Source code for naginterfaces.library.examples.specfun.opt_heston_more_greeks_ex

#!/usr/bin/env python3
"``naginterfaces.library.specfun.opt_heston_more_greeks`` Python Example."

# NAG Copyright 2022.

# pylint: disable=invalid-name,too-many-locals

from naginterfaces.library import specfun

def main():
    """
    Example for :func:`naginterfaces.library.specfun.opt_heston_more_greeks`.

    Computes the European option price given by the Heston model, provides
    greeks and  derivatives with respect to model parameters.

    >>> main()
    naginterfaces.library.specfun.opt_heston_more_greeks
      Python Example Results.
    Prices for four European call options.
       q         r         Price     dp_dsigmav
       0.0250    0.0100    6.5961   -1.9804
       0.0250   -0.0100    7.9845   -1.7047
      -0.0250    0.0100    3.9303   -2.4431
      -0.0250   -0.0100    5.0138   -2.3868
    """

    print('naginterfaces.library.specfun.opt_heston_more_greeks')
    print('  Python Example Results.')
    print('Prices for four European call options.')

    # Call or put:
    calput = 'C'
    # Strike prices:
    x = [100.]
    # Price of the underlying asset:
    s = 100.
    # Times to expiry:
    t = [1.,1.,1.,1.]
    # Volatility of the volatility:
    sigmav = 0.5751
    # Long term mean reversion rate of the volatility
    kappa = 1.5768
    # Correlation coefficient
    corr = -0.5711
    # Initial value of the variance of the asset price.
    var0 = 0.0175
    # Long term variance of asset price:
    eta = 0.0398
    # Greek risk
    grisk = 1.0
    # Risk-free interest rate:
    r = [0.025, 0.025, -0.025, -0.025]
    # Continuous yield rate:
    q = [0.01, -0.01, 0.01, -0.01]

    res = specfun.opt_heston_more_greeks(
        calput=calput, x=x, s=s, t=t,
        sigmav=sigmav, kappa=kappa, corr=corr,
        var0=var0, eta=eta, grisk=grisk, r=r, q=q,
    )

    print('   q         r         Price     dp_dsigmav')
    for s_i in range(len(x)):
        for t_i, r_i in enumerate(r):
            print(
                ' '.join(['{:9.4f}']*4).format(
                    r_i, q[t_i], res.p[s_i, t_i], res.dp_dsigmav[s_i, t_i],
                )
            )

if __name__ == '__main__':
    import doctest
    import sys
    sys.exit(
        doctest.testmod(
            None, verbose=True, report=False,
            optionflags=doctest.REPORT_NDIFF,
        ).failed
    )