Merge pull request #32 from SebastienEveno/add_basket_option

Add basket option pricing

.github/workflows/python-package.yml

@@ -16,25 +16,25 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        python-version: ["3.10.2"]
+        python-version: [ "3.10.2" ]
 
     steps:
-    - uses: actions/checkout@v3
-    - name: Set up Python ${{ matrix.python-version }}
-      uses: actions/setup-python@v3
-      with:
-        python-version: ${{ matrix.python-version }}
-    - name: Install dependencies
-      run: |
-        python -m pip install --upgrade pip
-        python -m pip install flake8 pytest
-        if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
-    - name: Lint with flake8
-      run: |
-        # stop the build if there are Python syntax errors or undefined names
-        flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
-        # exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
-        flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
-    - name: Test with pytest
-      run: |
-        pytest
+      - uses: actions/checkout@v3
+      - name: Set up Python ${{ matrix.python-version }}
+        uses: actions/setup-python@v3
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          python -m pip install flake8 pytest
+          if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
+      - name: Lint with flake8
+        run: |
+          # stop the build if there are Python syntax errors or undefined names
+          flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
+          # exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
+          flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
+      - name: Test with pytest
+        run: |
+          pytest

.github/workflows/python-publish.yml

@@ -10,7 +10,7 @@ name: Upload Python Package
 
 on:
   release:
-    types: [published]
+    types: [ published ]
 
 permissions:
   contents: read
@@ -21,26 +21,26 @@ jobs:
     runs-on: ubuntu-latest
 
     steps:
-    - uses: actions/checkout@master
-    - name: Set up Python
-      uses: actions/setup-python@v3
-      with:
-        python-version: '3.x'
-    - name: Install dependencies
-      run: |
-        python -m pip install --upgrade pip
-        pip install build
-    - name: Build package
-      run: python -m build
-    - name: Publish distribution to Test PyPI
-      uses: pypa/gh-action-pypi-publish@master
-      with:
-        user: __token__
-        password: ${{ secrets.TEST_PYPI_API_TOKEN }}
-        repository_url: https://test.pypi.org/legacy/
-    - name: Publish distribution to PyPI
-      if: startsWith(github.ref, 'refs/tags')
-      uses: pypa/gh-action-pypi-publish@master
-      with:
-        user: __token__
-        password: ${{ secrets.PYPI_API_TOKEN }}
+      - uses: actions/checkout@master
+      - name: Set up Python
+        uses: actions/setup-python@v3
+        with:
+          python-version: '3.x'
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          pip install build
+      - name: Build package
+        run: python -m build
+      - name: Publish distribution to Test PyPI
+        uses: pypa/gh-action-pypi-publish@master
+        with:
+          user: __token__
+          password: ${{ secrets.TEST_PYPI_API_TOKEN }}
+          repository_url: https://test.pypi.org/legacy/
+      - name: Publish distribution to PyPI
+        if: startsWith(github.ref, 'refs/tags')
+        uses: pypa/gh-action-pypi-publish@master
+        with:
+          user: __token__
+          password: ${{ secrets.PYPI_API_TOKEN }}

README.md

@@ -1,4 +1,5 @@
 # exotx
+
 <p align="center">
     <img src="https://github.com/SebastienEveno/exotx/actions/workflows/python-package.yml/badge.svg?branch=master" />
     <a href="https://pypi.org/project/exotx" alt="Python Versions">
@@ -9,18 +10,22 @@
         <img src="https://pepy.tech/badge/exotx" /></a>
 </p>
 
-exotx is a Python wrapper for the [QuantLib library](https://www.quantlib.org/), a powerful open-source library for quantitative finance. exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical methods.
+exotx is a Python wrapper for the [QuantLib library](https://www.quantlib.org/), a powerful open-source library for
+quantitative finance. exotx provides a simple and user-friendly interface for pricing and analyzing financial
+derivatives using QuantLib's advanced numerical methods.
 
 ## Installation
 
 To install exotx, simply use pip:
+
 ```sh
 pip install exotx
 ```
 
 ## Usage
 
 ### Define the product
+
 ```python
 import exotx
 
@@ -35,14 +40,17 @@ my_autocallable = exotx.Autocallable(notional, strike, autocall_barrier_level, a
 ```
 
 ### Define the static data
+
 The object that represents static data such as the calendar, the day counter or the business day convention used.
 
