[Add]新增crrCython期权定价模型，感谢杭州-Michael的贡献

vnpy/pricing/bsCython/bsCython.pyx

@@ -1,3 +1,5 @@
+from __future__ import division
+
 DX_TARGET = 0.00001
 
 

vnpy/pricing/crr.py

@@ -1,5 +1,7 @@
 # encoding: UTF-8
 
+from __future__ import division
+
 '''
 Cox-Ross-Rubinstein二叉树期权定价模型，主要用于标的物为期货的美式期权的定价
 
@@ -54,7 +56,7 @@ def generateTree(f, k, r, t, v, cp, n):
     p = (a - d) / (u - d)
     p1 = p / a
     p2 = (1 - p) / a
-
+    
     # 计算标的树
     uTree[0, 0] = f
 
@@ -139,9 +141,9 @@ def calculateImpv(price, f, k, r, t, cp, n=15):
     # 检查期权价格是否满足最小价值（即到期行权价值）
     meet = False
     
-    if cp == 1 and (price > f - k):
+    if cp == 1 and price > (f - k):
         meet = True
-    elif cp == -1 and (price > k - f):
+    elif cp == -1 and price > (k - f):
         meet = True
     
     # 若不满足最小价值，则直接返回0

vnpy/pricing/crrCython/crrCython.pyx

@@ -0,0 +1,158 @@
+from __future__ import division
+
+import numpy as np
+from math import isnan
+
+cimport numpy as np
+cimport cython
+    
+cdef extern from "math.h" nogil:
+    double exp(double)
+    double sqrt(double)
+    double pow(double, double)
+    double fmax(double, double)
+    double fabs(double)
+
+cdef double STEP_CHANGE = 0.001
+cdef double STEP_UP = 1 + STEP_CHANGE
+cdef double STEP_DOWN = 1 - STEP_CHANGE
+cdef double STEP_DIFF = STEP_CHANGE * 2
+
+cdef double DX_TARGET = 0.00001
+
+
+#----------------------------------------------------------------------
+cdef tuple generateTree(double f, double k, double r, double t, double v, int cp, int n):
+    """"""
+    cdef double dt = t / n
+    cdef double u = exp(v * sqrt(dt))
+    cdef double d = 1.0 / u
+    cdef double a = 1.0
+    
+    cdef double p = (a - d) / (u - d)
+    cdef double p1 = p / a
+    cdef double p2 = (1 - p) / a
+
+    cdef np.ndarray[np.double_t, ndim=2] uTree = np.zeros((n+1, n+1))
+    cdef np.ndarray[np.double_t, ndim=2] oTree = np.zeros((n+1, n+1))
+    
+    cdef int i,j
+    
+    uTree[0,0] = f
+
+    for i in range(1, n+1):
+        uTree[0, i] = uTree[0, i-1] * u
+        for j in range(1, i+1):
+            uTree[j, i] = uTree[j-1, i-1] * d
+
+    for j in range(n+1):    
+        oTree[j, n] = max(0, cp * (uTree[j, n]-k))
+
+    for i in range(n-1,-1,-1):
+        for j in range(i+1):
+            oTree[j, i] = max((p1 * oTree[j, i+1] + p2 * oTree[j+1, i+1]),
+                               cp * (uTree[j, i] - k))                    
+
+    return oTree, uTree
+
+#----------------------------------------------------------------------
+cpdef double calculatePrice(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    oTree, uTree = generateTree(f, k, r, t, v, cp, n)
+    return oTree[0, 0]
+
+#----------------------------------------------------------------------
+cpdef double calculateDelta(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    price1 = calculatePrice(f*STEP_UP, k, r, t, v, cp, n)
+    price2 = calculatePrice(f*STEP_DOWN, k, r, t, v, cp, n)
+    delta = (price1 - price2) / (f * STEP_DIFF)
+    return delta
+
+#----------------------------------------------------------------------
+cpdef double calculateGamma(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    delta1 = calculateDelta(f*STEP_UP, k, r, t, v, cp, n)
+    delta2 = calculateDelta(f*STEP_DOWN, k, r, t, v, cp, n)
+    gamma = (delta1 - delta2) / (f * STEP_DIFF) * pow(f, 2) * 0.0001
+    return gamma
+
+#----------------------------------------------------------------------
+cpdef double calculateTheta(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    price1 = calculatePrice(f, k, r, t*STEP_UP, v, cp, n)
+    price2 = calculatePrice(f, k, r, t*STEP_DOWN, v, cp, n)
+    theta = -(price1 - price2) / (t * STEP_DIFF * 240)
+    return theta
+
+#----------------------------------------------------------------------
+cpdef double calculateVega(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    vega = calculateOriginalVega(f, k, r, t, v, cp, n) / 100
+    return vega
+
+#----------------------------------------------------------------------
+cdef double calculateOriginalVega(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    price1 = calculatePrice(f, k, r, t, v*STEP_UP, cp, n)
+    price2 = calculatePrice(f, k, r, t, v*STEP_DOWN, cp, n)
+    vega = (price1 - price2) / (v * STEP_DIFF)
+    return vega
+
+#----------------------------------------------------------------------
+def calculateGreeks(double f, double k, double r, double t, double v, int cp, int n=15):
+    """"""
+    cdef double price, delta, gamma, theta, vega
+    
+    if v <= 0:
+        return 0, 0, 0, 0, 0
+
+    price = calculatePrice(f, k, r, t, v, cp, n)
+    delta = calculateDelta(f, k, r, t, v, cp, n)
+    gamma = calculateGamma(f, k, r, t, v, cp, n)
+    theta = calculateTheta(f, k, r, t, v, cp, n)
+    vega = calculateVega(f, k, r, t, v, cp, n)
+
+    return price, delta, gamma, theta, vega
+
+#----------------------------------------------------------------------
+cpdef double calculateImpv(double price, double f, double k, double r, double t, int cp, int n=15):
+    """"""
+    cdef double p, v, dx, vega
+    
+    if price <= 0:
+        return 0
+    
+    meet = False
+    
+    if cp == 1 and price > (f - k):
+        meet = True
+    elif cp == -1 and price > (k - f):
+        meet = True
+    
+    if not meet:
+        return 0
+    
+    v = 0.3
+    
+    try:
+        for i in range(50):
+            p = calculatePrice(f, k, r, t, v, cp, n)
+            vega = calculateOriginalVega(f, k, r, t, v, cp, n)
+            
+            if not vega:
+                break
+            
+            dx = (price - p) / vega            
+            if abs(dx) < DX_TARGET:
+                break
+            
+            v += dx
+    except:
+        v = 0
+        
+    if v <= 0:
+        return 0
+    
+    v = round(v, 4)
+    return v

vnpy/pricing/crrCython/setup.py

@@ -0,0 +1,11 @@
+# encoding: UTF-8
+from distutils.core import setup
+from Cython.Build import cythonize
+import numpy
+
+
+setup(
+  name = 'crrCython',
+  ext_modules = cythonize("crrCython.pyx"),
+  include_dirs = [numpy.get_include()]
+)

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, bsCython
+from vnpy.pricing import black, bs, crr, bsCython, crrCython
 
 from .omBase import (OmOption, OmUnderlying, OmChain, OmPortfolio,
                      EVENT_OM_LOG, EVENT_OM_STRATEGY, EVENT_OM_STRATEGYLOG,
@@ -32,6 +32,7 @@ MODEL_DICT['black'] = black
 MODEL_DICT['bs'] = bs
 MODEL_DICT['crr'] = crr
 MODEL_DICT['bsCython'] = bsCython
+MODEL_DICT['crrCython'] = crrCython