Posted by
Joseph Wang-4 on
Dec 22, 2014; 7:47am
URL: http://quantlib.414.s1.nabble.com/Intraday-patch-tp16122.html
I've just pushed up a patch to quantlib that provides basic support
for intraday calculations. The patch consists of two new classes
timestamp - which is a simple UTC timestamp class. It is a subclass
of Date, and can be used whereever date is.
continoustime - is a day counter that supports intraday calculations
with timestamp. ContinousTime allows the user to specify the base
unit, so it is now possible to specify
interest rates and volatility per day, per week, or per month (which
is defined as 30 days) rather than per year.
The only non backward compartible part is the use of "yearFraction" to
specify something other than a fraction of a year. There is a
function "timeFraction" which calls yearFraction.
Also this counter does not handle leap seconds, but I plan to add that.
I also intentionally left time zones out of these additions since
that's another level of complexity.
I can write some unit tests and I'll add some more comments. However,
before I do, I'd like some feedback about the general class structure
and to go through a code review.
Below is python code that uses the new interface
def option(strike, vol, t, putcall):
now = TimeStamp.now()
Settings.instance().evaluationDate = now
settlementDate = todaysDate + Period(3, Weeks)
riskFreeRate = FlatForward(settlementDate, 0.00, ContinuousTime.perDay())
# option parameters
exercise = EuropeanExercise(settlementDate)
payoff = PlainVanillaPayoff(Option.Call, strike)
x = np.arange(strike*0.8, strike*1.2, 0.01);
volatility = BlackConstantVol(todaysDate, TARGET(), vol,
ContinuousTime.perDay())
dividendYield = FlatForward(settlementDate, 0.00, ContinuousTime.perDay())
underlying = SimpleQuote(0.0)
process = BlackScholesMertonProcess(QuoteHandle(underlying),
YieldTermStructureHandle(dividendYield),
YieldTermStructureHandle(riskFreeRate),
BlackVolTermStructureHandle(volatility))
option = VanillaOption(payoff, exercise)
# method: analytic
option.setPricingEngine(AnalyticEuropeanEngine(process))
def myfunc(x):
underlying .setValue(x)
return option.NPV()
def mydelta(x):
underlying.setValue(x)
return option.delta()
def mytheta(x):
underlying.setValue(x)
return option.theta()
plt.figure(1, figsize=(5,8))
plt.subplot(211)
y = map(payoff, x)
plt.plot(x, y)
plt.plot(x, map(myfunc,x))
plt.subplot(212)
plt.plot(x, map(mydelta,x))
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