2035 lines
43 KiB
Plaintext
2035 lines
43 KiB
Plaintext
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"execution_count": 11,
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"metadata": {},
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"outputs": [],
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"source": [
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"import plotly.graph_objects as go\n",
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"\n",
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"from black_76 import *"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 定价参数\n",
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"underlying_price = 3000\n",
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"option_strike = 3000\n",
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"discount_rate = 0.03\n",
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"expiry_time = 0 # 到期日当天\n",
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"pricing_volatility = 0.2\n",
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"option_type = 1\n",
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"option_price = 70"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 这里定价模型做了改造，兼容到期日的计算\n",
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"def calculate_option_pnl(\n",
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" s: float,\n",
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" k: float,\n",
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" r: float,\n",
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" t: float,\n",
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" v: float,\n",
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" cp: int,\n",
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" price: float\n",
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") -> float:\n",
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" \"\"\"计算单一期权到期盈亏\"\"\"\n",
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" p: float = calculate_price(s, k, r, t, v, cp)\n",
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" return p - price"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"-70"
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]
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},
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"execution_count": 4,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"# 测试到期日结果\n",
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"calculate_option_pnl(\n",
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" underlying_price,\n",
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" option_strike,\n",
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" discount_rate,\n",
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" expiry_time,\n",
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" pricing_volatility,\n",
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" option_type,\n",
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" option_price\n",
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")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 19,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 遍历不同到期情景计算结果\n",
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"results = {}\n",
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"\n",
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"for underlying_price in range(2000, 4050, 50):\n",
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" pnl = calculate_option_pnl(\n",
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" underlying_price,\n",
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" option_strike,\n",
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" discount_rate,\n",
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" expiry_time,\n",
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" pricing_volatility,\n",
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" option_type,\n",
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" option_price\n",
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" )\n",
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" results[underlying_price] = pnl"
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]
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},
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"#FFA15A",
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}
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"linecolor": "white",
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"linecolor": "white",
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"ticks": ""
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}
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},
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"title": {
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"x": 0.05
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},
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"xaxis": {
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"automargin": true,
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"gridcolor": "white",
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"linecolor": "white",
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"ticks": "",
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"title": {
|
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"standoff": 15
|
|
},
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"zerolinecolor": "white",
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"zerolinewidth": 2
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},
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"yaxis": {
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"automargin": true,
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"gridcolor": "white",
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"linecolor": "white",
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"ticks": "",
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"title": {
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"standoff": 15
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},
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"zerolinewidth": 2
