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希腊值与BS理论值计算 Get OptGreeks and BS Price
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希腊值与BS理论值计算 Get OptGreeks and BS Price
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# coding:utf-8
#!/usr/bin/env python
from PoboAPI import *
import datetime
import numpy as np
#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#上证50指数期货 和 50ETF期权的对冲交易，当ETF隐含波动率较高时就买IH期货并做空ETF看涨期权
#Hedge IH Index Futures with 50ETF call options, open positions when IV's high
#开始时间，用于初始化一些参数
def OnStart(context) :
print "system starting..."
#设定一个全局变量品种
g.code0 = "510050.SHSE"
g.code1 = "10001315.SHSE" # 50ETF购12月2600
g.code2="IH1812.CFFEX"
#订阅实时数据，用于驱动OnQuote事件
SubscribeQuote([g.code1,g.code0,g.code2]) #批量订阅行情
#订阅K线数据，用于驱动OnBar事件
#SubscribeBar(g.code1, BarType.Day)
#登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
context.myaccOPT = None
if context.accounts.has_key("回测期权") :
print "登录交易账号[回测期权]"
if context.accounts["回测期权"].Login() :
context.myaccOPT = context.accounts["回测期权"]
context.myaccFUT = None
if context.accounts.has_key("回测期货") :
print "登录交易账号[回测期货]"
if context.accounts["回测期货"].Login() :
context.myaccFUT = context.accounts["回测期货"]
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context, code) :
#获取最新行情
dyndata1 = GetQuote(g.code1).now#.now指最新价，详细属性见API文档
dyndata0 = GetQuote(g.code0).now
dyndata2 = GetQuote(g.code2).now
tradingtime=GetQuote(g.code0).time#获取50ETF交易时间，用于计算波动率
print "tradingtime ",tradingtime
if dyndata1 and dyndata0 and dyndata2 :
now1 = dyndata1
now0 = dyndata0
now2 = dyndata2
#打印最新价
log.info("50ETF购12月2600: " + str(dyndata1))
log.info("510050最新价: " + str(dyndata0))
log.info("IH1812最新价:" + str(dyndata2))
#klinedata0 = GetHisData(g.code0, BarType.Day)#获取K线数据
CalOBJ = CreateCalcObj() #创建一个计算对象
option = PBObj()
yearstring=int(tradingtime.year) #tradingtime 是用户取得的标的资产交易日期
monthstring=int(tradingtime.month)
daystring=int(tradingtime.day)
#准备计算50ETF的历史波动率
option.EndDate=datetime.datetime(yearstring,monthstring,daystring)
option.Count = 31 #获取过去31条K线
klinedata0 = GetHisData(g.code0, BarType.Day, option)
#print "len(klinedata) ",len(klinedata)
klist = []
i=0
while i<len(klinedata0)-1:
#print "previous trading day" +str(klinedata0[i].tradedate)
#print "previous prices "+str(klinedata0[i].close)
klist.append(klinedata0[i].close) #
i+=1
if len(klist)>0:
Kl = np.array(klist, dtype=np.double)
HisVola=CalOBJ.GetVolatility(Kl) #得到历史波动率
print "30D HisVola "+str(HisVola)
OptDirection=0 # 0 for call, 1 for put
AssetType=0 # 0 for stock opt,1 for etf opt, 2 for futures opt
AssetPrice=now0 # here is the 510050 price
print "AssetPrice ",AssetPrice
StrikePrice=2.6 # for 50ETF购12月2600 strike price
InterestRate=4.5*0.01 # the risk free interest rate
print "g.code ",g.code0
#dates=GetOptionsLastDates("m1901.DCE")# not working
#dates=GetOptionsLastDates("SR901C6000.CZCE") # not working
#dates=GetOptionsLastDates("510050.SHSE")# working
#dates=GetOptionsLastDates("m1805-C-3300.DCE")
dates=datetime.datetime(2018,12,26) # expire date for 50ETF购12月2600 options
print "dates of expire ",str(dates)
#ExpireinYear=(GetOptionsLastDates(g.code1) - tradingtime).days / 365.0 # years to expire
ExpireinYear=(dates - tradingtime).days / 365.0 # years to expire
print "ExpireinYear ",ExpireinYear
OptionPrice=now1 # for option price
#calculate the implied volatility
#format (direction,asset type,asset price,strikeprice,HisVola,interest rate,expire year,option price)
