Merge pull request #6 from westonplatter/examples-update-methods

examples: fix some method signatures, update yahoo logic, calc yahoo data IVs

README.md

@@ -77,6 +77,7 @@ from fypy.pricing.fourier.ProjEuropeanPricer import ProjEuropeanPricer
 from fypy.model.levy.BlackScholes import *
 from fypy.model.levy.VarianceGamma import *
 from fypy.termstructures.DiscountCurve import DiscountCurve_ConstRate
+from fypy.termstructures.EquityForward import EquityForward
 from fypy.volatility.implied.ImpliedVolCalculator import ImpliedVolCalculator_Black76
 import matplotlib.pyplot as plt
 
@@ -98,7 +99,7 @@ fwd = EquityForward(S0=S0, discount=disc_curve, divDiscount=div_disc)
 # ============================
 # Create Black-Scholes Model
 # ============================
-model = BlackScholes(sigma=0.2, forwardCurve=fwd)
+model = BlackScholes(sigma=0.2, forwardCurve=fwd, discountCurve=fwd.discountCurve)
 pricer = ProjEuropeanPricer(model=model, N=2 ** 10)
 
 # Price a set of strikes
@@ -136,6 +137,4 @@ plt.legend()
 plt.xlabel(r'strike, $K$')
 plt.ylabel('implied vol')
 plt.show()
-
-
-```
+```

examples/implied_vol_smiles.py

@@ -4,6 +4,7 @@
 from fypy.pricing.fourier.ProjEuropeanPricer import ProjEuropeanPricer
 from fypy.model.levy.BlackScholes import *
 from fypy.termstructures.DiscountCurve import DiscountCurve_ConstRate
+from fypy.termstructures.EquityForward import EquityForward
 from fypy.volatility.implied.ImpliedVolCalculator import ImpliedVolCalculator_Black76
 from fypy.model.levy import *
 from fypy.model.sv.Heston import Heston
@@ -34,7 +35,7 @@
     'CGMY': CMGY(C=0.05, G=4, M=10, Y=1.3, forwardCurve=fwd, discountCurve=disc_curve),
     'MJD': MertonJD(sigma=0.15, lam=0.3, muj=-0.2, sigj=0.3, forwardCurve=fwd, discountCurve=disc_curve),
     'KDE': KouJD(sigma=0.14, lam=2., p_up=0.3, eta1=20, eta2=15, forwardCurve=fwd, discountCurve=disc_curve),
-    'BSM': BlackScholes(sigma=0.2, forwardCurve=fwd),
+    'BSM': BlackScholes(sigma=0.2, forwardCurve=fwd, discountCurve=disc_curve),
     'Hes': Heston(v_0=0.04, theta=0.04, kappa=0.1, sigma_v=0.5, rho=-0.5, forwardCurve=fwd, discountCurve=disc_curve),
     'Bates': Bates(v_0=0.04, theta=0.04, kappa=0.1, sigma_v=0.5, rho=-0.5, lam=0.15, muj=-0.1, sigj=0.3,
                    forwardCurve=fwd, discountCurve=disc_curve),

fypy/market/loader/YahooFinanceSurfaceLoader.py

@@ -57,7 +57,7 @@ def load_df_from_api(self,
 
         dfs = []
         for tenor in all_tenors:
-            DF_calls, DF_puts = data.option_chain(tenor)
+            DF_calls, DF_puts, json_summary_data = data.option_chain(tenor)
             DF_calls['expiry'] = tenor
             DF_calls['isCall'] = True
 
@@ -68,14 +68,15 @@ def load_df_from_api(self,
             dfs.append(DF_puts)
 
         df = pd.concat(dfs)
+
+        df['ticker'] = ticker
         df['spot'] = spot
         df['date'] = date
 
         # Filter the data
         df = df[df['volume'] >= volume_filter]
         df.dropna(how='any', subset=['bid', 'ask'], inplace=True)
 
-        df['ticker'] = ticker
         return df
 
     def load_from_frame(self,
@@ -191,9 +192,21 @@ def _average_discount(spot: float,
 
     loader = YahooFinanceLoader()
 
-    df1 = loader.load_df_from_api(ticker=tick)
+    # fetch option chain from yahoo and store in df1
+    df1 = loader.load_df_from_api(ticker=tick, volume_filter=0)
     df1.to_csv(fp, index=False)
 
-    df2 = loader.load_from_file(fpath=fp)
+    from fypy.termstructures.EquityForward import EquityForward, DiscountCurve_ConstRate
+    disc_curve = DiscountCurve_ConstRate(rate=0.02)
+    spot = df1.iloc[0]['spot']
+    fwd = EquityForward(S0=spot, discount=disc_curve)
+
+    # gen market surface from df1
+    surf = loader.load_from_file(fpath=fp, disc_curve=disc_curve)
+
+    # calc ivs
+    from fypy.volatility.implied.ImpliedVolCalculator import ImpliedVolCalculator_Black76
+    ivc = ImpliedVolCalculator_Black76(fwd_curve=fwd, disc_curve=disc_curve)
+    surf.fill_implied_vols(calculator=ivc)
 
     # surf = loader.load_from_api(ticker=tick)