 #### From the constructor
+
 ```python
 my_static_data = exotx.StaticData(day_counter='Actual360', business_day_convention='ModifiedFollowing')
 ```
 
 #### From JSON
+
 ```python
 my_json = {
     'day_counter': 'Actual360',
@@ -52,7 +60,9 @@ my_static_data = exotx.StaticData.from_json(my_json)
 ```
 
 ### Define the market data
+
 #### From the constructor
+
 ```python
 reference_date = '2015-11-06'
 spot = 100.0
@@ -62,7 +72,9 @@ black_scholes_volatility = 0.2
 
 my_market_data = exotx.MarketData(reference_date, spot, risk_free_rate, dividend_rate, black_scholes_volatility=black_scholes_volatility)
 ```
+
 #### From JSON
+
 ```python
 my_json = {
     'reference_date': '2015-11-06',
@@ -75,16 +87,19 @@ my_market_data = exotx.MarketData.from_json(my_json)
 ```
 
 ### Price the product
+
 ```python
 exotx.price(my_autocallable, my_market_data, my_static_data, model='black-scholes')
 ```
+
 ```plaintext
 96.08517973497098
 ```
 
 ## Contributing
 
-We welcome contributions to exotx! If you find a bug or would like to request a new feature, please open an issue on the [Github repository](https://github.com/sebastieneveno/exotx). 
+We welcome contributions to exotx! If you find a bug or would like to request a new feature, please open an issue on
+the [Github repository](https://github.com/sebastieneveno/exotx).
 If you would like to contribute code, please submit a pull request.
 
 ## License

exotx/_version.py

@@ -1 +1 @@
-__version__ = "0.6.1"
+__version__ = "0.6.3"

exotx/data/marketdata.py

@@ -9,33 +9,40 @@
 class MarketData:
 
     def __init__(self,
-                 spot: float,
+                 underlying_spots: List[float],
                  risk_free_rate: float,
                  dividend_rate: float,
                  reference_date: Union[datetime, str, None] = None,
                  expiration_dates: List[Union[datetime, str]] = None,
                  strikes: List[float] = None,
                  data: List[List[float]] = None,
-                 black_scholes_volatility: float = None) -> None:
+                 underlying_black_scholes_volatilities: List[float] = None,
+                 correlation_matrix: List[List[float]] = None) -> None:
         # set the reference date
         self._set_reference_date(reference_date)
 
-        # set the underlying spot value
-        self._set_underlying_spot(spot)
+        # set underlying spot values
+        self._set_underlying_spots(underlying_spots)
 
         # set market rate curves
         self._set_rate_curves(dividend_rate, risk_free_rate)
 
         # set the volatility surface
-        self._set_volatility_surface(black_scholes_volatility, data, expiration_dates, strikes)
+        self._set_volatility_surface(underlying_black_scholes_volatilities, data, expiration_dates, strikes)
+
+        # set the correlation matrix
+        self._set_correlation_matrix(correlation_matrix)
+
+    # region setters
 
     # TODO: Have a proper rate curves stripper service
-    def _set_rate_curves(self, dividend_rate, risk_free_rate):
+    def _set_rate_curves(self, dividend_rate, risk_free_rate) -> None:
         self.risk_free_rate = risk_free_rate
         self.dividend_rate = dividend_rate
 
     # TODO: Allow for multiple volatility surfaces for each underlying
-    def _set_volatility_surface(self, black_scholes_volatility, data, expiration_dates, strikes):
+    def _set_volatility_surface(self, underlying_black_scholes_volatilities: List[float], data, expiration_dates,
+                                strikes) -> None:
         self.expiration_dates: List[datetime] = []
         if not expiration_dates:
             self.expiration_dates = None
@@ -47,14 +54,19 @@ def _set_volatility_surface(self, black_scholes_volatility, data, expiration_dat
                     self.expiration_dates.append(expiration_date)
         self.strikes = strikes
         self.data = data
-        self.black_scholes_volatility = black_scholes_volatility
 
-    # TODO: Allow for multiple underlying spots to be defined, may need a proper container class
-    def _set_underlying_spot(self, spot):
-        assert spot > 0
-        self.spot = spot
+        if underlying_black_scholes_volatilities:
+            for vol in underlying_black_scholes_volatilities:
+                assert vol >= 0, f"Invalid volatility: {vol}"
+        self.underlying_black_scholes_volatilities = underlying_black_scholes_volatilities  # set to None if it does not exist, OK
 
