{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "import plotly.graph_objects as go\n", "\n", "from black_76 import *" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "# 这里定价模型做了改造，兼容到期日的计算\n", "def calculate_option_pnl(\n", " s: float,\n", " k: float,\n", " r: float,\n", " t: float,\n", " v: float,\n", " cp: int,\n", " price: float\n", ") -> float:\n", " \"\"\"计算单一期权到期盈亏\"\"\"\n", " p: float = calculate_price(s, k, r, t, v, cp)\n", " return p - price" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "# legs中的每个元素为字典，具体键包括k、cp、price、pos\n", "def calculate_spread_pnl(\n", " s: float,\n", " r: float,\n", " t: float,\n", " v: float,\n", " legs: list\n", ") -> float:\n", " \"\"\"计算期权价差权到期盈亏\"\"\"\n", " pnl: float = 0\n", "\n", " for leg in legs:\n", " p: float = calculate_price(s, leg[\"k\"], r, t, v, leg[\"cp\"])\n", " pnl += (p - leg[\"price\"]) * leg[\"pos\"]\n", "\n", " return pnl" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [], "source": [ "def plot_option_spread(\n", " underlying_prices: list[float],\n", " r: float,\n", " t: float,\n", " v: float,\n", " legs: list\n", "):\n", " results: dict = {}\n", "\n", " for s in underlying_prices:\n", " pnl: float = calculate_spread_pnl(s, r, t, v, legs)\n", " results[s] = pnl\n", "\n", " fig = go.Figure(data=go.Scatter(x=list(results.keys()), y=list(results.values())))\n", " fig.show()\n", "\n", " return results" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [], "source": [ "def calculate_option_spread(\n", " underlying_prices: list[float],\n", " r: float,\n", " t: float,\n", " v: float,\n", " legs: list\n", ") -> list[float]:\n", " results: dict = {}\n", "\n", " for s in underlying_prices:\n", " pnl: float = calculate_spread_pnl(s, r, t, v, legs)\n", " results[s] = pnl\n", "\n", " return results" ] }, { "cell_type": "code", "execution_count": 26, "metadata": {}, "outputs": [], "source": [ "# 定价参数\n", "underlying_prices = range(2500, 3550, 50)\n", "option_strike = 3000\n", "discount_rate = 0.03\n", "expiry_time = 0 # 到期日当天\n", "pricing_volatility = 0.2\n", "option_type = 1\n", "option_price = 70" ] }, { "cell_type": "code", "execution_count": 27, "metadata": {}, "outputs": [], "source": [ "# 跨式价差\n", "legs = [\n", " {\n", " \"k\": 3000,\n", " \"cp\": 1,\n", " \"price\": 70,\n", " \"pos\": 1\n", " },\n", " {\n", " \"k\": 3000,\n", " \"cp\": -1,\n", " \"price\": 70,\n", " \"pos\": 1\n", " }\n", "]" ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [], "source": [ "# 牛市价差\n", "legs = [\n", " {\n", " \"k\": 3000,\n", " \"cp\": 1,\n", " \"price\": 70,\n", " \"pos\": 1\n", " },\n", " {\n", " \"k\": 3200,\n", " \"cp\": 1,\n", " \"price\": 30,\n", " \"pos\": -1\n", " }\n", "\n", "]" ] }, { "cell_type": "code", "execution_count": 28, "metadata": {}, "outputs": [ { "data": { 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