kevindkeogh/opt-pricer
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Fix bugs, clean up code, standardize MC Greeks

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This commit is contained in:
Kevin Keogh
2017-07-25 23:10:05 -04:00
parent 15d750abf1
commit 785c546ba3
4 changed files with 39 additions and 27 deletions
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2
src/black_scholes.c
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@@ -22,5 +22,5 @@ void bsm(struct Option *opt)
price = opt->spot * normalcdf(d1 * opt->type) * opt->type - opt->strike * price = opt->spot * normalcdf(d1 * opt->type) * opt->type - opt->strike *
exp(-opt->rfr * tte) * normalcdf(d2 * opt->type) * opt->type; exp(-opt->rfr * tte) * normalcdf(d2 * opt->type) * opt->type;
opt->fv = price; opt->fv = price;
opt->vega = opt->spot * exp(-opt->rfr * tte) * pow(tte, 0.5) * normalpdf(d1); opt->vega = opt->spot / 100 * exp(-opt->rfr * tte) * pow(tte, 0.5) * normalpdf(d1);
} }

18
src/gbm_mc.c
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@@ -35,25 +35,25 @@ void gbm(struct Option *opt)
rand = gaussrand(); rand = gaussrand();
level = gbm_simulation(opt->spot, opt->rfr, opt->vol, tte, rand); level = gbm_simulation(opt->spot, opt->rfr, opt->vol, tte, rand);
base += max((level - opt->strike) * opt->type, 0); base += max((level - opt->strike) * opt->type, 0);
level = gbm_simulation(opt->spot + 0.01, opt->rfr, opt->vol, tte, rand); level = gbm_simulation(opt->spot + 1, opt->rfr, opt->vol, tte, rand);
delta_shift += max((level - opt->strike) * opt->type, 0); delta_shift += max((level - opt->strike) * opt->type, 0);
level = gbm_simulation(opt->spot, opt->rfr, opt->vol + 0.01, tte, rand); level = gbm_simulation(opt->spot, opt->rfr, opt->vol + 0.01, tte, rand);
vega_shift += max((level - opt->strike) * opt->type, 0); vega_shift += max((level - opt->strike) * opt->type, 0);
level = gbm_simulation(opt->spot, opt->rfr, opt->vol, tte + 1/365, rand); level = gbm_simulation(opt->spot, opt->rfr, opt->vol, tte - 1./365., rand);
theta_shift += max((level - opt->strike) * opt->type, 0); theta_shift += max((level - opt->strike) * opt->type, 0);
level = gbm_simulation(opt->spot, opt->rfr + 0.0001, opt->vol, tte, rand); level = gbm_simulation(opt->spot, opt->rfr + 0.01, opt->vol, tte, rand);
rho_shift += max((level - opt->strike) * opt->type, 0); rho_shift += max((level - opt->strike) * opt->type, 0);
} }
price = base / opt->sims * 1 / pow((1 + opt->rfr), tte); price = base / opt->sims * 1 / pow((1 + opt->rfr), tte);
delta = delta_shift / opt->sims * 1 / pow((1 + opt->rfr), tte); delta = delta_shift / opt->sims * 1 / pow((1 + opt->rfr), tte);
vega = vega_shift / opt->sims * 1 / pow((1 + opt->rfr), tte); vega = vega_shift / opt->sims * 1 / pow((1 + opt->rfr), tte);
theta = theta_shift / opt->sims * 1 / pow((1 + opt->rfr), tte); theta = theta_shift / opt->sims * 1 / pow((1 + opt->rfr), tte - 1./365.);
rho = rho_shift / opt->sims * 1 / pow((1 + opt->rfr), tte); rho = rho_shift / opt->sims * 1 / pow((1 + opt->rfr + 0.01), tte);
opt->fv = price; opt->fv = price;
opt->delta = (delta - price) * 100 * opt->spot; opt->delta = (delta - price);
opt->vega = (vega - price) * opt->spot; opt->vega = (vega - price);
opt->theta = (theta - price) * opt->spot; opt->theta = (theta - price);
opt->rho = (rho - price) * opt->spot; opt->rho = (rho - price);
} }

