[Add]新增Black-Scholes模型的Cython版本

examples/WebTrader/CTP_connect.json

@@ -2,6 +2,6 @@
     "brokerID": "9999", 
     "mdAddress": "tcp://180.168.146.187:10011", 
     "tdAddress": "tcp://180.168.146.187:10001", 
-    "userID": "000300",
+    "userID": "simnow申请",
-    "password": "19890624"    
+    "password": "simnow申请"    
 }

vnpy/pricing/README.md

@@ -0,0 +1,4 @@
+* Cython相关模型的编译方法：python setup.py build_ext --inplace
+
+* 报错Unable to find vcvarsall.bat的解决方法：SET VS90COMNTOOLS=%VS120COMNTOOLS%
+

vnpy/pricing/bsCython/bsCython.pyx

@@ -0,0 +1,148 @@
+DX_TARGET = 0.00001
+
+
+
+cdef extern from "math.h" nogil:
+    double exp(double)
+    double sqrt(double)
+    double pow(double, double)
+    double log(double)
+    double erf(double)
+    double fabs(double)
+
+cdef double cdf(double x):
+    return 0.5 * (1 + erf(x / sqrt(2.0)))
+
+cdef double pdf(double x):
+    return exp(- pow(x, 2) / 2) / sqrt(2 * 3.1416)
+
+cdef double calculateD1(double s, double k, double r, double t, double v):
+    return (log(s / k) + (r + 0.5 * pow(v, 2)) * t) / (v * sqrt(t))
+
+
+#----------------------------------------------------------------------
+def calculatePrice(double s, double k, double r, double t, double v, int cp):
+    """"""
+    cdef double d1, d2, price
+    
+    if v <= 0:
+        return max(0, cp * (s - k))
+
+    d1 = calculateD1(s, k, r, t, v)
+    d2 = d1 - v * sqrt(t)
+    price = cp * (s * cdf(cp * d1) - k * cdf(cp * d2) * exp(-r * t))
+
+    return price
+
+#----------------------------------------------------------------------
+def calculateDelta(double s, double k, double r, double t, double v, int cp):
+    """"""
+    cdef double d1, delta
+    
+    if v <= 0:
+        return 0
+    
+    d1 = calculateD1(s, k, r, t, v)
+    delta = cp * cdf(cp * d1)
+    delta = delta * s * 0.01
+
+    return delta
+
+#----------------------------------------------------------------------
+def calculateGamma(double s, double k, double r, double t, double v, int cp):
+    """"""
+    cdef double d1, gamma
+    
+    if v <= 0:
+        return 0    
+    
+    d1 = calculateD1(s, k, r, t, v)
+    gamma = pdf(d1) / (s * v * sqrt(t))
+    gamma = gamma * pow(s, 2) * 0.0001
+    
+    return gamma
+
+#----------------------------------------------------------------------
+def calculateTheta(double s, double k, double r, double t, double v, int cp):
+    """"""
+    cdef double d1, d2, theta
+    
+    if v <= 0:
+        return 0    
+    
+    d1 = calculateD1(s, k, r, t, v)
+    d2 = d1 - v * sqrt(t)
+    theta = (-0.5 * s * pdf(d1) * v / sqrt(t) -
+            cp * r * k * exp(-r * t) * cdf(cp * d2))
+    theta = theta / 240
+    return theta
+
+#----------------------------------------------------------------------
+def calculateVega(double s, double k, double r, double t, double v, int cp):
+    """"""
+    vega = calculateOriginalVega(s, k, r, t, v, cp) / 100
+    return vega
+
+#----------------------------------------------------------------------
+def calculateOriginalVega(double s, double k, double r, double t, double v, int cp):
+    """"""    
+    cdef double d1, vega
+    
+    if v <= 0:
+        return 0  
+        
+    d1 = calculateD1(s, k, r, t, v)
+    vega = s * pdf(d1) * sqrt(t)
+
+    return vega
+
+#----------------------------------------------------------------------
+def calculateGreeks(double s, double k, double r, double t, double v, int cp):
+    """"""
+    price = calculatePrice(s, k, r, t, v, cp)
+    delta = calculateDelta(s, k, r, t, v, cp)
+    gamma = calculateGamma(s, k, r, t, v, cp)
+    theta = calculateTheta(s, k, r, t, v, cp)
+    vega = calculateVega(s, k, r, t, v, cp)
+    return price, delta, gamma, theta, vega
+
+#----------------------------------------------------------------------
+def calculateImpv(price, s, k, r, t, cp):
+    """"""
+    if price <= 0:
+        return 0
+    
+    meet = False
+    
+    if cp == 1 and (price > (s - k) * exp(-r * t)):
+        meet = True
+    elif cp == -1 and (price > k * exp(-r * t) - s):
+        meet = True
+    
+    if not meet:
+        return 0
+    
+    v = 0.3
+    
+    for i in range(50):
+        p = calculatePrice(s, k, r, t, v, cp)
+        
+        vega = calculateOriginalVega(s, k, r, t, v, cp)
+        
+        if not vega:
+            break
+        
+        dx = (price - p) / vega
+        
+        if abs(dx) < DX_TARGET:
+            break
+        
+        v += dx
+        
+    if v <= 0:
+        return 0
+    
+    v = round(v, 4)
+    
+    return v
+    

vnpy/pricing/bsCython/setup.py

@@ -0,0 +1,7 @@
+from distutils.core import setup
+from Cython.Build import cythonize
+
+setup(
+  name = 'bsCython',
+  ext_modules = cythonize("bsCython.pyx"),
+)

vnpy/trader/app/optionMaster/etf_portfolio.json

@@ -1,6 +1,6 @@
 {
     "name": "etf_portfolio", 
-    "model": "black",
+    "model": "bsCython",
     "underlying": [
         "510050"
     ],     

vnpy/trader/app/optionMaster/omEngine.py

@@ -17,7 +17,7 @@ from vnpy.trader.vtConstant import (PRODUCT_OPTION, OPTION_CALL, OPTION_PUT,
                                     DIRECTION_LONG, DIRECTION_SHORT,
                                     OFFSET_OPEN, OFFSET_CLOSE,
                                     PRICETYPE_LIMITPRICE)
-from vnpy.pricing import black, bs, crr
+from vnpy.pricing import black, bs, crr, bsCython
 
 from .omBase import (OmOption, OmUnderlying, OmChain, OmPortfolio,
                      EVENT_OM_LOG, EVENT_OM_STRATEGY, EVENT_OM_STRATEGYLOG,
@@ -31,6 +31,7 @@ MODEL_DICT = {}
 MODEL_DICT['black'] = black
 MODEL_DICT['bs'] = bs
 MODEL_DICT['crr'] = crr
+MODEL_DICT['bsCython'] = bsCython