-    def _set_reference_date(self, reference_date: Union[datetime, str, None]):
+    # TODO: Allow for multiple underlying spots to be defined, may need a proper container class or a dict
+    def _set_underlying_spots(self, underlying_spots: List[float]) -> None:
+        for underlying_spot in underlying_spots:
+            assert underlying_spot > 0, f"Invalid underlying spot {underlying_spot}"
+        self.underlying_spots = underlying_spots
+
+    def _set_reference_date(self, reference_date: Union[datetime, str, None]) -> None:
         if isinstance(reference_date, str):
             reference_date = datetime.strptime(reference_date, '%Y-%m-%d')
         elif isinstance(reference_date, datetime):
@@ -64,9 +76,28 @@ def _set_reference_date(self, reference_date: Union[datetime, str, None]):
             reference_date = datetime.today()
         self.reference_date: datetime = reference_date
 
+    def _set_correlation_matrix(self, correlation_matrix: Union[List[List[float]], None]) -> None:
+        if correlation_matrix:
+            for rows in correlation_matrix:
+                for rho in rows:
+                    assert 1 >= rho >= -1, "Invalid correlation matrix"
+        self.correlation_matrix = correlation_matrix
+
+    # endregion
+
+    # region getters
     def get_ql_reference_date(self) -> ql.Date:
         return ql.Date().from_date(self.reference_date)
 
+    def get_correlation_matrix(self) -> ql.Matrix:
+        matrix = ql.Matrix(len(self.correlation_matrix), len(self.correlation_matrix))
+        for i in range(len(self.correlation_matrix)):
+            matrix[i][i] = 1.0
+            for j in range(i + 1, len(self.correlation_matrix)):
+                matrix[i][j] = self.correlation_matrix[i][j]
+                matrix[j][i] = self.correlation_matrix[i][j]
+        return matrix
+
     # TODO: Get these from a proper rate curve stripper service
     def get_yield_curve(self, day_counter) -> ql.YieldTermStructureHandle:
         flat_forward = ql.FlatForward(self.get_ql_reference_date(), self.risk_free_rate, day_counter)
@@ -76,6 +107,9 @@ def get_dividend_curve(self, day_counter) -> ql.YieldTermStructureHandle:
         flat_forward = ql.FlatForward(self.get_ql_reference_date(), self.dividend_rate, day_counter)
         return ql.YieldTermStructureHandle(flat_forward)
 
+    # endregion
+
+    # region serialization/deserialization
     @classmethod
     def from_json(cls, data: dict):
         schema = MarketDataSchema()
@@ -90,19 +124,21 @@ def to_json(self, format_type: str = "dict"):
             return json.dumps(my_json)
         else:
             raise NotImplementedError(f"Invalid format type {format_type} when dumping")
+    # endregion
 
 
 # region Schema
 
 class MarketDataSchema(Schema):
-    spot = fields.Float(required=True)
+    underlying_spots = fields.List(fields.Float(required=True))
     risk_free_rate = fields.Float(required=True)
     dividend_rate = fields.Float(required=True)
     reference_date = fields.DateTime(format='%Y-%m-%d', allow_none=True)
     expiration_dates = fields.List(fields.DateTime(format='%Y-%m-%d'), allow_none=True)
     strikes = fields.List(fields.Float(), allow_none=True)
     data = fields.List(fields.List(fields.Float), allow_none=True)
-    black_scholes_volatility = fields.Float(allow_none=True)
+    underlying_black_scholes_volatilities = fields.List(fields.Float(allow_none=True))
+    correlation_matrix = fields.List(fields.List(fields.Float()))
 
     @post_load
     def make_market_data(self, data, **kwargs) -> MarketData:

exotx/instruments/asian_option.py

@@ -151,6 +151,7 @@ def from_json(cls, json_data):
     # endregion
 
 
+# region Schema
 class AsianOptionSchema(Schema):
     strike = fields.Float()
     maturity = fields.Date(format="%Y-%m-%d")
@@ -162,3 +163,4 @@ class AsianOptionSchema(Schema):
     @post_load
     def make_asian_option(self, data, **kwargs) -> AsianOption:
         return AsianOption(**data)
+# endregion