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}
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}
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}
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}
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}
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},
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"metadata": {},
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"output_type": "display_data"
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}
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],
|
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"source": [
|
|
"# 使用Plotly绘图\n",
|
|
"fig = go.Figure(data=go.Scatter(x=list(results.keys()), y=list(results.values())))\n",
|
|
"fig.show()"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 25,
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": [
|
|
"# 加入多条腿计算组合盈亏\n",
|
|
"results = {}\n",
|
|
"\n",
|
|
"leg1_pos = 1 # 两条腿的专属参数\n",
|
|
"leg2_pos = 1\n",
|
|
"\n",
|
|
"leg1_type = 1\n",
|
|
"leg2_type = -1\n",
|
|
"\n",
|
|
"for underlying_price in range(2000, 4050, 50):\n",
|
|
" leg1_pnl = calculate_option_pnl(\n",
|
|
" underlying_price,\n",
|
|
" option_strike,\n",
|
|
" discount_rate,\n",
|
|
" expiry_time,\n",
|
|
" pricing_volatility,\n",
|
|
" leg1_type,\n",
|
|
" option_price\n",
|
|
" )\n",
|
|
"\n",
|
|
" leg2_pnl = calculate_option_pnl(\n",
|
|
" underlying_price,\n",
|
|
" option_strike,\n",
|
|
" discount_rate,\n",
|
|
" expiry_time,\n",
|
|
" pricing_volatility,\n",
|
|
" leg2_type,\n",
|
|
" option_price\n",
|
|
" )\n",
|
|
"\n",
|
|
" results[underlying_price] = leg1_pnl * leg1_pos + leg2_pnl * leg2_pos"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": 26,
|
|
"metadata": {},
|
|
"outputs": [
|
|
{
|
|
"data": {
|
|
"application/vnd.plotly.v1+json": {
|
|
"config": {
|
|
"plotlyServerURL": "https://plot.ly"
|
|
},
|
|
"data": [
|
|
{
|
|
"type": "scatter",
|
|
"x": [
|
|
2000,
|
|
2050,
|
|
2100,
|
|
2150,
|
|
2200,
|
|
2250,
|
|
2300,
|
|
2350,
|
|
2400,
|
|
2450,
|
|
2500,
|
|
2550,
|
|
2600,
|
|
2650,
|
|
2700,
|
|
2750,
|
|
2800,
|
|
2850,
|
|
2900,
|
|
2950,
|
|
3000,
|
|
3050,
|
|
3100,
|
|
3150,
|
|
3200,
|
|
3250,
|
|
3300,
|
|
3350,
|
|
3400,
|
|
3450,
|
|
3500,
|
|
3550,
|
|
3600,
|
|
3650,
|
|
3700,
|
|
3750,
|
|
3800,
|
|
3850,
|
|
3900,
|
|
3950,
|
|
4000
|
|
],
|
|
"y": [
|
|
860,
|
|
810,
|
|
760,
|
|
710,
|
|
660,
|
|
610,
|
|
560,
|
|
510,
|
|
460,
|
|
410,
|
|
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|
|
310,
|
|
260,
|
|
210,
|
|
160,
|
|
110,
|
|
60,
|
|
10,
|
|
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|
|
-90,
|
|
-140,
|
|
-90,
|
|
-40,
|
|
10,
|
|
60,
|
|
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|
|
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|
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|
|
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|
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|
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|
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|
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|
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|
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|
|
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|
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|
|
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|
|
],
|
|
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|
|
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|
|
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|
|
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|
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|
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|
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|
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|
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|
|
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|
|
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|
|
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|
|
}
|
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},
|
|
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|
|
}
|
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],
|
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|
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},
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|
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|
"size": 10,
|
|
"solidity": 0.2
|
|
}
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},
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"type": "barpolar"
|
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}
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],
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|
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|
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"startlinecolor": "#2a3f5f"
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},
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|
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|
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],
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[
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0.2222222222222222,
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],
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[
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],
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[
|
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0.4444444444444444,
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],
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[
|
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0.5555555555555556,
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],
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[
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[
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[
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[
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|
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|
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|
