SabrSummerProject2022 Instruction

This is a heding strategies project using sabr model shared by Weitao Chen, Dongyu Wei, and Jiahao Yu.

OptionModel

Examples:
>>> from OptionModel.sabr import SabrHagan2002

# market info
>>> opt_price = np.array([0.1575, 0.0989, 0.0574])
>>> strike = np.array([2.8, 2.9, 3.0])
>>> spot=2.8870
>>> texp=68/365.25

# init model
>>> sabrmodel = SabrHagan2002(sigma=0.2, vov=0.6, rho=0.3, beta=0.6)

# 3 options for the calibration; 
# `is_vol` is whether the input variable is price or implied vol; 
# `setval` is whether we set the calibrated params as the model params.
>>> sabrmodel.calibrate3(price_or_vol3=opt_price, strike3=strike, spot=spot, texp=texp, is_vol=False, setval=True)
{'sigma': 0.31446090777041097,
 'vov': 1.5805873590513595,
 'rho': -0.2536946574367376}
>>> sabrmodel.price(strike=np.array([3.2, 3.1, 2.95, 2.85, 2.75]), spot=spot, texp=texp, cp=1)
array([0.01729237, 0.03168252, 0.07599214, 0.12615207, 0.192496  ])
>>> sabrmodel.delta_numeric(strike=strike, spot=spot, texp=texp, cp=1)
array([0.68602924, 0.52392876, 0.34993297])

Note that OptionModel.sabr is suited for the case that calls and puts are fitted separately and three points are used for the fitting. LS fitting methods and one curve implementation is in OptionModel.sabr_bywynn.

HedgingModel

Plz refer to .\HedgingModel\README.md and .\HedgingModel\analysis_demo.py