42
src/opt-pricer.c
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@@ -73,7 +73,7 @@ int print_help(void)
int main(int argc, char *argv[]) int main(int argc, char *argv[])
{ {
double spot = 0, strike = 0, rfr = 0, vol = 0, sims = 1000; double spot = 0, strike = 0, rfr = 0, vol = 0, sims = 1000;
char expiry_date[11], value_date[11], buffer[1024]; char expiry_date[11], value_date[11];
int opt, option_index = 0, type = 0; int opt, option_index = 0, type = 0;
struct tm value, expiry; struct tm value, expiry;
struct Option bs_opt, mc_opt; struct Option bs_opt, mc_opt;
@@ -84,7 +84,9 @@ int main(int argc, char *argv[])
memset(&expiry, 0, sizeof(expiry)); memset(&expiry, 0, sizeof(expiry));
memset(&value, 0, sizeof(value)); memset(&value, 0, sizeof(value));
while ((opt = getopt_long(argc, argv, "s:k:r:v:d:e:N:cp:h", long_options, &option_index)) != -1) { srand(time(NULL));
while ((opt = getopt_long(argc, argv, "s:k:r:v:d:e:N:cph", long_options, &option_index)) != -1) {
switch (opt) { switch (opt) {
case 's': case 's':
if (sscanf(optarg, "%lf", &spot) == EOF) { if (sscanf(optarg, "%lf", &spot) == EOF) {
@@ -133,14 +135,16 @@ int main(int argc, char *argv[])
return 1; return 1;
} }
bs_opt.spot = spot; bs_opt.spot = mc_opt.spot = spot;
bs_opt.strike = strike; bs_opt.strike = mc_opt.strike = strike;
bs_opt.expiry_date = &expiry; bs_opt.expiry_date = mc_opt.expiry_date = &expiry;
bs_opt.value_date = &value; bs_opt.value_date = mc_opt.value_date = &value;
bs_opt.rfr = rfr; bs_opt.rfr = mc_opt.rfr = rfr;
bs_opt.vol = vol; bs_opt.vol = mc_opt.vol = vol;
bs_opt.type = type; bs_opt.type = mc_opt.type = type;
mc_opt.sims = sims;
/*
mc_opt.spot = spot; mc_opt.spot = spot;
mc_opt.strike = strike; mc_opt.strike = strike;
mc_opt.expiry_date = &expiry; mc_opt.expiry_date = &expiry;
@@ -148,13 +152,13 @@ int main(int argc, char *argv[])
mc_opt.rfr = rfr; mc_opt.rfr = rfr;
mc_opt.vol = vol; mc_opt.vol = vol;
mc_opt.type = type; mc_opt.type = type;
mc_opt.sims = sims; */
strftime(expiry_date, 11, "%Y-%m-%d", &expiry); strftime(expiry_date, 11, "%Y-%m-%d", &expiry);
strftime(value_date, 11, "%Y-%m-%d", &value); strftime(value_date, 11, "%Y-%m-%d", &value);
bsm(&bs_opt); bsm(&bs_opt);
gbm(&mc_opt); gbm(&mc_opt);
sprintf(&buffer[0], printf(
"\nValuation date: %s\n\n" "\nValuation date: %s\n\n"
" | BS Analytic | BS Monte Carlo |\n" " | BS Analytic | BS Monte Carlo |\n"
" ---------------------------------------------\n" " ---------------------------------------------\n"
@@ -167,11 +171,11 @@ int main(int argc, char *argv[])
" |sims: | %4.2f| %4.2f|\n" " |sims: | %4.2f| %4.2f|\n"
" |exp: | %4.2s| %4.2f|\n" " |exp: | %4.2s| %4.2f|\n"
*/ */
" |Fair value: | %10.2f | %13.2f |\n" " |Fair value: | %8.4f | %11.4f |\n"
" |Delta: | %10.2f | %13.2f |\n" " |Delta: | %8.4f | %11.4f |\n"
" |Vega: | %10.2f | %13.2f |\n" " |Vega: | %8.4f | %11.4f |\n"
" |Theta: | %8.4f | %11.4f |\n" " |Theta: | %8.4f | %11.4f |\n"
" |Rho : | %8.4f | %11.4f |\n\n", " |Rho: | %8.4f | %11.4f |\n",
value_date, value_date,
bs_opt.type, mc_opt.type, bs_opt.type, mc_opt.type,
bs_opt.spot, mc_opt.spot, bs_opt.spot, mc_opt.spot,
@@ -183,6 +187,12 @@ int main(int argc, char *argv[])
bs_opt.vega, mc_opt.vega, bs_opt.vega, mc_opt.vega,
bs_opt.theta, mc_opt.theta, bs_opt.theta, mc_opt.theta,
bs_opt.rho, mc_opt.rho); bs_opt.rho, mc_opt.rho);
printf("%s", buffer); printf(
" ---------------------------------------------\n\n"
);
/*
printf("%s", buffer1);
printf("%s", buffer2);
*/
return 0; return 0;
} }

4
src/utils.h
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@@ -1,6 +1,8 @@
#ifndef UTILS_H #ifndef UTILS_H
#define UTILS_H #define UTILS_H
void srand(unsigned int seed);
double normalcdf(double z); double normalcdf(double z);
double normalpdf(double z); double normalpdf(double z);
@@ -18,7 +20,7 @@ struct Option {
double spot; double spot;
double rfr; double rfr;
double vol; double vol;
int sims; long sims;
/* fv and greeks */ /* fv and greeks */
double fv; double fv;