print "opt para:"+str(OptDirection)+","+str(AssetType)+","+str(AssetPrice)+","+str(StrikePrice)+","+str(HisVola)+","+str(InterestRate)+","+str(ExpireinYear)+","+str(OptionPrice)
ImpliedVola=CalOBJ.GetImpliedVolatility(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear,OptionPrice)
print "Implied Volatility is " + str(ImpliedVola)
#Get BS Price 这里开始计算BS 理论价格
BSPrice=CalOBJ.GetOptionBSPrice(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
#GetOptionBSPrice(direct, type, stockprice, strikeprice, volatility, r, t)
print "BS Theory Price is "+ str(BSPrice) +" vs option market price "+str(dyndata1)
#Cal Opt Greeks #这里开始计算希腊值
#Delta
#GetOptionDelta(direct,type,stockprice,strikeprice,volatility,r,t)
OptDelta=CalOBJ.GetOptionDelta(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Delta is "+ str(OptDelta)
#Theta
OptTheta=CalOBJ.GetOptionTheta(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Theta is "+ str(OptTheta)
#Gamma
OptGamma=CalOBJ.GetOptionGamma(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Gamma is "+ str(OptGamma)
#Vega
OptVega=CalOBJ.GetOptionVega(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Vega is "+str(OptVega)
#Rho
OptRho=CalOBJ.GetOptionRho(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Rho is "+str(OptRho)
balOPT = context.myaccOPT.AccountBalance #获取期权账户持仓市值状况
posmarginOPT=balOPT.MarketValue
balFUT = context.myaccFUT.AccountBalance #获取期货账户持仓市值状况
posmarginFUT=balFUT.MarketValue
posmargin=posmarginOPT + posmarginFUT
option.contract=g.code1
posOPT = context.myaccOPT.GetPositions(option)
poslengthOPT=len(posOPT)#期权账户持仓种类
if poslengthOPT>0:
for i in posOPT:
print "holding contract "+str(i.contract)
print "holding contract volume "+str(i.volume)
print '----------------'
OptVolume= i.volume
print "期权持仓合约数： "+str(poslengthOPT)
option.contract=g.code2
posFUT = context.myaccFUT.GetPositions(option)
poslengthFUT=len(posFUT)#期货账户持仓种类
if poslengthFUT>0:
for i in posFUT:
print "holding contract "+str(i.contract)
print "holding contract volume "+str(i.volume)
print '----------------'
FUTVolume= i.volume
print "期货持仓合约数： "+str(poslengthFUT)
#如果配置好交易账号了，可以根据条件下单，需把下面中的证券测试账号换成您设置的账号名称
#if len(klinedata1) > 1 and ImpliedVola>0.23 and context.myaccOPT and context.myaccFUT and posmargin<600000 :
if ImpliedVola>0.23 and posmargin<600000 :
# 50ETF期权隐含波动率大于23%就卖出期权、买入期货
print "open positions with IV at "+str(ImpliedVola)
print "trading day "+str(tradingtime)
print "期权持仓市值 "+str(posmargin)
context.myaccOPT.InsertOrder(g.code1, BSType.SellOpen, dyndata1, 30)#sell options
context.myaccFUT.InsertOrder(g.code2, BSType.BuyOpen, dyndata2, 1)#buy ETF
if ImpliedVola<0.20 and poslengthOPT>0 :
# 有持仓时，50ETF期权隐含波动率小于20%就买平期权、卖平期货
print "Close positions,take profit with IV"+str(ImpliedVola)
print "trading day "+str(tradingtime)
context.myaccOPT.InsertOrder(g.code1, BSType.BuyClose, dyndata1, OptVolume)
context.myaccFUT.InsertOrder(g.code2, BSType.SellClose, dyndata2, FUTVolume)
if ImpliedVola>0.25 and poslengthOPT>0 :
# 有持仓时，50ETF波动率大于25%就买平期权、卖平期货，止损平仓
print "sell close the spread,cut loss with IV "+str(ImpliedVola)
print "trading day "+str(tradingtime)
context.myaccOPT.InsertOrder(g.code1, BSType.BuyClose, dyndata1, OptVolume)
context.myaccFUT.InsertOrder(g.code2, BSType.SellClose, dyndata2, FUTVolume)
#委托回报事件，当有委托回报时调用
def OnOrderChange(context, AccountName, order) :
#打印委托信息，id是编号，volume是数量，详细见API文档
print "委托编号： " + order.id + " 账号名称： " + AccountName
print "Vol: " + str(order.volume) + " Price: " + str(order.price)