11_greeks.py

# -*- coding: utf-8 -*-
"""
Created on Tue Jun  8 20:04:16 2021

@author: Meva
"""

import numpy as np
import pandas as pd
import matplotlib as mpl
import scipy
import importlib
import matplotlib.pyplot as plt
from scipy.stats import skew, kurtosis, chi2

# import our own files and reload
import file_functions
importlib.reload(file_functions)
import file_classes
importlib.reload(file_classes)

# inputs
inputs = file_classes.option_input()
inputs.volatility = 0.1442
inputs.interest_rate = 0.0158
inputs.maturity = 1 # in years
inputs.strike = 20
inputs.call_or_put = 'call'

radius = 0.10
inputs.price =  np.linspace(1-radius,1+radius,1000) * inputs.strike
months = [0,3,6,9,11]
dict_plots = {}

# compute option prices
for month in months:
    # compute option prices
    inputs.time = float(month) / (12 * inputs.maturity)
    price_black_scholes = file_functions.compute_price_black_scholes(inputs)
    dict_plots[month] = price_black_scholes

# compute payoff
if inputs.call_or_put == 'call':
    payoff = np.array([max(s - inputs.strike, 0.0) for s in inputs.price])
elif inputs.call_or_put == 'put':
    payoff = np.array([max(inputs.strike - s, 0.0) for s in inputs.price])
    
# plot option prices
plt.figure()
plt.title('Plot of option prices | ' + inputs.call_or_put)
for month in months:
    plt.plot(inputs.price, dict_plots[month], label = str(month) + '-month')
plt.plot(inputs.price, payoff, label = 'payoff')
plt.ylabel('price option')
plt.xlabel('price underlying')
plt.legend()
plt.grid()
plt.show()