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|
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|
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|
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},
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}
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],
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],
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[
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0.4444444444444444,
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0.6666666666666666,
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0.7777777777777778,
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[
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0.6666666666666666,
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],
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[
|
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0.7777777777777778,
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"#fb9f3a"
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],
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[
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0.8888888888888888,
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"#fdca26"
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],
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[
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1,
|
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"#f0f921"
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]
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],
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"type": "histogram2dcontour"
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}
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],
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"mesh3d": [
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{
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"type": "mesh3d"
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}
|
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],
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"parcoords": [
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{
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"outlinewidth": 0,
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"ticks": ""
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}
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"type": "parcoords"
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}
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"pie": [
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{
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"automargin": true,
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"type": "pie"
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}
|
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],
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"scatter": [
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{
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"fillpattern": {
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"size": 10,
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"solidity": 0.2
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"type": "scatter"
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}
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],
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"scatter3d": [
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{
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"line": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scatter3d"
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}
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],
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"scattercarpet": [
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{
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scattercarpet"
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}
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],
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"scattergeo": [
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{
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scattergeo"
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}
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],
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"scattergl": [
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{
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scattergl"
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}
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],
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"scattermapbox": [
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{
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scattermapbox"
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}
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],
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{
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scatterpolar"
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}
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],
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"scatterpolargl": [
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{
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scatterpolargl"
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}
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],
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"scatterternary": [
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{
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"marker": {
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"colorbar": {
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"outlinewidth": 0,
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"ticks": ""
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}
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},
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"type": "scatterternary"
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}
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],
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"surface": [
