eqEuropeanOptionPricer

Syntax

eqEuropeanOptionPricer(instrument, pricingDate, spot, discountCurve, dividendCurve, volSurf, [settings])

Details

Prices an European equity option.

Parameters

instrument: An INSTRUMENT scalar or vector specifying the European equity options to be priced. For field requirements, see the Instrument field description.

pricingDate: A DATE scalar or vector specifying the pricing date.

spot: A numeric scalar or vector specifying the spot price.

discountCurve: A MKTDATA scalar or vector specifying the discount curve (IrYieldCurve).

dividendCurve: A MKTDATA scalar or vector specifying the dividend curve (DividendCurve). This curve is built using eqDividendCurveBuilder.

volSurf: A VolatilitySurface object specifying the equity option volatility surface. This surface is built using eqVolatilitySurfaceBuilder.

settings (optional): A dictionary (<STRING, BOOL>) specifying whether to calculate option price sensitivities (Greeks). Supported keys:


Key	Value	Description
calcDelta	Boolean; defaults to false	Whether to calculate Delta, the sensitivity of the option price to the underlying asset price.
calcGamma	Boolean; defaults to false	Whether to calculate Gamma, the sensitivity of Delta to the underlying asset price.
calcVega	Boolean; defaults to false	Whether to calculate Vega, the sensitivity of the option price to volatility.
calcTheta	Boolean; defaults to false	Whether to calculate Theta, the sensitivity of the option price to the passage of time.
calcRhoIr	Boolean; defaults to false	Whether to calculate RhoIr, the sensitivity of the option price to the risk-free interest rate.
calcRhoDividend	Boolean; defaults to false	Whether to calculate RhoDividend, the sensitivity of the option price to changes in the dividend yield.

Returns

If the settings parameter is not specified, returns a DOUBLE scalar indicating the option’s net present value (NPV), i.e., the theoretical option price.
If the settings parameter is specified, returns a dictionary (<STRING, DOUBLE>) containing the option’s NPV and the option price sensitivities represented by the Greeks. For details on Greeks, see the description of the settings parameter.

Examples

pricingDate = 2019.07.08
referenceDate = pricingDate

optionDict = {
    "productType": "Option",
    "optionType": "EuropeanOption",
    "assetType": "EqEuropeanOption",
    "notionalCurrency": "CNY",
    "notionalAmount": 1E6,
    "strike": 3.15,
    "maturity": 2025.10.28,
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": "TCH"
}
option = parseInstrument(optionDict)

spot = 2.924

termDates = [2019.07.24, 2019.08.28, 2019.09.25, 2019.12.25]

callPrices = matrix(
    [0.2806, 0.2326, 0.1861, 0.1424, 0.1016, 0.0698, 0.0457, 0.0281, 0.0098, 0.0038],
    [0.2586, 0.2186, 0.1814, 0.1506, 0.1204, 0.0959, 0.0752, 0.0440, 0.0255, 0.0140],
    [0.3202, 0.2801, 0.2417, 0.2068, 0.1754, 0.1474, 0.1234, 0.1030, 0.0697, 0.0465],
    [0.3731, 0.3366, 0.3032, 0.2721, 0.2441, 0.2182, 0.1935, 0.1717, 0.1337, 0.1030]
)

putPrices = matrix(
    [0.0023, 0.0044, 0.0072, 0.0131, 0.0239, 0.0409, 0.0660, 0.1000, 0.1803, 0.2760],
    [0.0189, 0.0284, 0.0413, 0.0589, 0.0796, 0.1047, 0.1346, 0.2031, 0.2835, 0.3760],
    [0.0240, 0.0340, 0.0456, 0.0604, 0.0785, 0.1004, 0.1234, 0.1545, 0.2202, 0.2964],
    [0.0534, 0.0675, 0.0836, 0.1020, 0.1233, 0.1465, 0.1712, 0.1986, 0.2593, 0.3277]
)

strikes = matrix(
    [2.65, 2.7, 2.75, 2.8, 2.85, 2.9, 2.95, 3, 3.1, 3.2],
    [2.65, 2.7, 2.75, 2.8, 2.85, 2.9, 2.95, 3, 3.1, 3.2],
    [2.65, 2.7, 2.75, 2.8, 2.85, 2.9, 2.95, 3, 3.1, 3.2],
    [2.65, 2.7, 2.75, 2.8, 2.85, 2.9, 2.95, 3, 3.1, 3.2]
)


discountCurveDict = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "curveName": "CNY_FR_007",
    "referenceDate": referenceDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "dates": [
        2019.07.10, 2019.07.16, 2019.10.09, 2020.01.09, 2020.04.09,
        2020.07.09, 2021.07.09, 2022.07.11, 2023.07.10, 2024.07.09,
        2026.07.09, 2029.07.09
    ],
    "values":[
        0.0145994, 0.0229076, 0.0253021, 0.0257565, 0.0259751,
        0.0260355, 0.0265336, 0.0272721, 0.0282024, 0.0290231,
        0.0304665, 0.0319855
    ]
}
discountCurve = parseMktData(discountCurveDict)

dividendCurve = eqDividendCurveBuilder(referenceDate, termDates, "CallPutParity", ,
    callPrices, putPrices, strikes, spot, discountCurve, "Actual365", "50ETF")

optionExpiries = termDates

strikes = strikes

optionPrices = matrix(
    [0.0023, 0.0044, 0.0072, 0.0131, 0.0239, 0.0409, 0.0457, 0.0281, 0.0098, 0.0038],
    [0.0189, 0.0284, 0.0413, 0.0589, 0.0796, 0.1047, 0.0752, 0.0440, 0.0255, 0.0140],
    [0.0240, 0.0340, 0.0456, 0.0604, 0.0785, 0.1004, 0.1234, 0.1030, 0.0697, 0.0465],
    [0.0534, 0.0675, 0.0836, 0.1020, 0.1233, 0.1465, 0.1935, 0.1717, 0.1337, 0.1030]
)

payoffTypes = matrix(
    ["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call"],
    ["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call"],
    ["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call"],
    ["Put", "Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call"]
)


volSurface = eqVolatilitySurfaceBuilder(referenceDate, optionExpiries, strikes, optionPrices,
    payoffTypes, spot, discountCurve, dividendCurve, "SABR", "50ETF")

npv = eqEuropeanOptionPricer(option, pricingDate, spot, discountCurve, dividendCurve, volSurface)
print(npv)

Instrument Field Description


Field	Type	Description	Required
productType	STRING	Fixed value: "Option"	Yes
optionType	STRING	Fixed value: "EuropeanOption"	Yes
assetType	STRING	Fixed value: “EqEuropeanOption"	Yes
notionalAmount	DOUBLE	Notional amount	Yes
notionalCurrency	STRING	Notional currency. Defaults to CNY.	Yes
instrumentId	STRING	Contract identifier, e.g. CSI 500 ETF option 510500C2512M04800	No
direction	SRTRING	Trade direction: Buy or Sell. Defaults to Buy.	No
maturity	DATE	Maturity date	Yes
strike	DOUBLE	Strike price	Yes
payoffType	STRING	Enum. Supported values: Call, Put.	Yes
underlying	STRING	Underlying contract code, e.g. 510050.	Yes
dayCountConvention	STRING	Day count convention. Supported values: "ActualActualISDA", "ActualActualISMA", "Actual365", "Actual360".	Yes
discountCurve	STRING	Name of the discount curve used for pricing. Defaults to "CNY_FR_007" for CNY deposits.	No
dividendCurve	STRING	Name of the dividend curve used for pricing.	No