Spot,
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expiry.Format("2006-01-02"), expiry.Format("2006-01-02"),
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opt.strike, opt.strike,
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opt.rfr*100, opt.rfr*100,
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opt.vol*100, opt.vol*100,
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opt.fv, opt.fv,
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opt.delta, opt.delta,
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opt.gamma, opt.gamma,
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opt.vega, opt.vega,
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opt.theta, opt.theta,
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opt.rho, opt.rho,
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opt.sims)
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opt.Strike, opt.Strike,
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opt.Rfr*100, opt.Rfr*100,
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opt.Vol*100, opt.Vol*100,
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opt.FV, opt.FV,
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opt.Delta, opt.Delta,
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opt.Gamma, opt.Gamma,
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opt.Vega, opt.Vega,
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opt.Theta, opt.Theta,
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opt.Rho, opt.Rho,
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opt.Sims)
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}
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*/
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