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1348 lines
29 KiB
Plaintext
1348 lines
29 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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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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"# 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": 3,
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"metadata": {},
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"outputs": [],
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"source": [
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"# legs中的每个元素为字典，具体键包括k、cp、price、pos\n",
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"def calculate_spread_pnl(\n",
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" s: 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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" legs: list\n",
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") -> float:\n",
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" \"\"\"计算期权价差权到期盈亏\"\"\"\n",
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" pnl: float = 0\n",
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"\n",
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" for leg in legs:\n",
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" p: float = calculate_price(s, leg[\"k\"], r, t, v, leg[\"cp\"])\n",
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" pnl += (p - leg[\"price\"]) * leg[\"pos\"]\n",
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"\n",
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" return pnl"
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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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"source": [
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"def plot_option_spread(\n",
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" underlying_prices: list[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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" legs: list\n",
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"):\n",
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" results: dict = {}\n",
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"\n",
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" for s in underlying_prices:\n",
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" pnl: float = calculate_spread_pnl(s, r, t, v, legs)\n",
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" results[s] = pnl\n",
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"\n",
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" fig = go.Figure(data=go.Scatter(x=list(results.keys()), y=list(results.values())))\n",
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" fig.show()\n",
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"\n",
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" return results"
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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": 12,
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"metadata": {},
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"outputs": [],
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"source": [
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"def calculate_option_spread(\n",
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" underlying_prices: list[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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" legs: list\n",
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") -> list[float]:\n",
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" results: dict = {}\n",
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"\n",
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" for s in underlying_prices:\n",
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" pnl: float = calculate_spread_pnl(s, r, t, v, legs)\n",
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" results[s] = pnl\n",
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"\n",
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" return results"
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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": 26,
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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_prices = range(2500, 3550, 50)\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": 27,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 跨式价差\n",
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"legs = [\n",
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" {\n",
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" \"k\": 3000,\n",
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" \"cp\": 1,\n",
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" \"price\": 70,\n",
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" \"pos\": 1\n",
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" },\n",
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" {\n",
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" \"k\": 3000,\n",
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" \"cp\": -1,\n",
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" \"price\": 70,\n",
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" \"pos\": 1\n",
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" }\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": 14,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 牛市价差\n",
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"legs = [\n",
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" {\n",
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" \"k\": 3000,\n",
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" \"cp\": 1,\n",
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" \"price\": 70,\n",
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" \"pos\": 1\n",
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" },\n",
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" {\n",
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" \"k\": 3200,\n",
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" \"cp\": 1,\n",
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" \"price\": 30,\n",
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" \"pos\": -1\n",
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" }\n",
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"\n",
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"]"
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]
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},
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"data": {
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|
|
"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": [
|
|
"# 绘制不同剩余到期时间下的价差盈亏曲线\n",
|
|
"fig = go.Figure()\n",
|
|
"\n",
|
|
"for days in range(0, 30, 5):\n",
|
|
" t: float = days / 240\n",
|
|
" results = calculate_option_spread(underlying_prices, discount_rate, t, pricing_volatility, legs)\n",
|
|
" fig.add_trace(go.Scatter(x=list(results.keys()), y=list(results.values()), name=f\"days={days}\"))\n",
|
|
"\n",
|
|
"fig.show()"
|
|
]
|
|
},
|
|
{
|
|
"cell_type": "code",
|
|
"execution_count": null,
|
|
"metadata": {},
|
|
"outputs": [],
|
|
"source": []
|
|
}
|
|
],
|
|
"metadata": {
|
|
"kernelspec": {
|
|
"display_name": "Python 3 (ipykernel)",
|
|
"language": "python",
|
|
"name": "python3"
|
|
},
|
|
"language_info": {
|
|
"codemirror_mode": {
|
|
"name": "ipython",
|
|
"version": 3
|
|
},
|
|
"file_extension": ".py",
|
|
"mimetype": "text/x-python",
|
|
"name": "python",
|
|
"nbconvert_exporter": "python",
|
|
"pygments_lexer": "ipython3",
|
|
"version": "3.10.2"
|
|
}
|
|
},
|
|
"nbformat": 4,
|
|
"nbformat_minor": 4
|
|
}
|