primo commit

pricer/comparison.py

@@ -0,0 +1,107 @@
+from typing import List
+
+from . import calc
+from .payoffs import PayoffContext
+from .report import generate_report
+
+
+def clone_context(original: PayoffContext) -> PayoffContext:
+    return PayoffContext(
+        days_to_maturity=original.days_to_maturity,
+        r=original.r,
+        capital_value=original.capital_value,
+        prot_min_val=original.prot_min_val,
+        pdi_barrier=original.pdi_barrier,
+        pdi_style=original.pdi_style,
+        coupon_in_memory=original.coupon_in_memory,
+        days_to_obs_y_fract=list(original.days_to_obs_y_fract),
+        coupon_triggers=list(original.coupon_triggers),
+        coupon_values=list(original.coupon_values),
+        autocall_triggers=list(original.autocall_triggers),
+        autocall_values=list(original.autocall_values),
+        memory_flags=list(original.memory_flags),
+        caso=original.caso,
+        pdi_strike=original.pdi_strike,
+        fattore_airbag=original.fattore_airbag,
+        trigger_one_star=original.trigger_one_star,
+        cap=original.cap,
+        days_to_obs=list(original.days_to_obs),
+        airbag=original.airbag,
+        sigma=original.sigma,
+        relief=original.relief,
+        twin_win=original.twin_win,
+        one_star=original.one_star,
+        leva=original.leva,
+        volatility=list(original.volatility),
+        prices_ul=list(original.prices_ul),
+        nominal_amount=original.nominal_amount,
+    )
+
+
+def compare_fair_values(
+    num_simulations: int,
+    prices_ul: List[float],
+    corr_matrix: List[List[float]],
+    num_assets: int,
+    days_to_maturity: int,
+    rate: float,
+    dividends: List[float],
+    context: PayoffContext,
+    nominal_amount: float,
+    isin: str,
+    ask: float,
+    bid: float,
+    last_date,
+    category: str,
+) -> None:
+    print(f"Motore GBM con payoff engine '{context.caso}'")
+
+    results = calc.simulate_payoffs(
+        num_simulations,
+        prices_ul,
+        corr_matrix,
+        days_to_maturity,
+        rate,
+        dividends,
+        context.volatility,
+        context.days_to_obs,
+        context.days_to_obs_y_fract,
+        context.coupon_values,
+        context.coupon_triggers,
+        context.autocall_values,
+        context.autocall_triggers,
+        context.memory_flags,
+        context.coupon_in_memory,
+        context.pdi_style,
+        context.pdi_strike,
+        context.pdi_barrier,
+        context.capital_value,
+        context.prot_min_val,
+        context.airbag,
+        context.sigma,
+        context.twin_win,
+        context.relief,
+        context.fattore_airbag,
+        context.one_star,
+        context.trigger_one_star,
+        context.cap,
+    )
+    results = [float(val) * 100.0 for val in results]
+
+    mean = sum(results) / num_simulations
+    variance = sum((val - mean) ** 2 for val in results) / num_simulations
+    stddev = variance ** 0.5
+
+    fair_value_scaled = mean * nominal_amount / 100.0
+    fair_values = [int(val * nominal_amount / 100) for val in results]
+
+    generate_report(
+        isin=isin,
+        category=category,
+        fair_value=fair_value_scaled,
+        fair_values=fair_values,
+        ask=ask,
+        bid=bid,
+        num_sims=num_simulations,
+        last_date_price=last_date,
+    )