|
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{
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"colorbar": {
|
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"outlinewidth": 0,
|
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"ticks": ""
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},
|
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"colorscale": [
|
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[
|
|
0,
|
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"#0d0887"
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],
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[
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|
0.1111111111111111,
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"#46039f"
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],
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[
|
|
0.2222222222222222,
|
|
"#7201a8"
|
|
],
|
|
[
|
|
0.3333333333333333,
|
|
"#9c179e"
|
|
],
|
|
[
|
|
0.4444444444444444,
|
|
"#bd3786"
|
|
],
|
|
[
|
|
0.5555555555555556,
|
|
"#d8576b"
|
|
],
|
|
[
|
|
0.6666666666666666,
|
|
"#ed7953"
|
|
],
|
|
[
|
|
0.7777777777777778,
|
|
"#fb9f3a"
|
|
],
|
|
[
|
|
0.8888888888888888,
|
|
"#fdca26"
|
|
],
|
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[
|
|
1,
|
|
"#f0f921"
|
|
]
|
|
],
|
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"type": "surface"
|
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}
|
|
],
|
|
"table": [
|
|
{
|
|
"cells": {
|
|
"fill": {
|
|
"color": "#EBF0F8"
|
|
},
|
|
"line": {
|
|
"color": "white"
|
|
}
|
|
},
|
|
"header": {
|
|
"fill": {
|
|
"color": "#C8D4E3"
|
|
},
|
|
"line": {
|
|
"color": "white"
|
|
}
|
|
},
|
|
"type": "table"
|
|
}
|
|
]
|
|
},
|
|
"layout": {
|
|
"annotationdefaults": {
|
|
"arrowcolor": "#2a3f5f",
|
|
"arrowhead": 0,
|
|
"arrowwidth": 1
|
|
},
|
|
"autotypenumbers": "strict",
|
|
"coloraxis": {
|
|
"colorbar": {
|
|
"outlinewidth": 0,
|
|
"ticks": ""
|
|
}
|
|
},
|
|
"colorscale": {
|
|
"diverging": [
|
|
[
|
|
0,
|
|
"#8e0152"
|
|
],
|
|
[
|
|
0.1,
|
|
"#c51b7d"
|
|
],
|
|
[
|
|
0.2,
|
|
"#de77ae"
|
|
],
|
|
[
|
|
0.3,
|
|
"#f1b6da"
|
|
],
|
|
[
|
|
0.4,
|
|
"#fde0ef"
|
|
],
|
|
[
|
|
0.5,
|
|
"#f7f7f7"
|
|
],
|
|
[
|
|
0.6,
|
|
"#e6f5d0"
|
|
],
|
|
[
|
|
0.7,
|
|
"#b8e186"
|
|
],
|
|
[
|
|
0.8,
|
|
"#7fbc41"
|
|
],
|
|
[
|
|
0.9,
|
|
"#4d9221"
|
|
],
|
|
[
|
|
1,
|
|
"#276419"
|
|
]
|
|
],
|
|
"sequential": [
|
|
[
|
|
0,
|
|
"#0d0887"
|
|
],
|
|
[
|
|
0.1111111111111111,
|
|
"#46039f"
|
|
],
|
|
[
|
|
0.2222222222222222,
|
|
"#7201a8"
|
|
],
|
|
[
|
|
0.3333333333333333,
|
|
"#9c179e"
|
|
],
|
|
[
|
|
0.4444444444444444,
|
|
"#bd3786"
|
|
],
|
|
[
|
|
0.5555555555555556,
|
|
"#d8576b"
|
|
],
|
|
[
|
|
0.6666666666666666,
|
|
"#ed7953"
|
|
],
|
|
[
|
|
0.7777777777777778,
|
|
"#fb9f3a"
|
|
],
|
|
[
|
|
0.8888888888888888,
|
|
"#fdca26"
|
|
],
|
|
[
|
|
1,
|
|
"#f0f921"
|
|
]
|
|
],
|
|
"sequentialminus": [
|
|
[
|
|
0,
|
|
"#0d0887"
|
|
],
|
|
[
|
|
0.1111111111111111,
|
|
"#46039f"
|
|
],
|
|
[
|
|
0.2222222222222222,
|
|
"#7201a8"
|
|
],
|
|
[
|
|
0.3333333333333333,
|
|
"#9c179e"
|
|
],
|
|
[
|
|
0.4444444444444444,
|
|
"#bd3786"
|
|
],
|
|
[
|
|
0.5555555555555556,
|
|
"#d8576b"
|
|
],
|
|
[
|
|
0.6666666666666666,
|
|
"#ed7953"
|
|
],
|
|
[
|
|
0.7777777777777778,
|
|
"#fb9f3a"
|
|
],
|
|
[
|
|
0.8888888888888888,
|
|
"#fdca26"
|
|
],
|
|
[
|
|
1,
|
|
"#f0f921"
|
|
]
|
|
]
|
|
},
|
|
"colorway": [
|
|
"#636efa",
|
|
"#EF553B",
|
|
"#00cc96",
|
|
"#ab63fa",
|
|
"#FFA15A",
|
|
"#19d3f3",
|
|
"#FF6692",
|
|
"#B6E880",
|
|
"#FF97FF",
|
|
"#FECB52"
|
|
],
|
|
"font": {
|
|
"color": "#2a3f5f"
|
|
},
|
|
"geo": {
|
|
"bgcolor": "white",
|
|
"lakecolor": "white",
|
|
"landcolor": "#E5ECF6",
|
|
"showlakes": true,
|
|
"showland": true,
|
|
"subunitcolor": "white"
|
|
},
|
|
"hoverlabel": {
|
|
"align": "left"
|
|
},
|
|
"hovermode": "closest",
|
|
"mapbox": {
|
|
"style": "light"
|
|
},
|
|
"paper_bgcolor": "white",
|
|
"plot_bgcolor": "#E5ECF6",
|
|
"polar": {
|
|
"angularaxis": {
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": ""
|
|
},
|
|
"bgcolor": "#E5ECF6",
|
|
"radialaxis": {
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": ""
|
|
}
|
|
},
|
|
"scene": {
|
|
"xaxis": {
|
|
"backgroundcolor": "#E5ECF6",
|
|
"gridcolor": "white",
|
|
"gridwidth": 2,
|
|
"linecolor": "white",
|
|
"showbackground": true,
|
|
"ticks": "",
|
|
"zerolinecolor": "white"
|
|
},
|
|
"yaxis": {
|
|
"backgroundcolor": "#E5ECF6",
|
|
"gridcolor": "white",
|
|
"gridwidth": 2,
|
|
"linecolor": "white",
|
|
"showbackground": true,
|
|
"ticks": "",
|
|
"zerolinecolor": "white"
|
|
},
|
|
"zaxis": {
|
|
"backgroundcolor": "#E5ECF6",
|
|
"gridcolor": "white",
|
|
"gridwidth": 2,
|
|
"linecolor": "white",
|
|
"showbackground": true,
|
|
"ticks": "",
|
|
"zerolinecolor": "white"
|
|
}
|
|
},
|
|
"shapedefaults": {
|
|
"line": {
|
|
"color": "#2a3f5f"
|
|
}
|
|
},
|
|
"ternary": {
|
|
"aaxis": {
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": ""
|
|
},
|
|
"baxis": {
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": ""
|
|
},
|
|
"bgcolor": "#E5ECF6",
|
|
"caxis": {
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": ""
|
|
}
|
|
},
|
|
"title": {
|
|
"x": 0.05
|
|
},
|
|
"xaxis": {
|
|
"automargin": true,
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": "",
|
|
"title": {
|
|
"standoff": 15
|
|
},
|
|
"zerolinecolor": "white",
|
|
"zerolinewidth": 2
|
|
},
|
|
"yaxis": {
|
|
"automargin": true,
|
|
"gridcolor": "white",
|
|
"linecolor": "white",
|
|
"ticks": "",
|
|
"title": {
|
|
"standoff": 15
|
|
},
|
|
"zerolinecolor": "white",
|
|
"zerolinewidth": 2
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
},
|
|
"metadata": {},
|
|
"output_type": "display_data"
|
|
}
|
|
],
|
|
"source": [
|
|
"# 绘制价差结果图\n",
|
|
"fig = go.Figure(data=go.Scatter(x=list(results.keys()), y=list(results.values())))\n",
|
|
"fig.show()"
|
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]
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},
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{
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"metadata": {},
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}
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