quantmod 0.0.5__tar.gz → 0.0.6__tar.gz

{quantmod-0.0.5 → quantmod-0.0.6}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: quantmod
-Version: 0.0.5
+Version: 0.0.6
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu
@@ -20,7 +20,6 @@ Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE.txt
 Requires-Dist: joblib
-Requires-Dist: jugaad-data
 Requires-Dist: matplotlib
 Requires-Dist: numpy>=2.0.2
 Requires-Dist: pandas>=2.2.2
@@ -57,13 +56,13 @@ pip install quantmod
 
 ## Modules
 
-* [markets](https://kannansingaravelu.com/docs/site/markets/)
-* [models](https://kannansingaravelu.com/docs/site/models/)
-* [risk](https://kannansingaravelu.com/docs/site/risk/) 
-* [timeseries](https://kannansingaravelu.com/docs/site/timeseries/)
-* [indicators](https://kannansingaravelu.com/docs/site/indicators/)
-* [derivatives](https://kannansingaravelu.com/docs/site/derivatives/)
-* [datasets](https://kannansingaravelu.com/docs/site/datasets/)
+* [markets](https://kannansingaravelu.com/quantmod/markets/)
+* [models](https://kannansingaravelu.com/quantmod/models/)
+* [risk](https://kannansingaravelu.com/quantmod/risk/) 
+* [timeseries](https://kannansingaravelu.com/quantmod/timeseries/)
+* [indicators](https://kannansingaravelu.com/quantmod/indicators/)
+* [derivatives](https://kannansingaravelu.com/quantmod/derivatives/)
+* [datasets](https://kannansingaravelu.com/quantmod/datasets/)
 
 
 ## Quickstart
@@ -99,7 +98,7 @@ Refer to the [examples](https://kannansingaravelu.com/) section for more details
 
 
 ## Changelog
-The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/docs/site/changelog/)
+The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/quantmod/changelog/)
 
 
 ## Community

{quantmod-0.0.5 → quantmod-0.0.6}/README.md

@@ -12,13 +12,13 @@ pip install quantmod
 
 ## Modules
 
-* [markets](https://kannansingaravelu.com/docs/site/markets/)
-* [models](https://kannansingaravelu.com/docs/site/models/)
-* [risk](https://kannansingaravelu.com/docs/site/risk/) 
-* [timeseries](https://kannansingaravelu.com/docs/site/timeseries/)
-* [indicators](https://kannansingaravelu.com/docs/site/indicators/)
-* [derivatives](https://kannansingaravelu.com/docs/site/derivatives/)
-* [datasets](https://kannansingaravelu.com/docs/site/datasets/)
+* [markets](https://kannansingaravelu.com/quantmod/markets/)
+* [models](https://kannansingaravelu.com/quantmod/models/)
+* [risk](https://kannansingaravelu.com/quantmod/risk/) 
+* [timeseries](https://kannansingaravelu.com/quantmod/timeseries/)
+* [indicators](https://kannansingaravelu.com/quantmod/indicators/)
+* [derivatives](https://kannansingaravelu.com/quantmod/derivatives/)
+* [datasets](https://kannansingaravelu.com/quantmod/datasets/)
 
 
 ## Quickstart
@@ -54,7 +54,7 @@ Refer to the [examples](https://kannansingaravelu.com/) section for more details
 
 
 ## Changelog
-The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/docs/site/changelog/)
+The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/quantmod/changelog/)
 
 
 ## Community

{quantmod-0.0.5 → quantmod-0.0.6}/quantmod/derivatives/__init__.py

@@ -16,6 +16,6 @@
 # limitations under the License.
 #
 
-from .optionchain import OptionChain
+from .nse import OptionData
 
-__all__ = ["OptionChain"]
+__all__ = ["OptionData"]

quantmod-0.0.6/quantmod/derivatives/nse.py

@@ -0,0 +1,274 @@
+# improvised from nsepython
+# to be used only for tutorial purposes
+# for production use, please reach out to NSE India
+import os, sys
+import requests
+import numpy as np
+import pandas as pd
+import json
+import random
+import datetime, time
+import logging
+import re
+import urllib.parse
+
+# Constants
+indices = ["NIFTY", "FINNIFTY", "BANKNIFTY"]
+
+mode = "local"
+
+if mode == "vpn":
+
+    def nsefetch(payload):
+        if ("%26" in payload) or ("%20" in payload):
+            encoded_url = payload
+        else:
+            encoded_url = urllib.parse.quote(payload, safe=":/?&=")
+        payload_var = 'curl -b cookies.txt "' + encoded_url + '"' + curl_headers + ""
+        try:
+            output = os.popen(payload_var).read()
+            output = json.loads(output)
+        except ValueError:  # includes simplejson.decoder.JSONDecodeError:
+            payload2 = "https://www.nseindia.com"
+            output2 = os.popen(
+                'curl -c cookies.txt "' + payload2 + '"' + curl_headers + ""
+            ).read()
+
+            output = os.popen(payload_var).read()
+            output = json.loads(output)
+        return output
+
+
+if mode == "local":
+
+    def nsefetch(payload):
+        try:
+            output = requests.get(payload, headers=headers).json()
+            # print(output)
+        except ValueError:
+            s = requests.Session()
+            output = s.get("http://nseindia.com", headers=headers)
+            output = s.get(payload, headers=headers).json()
+        return output
+
+
+headers = {
+    "accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.7",
+    "accept-language": "en-US,en;q=0.9,en-IN;q=0.8,en-GB;q=0.7",
+    "cache-control": "max-age=0",
+    "priority": "u=0, i",
+    "sec-ch-ua": '"Microsoft Edge";v="129", "Not=A?Brand";v="8", "Chromium";v="129"',
+    "sec-ch-ua-mobile": "?0",
+    "sec-ch-ua-platform": '"Windows"',
+    "sec-fetch-dest": "document",
+    "sec-fetch-mode": "navigate",
+    "sec-fetch-site": "none",
+    "sec-fetch-user": "?1",
+    "upgrade-insecure-requests": "1",
+    "user-agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/129.0.0.0 Safari/537.36 Edg/129.0.0.0",
+}
+# Curl headers
+curl_headers = """ -H "authority: beta.nseindia.com" -H "cache-control: max-age=0" -H "dnt: 1" -H "upgrade-insecure-requests: 1" -H "user-agent: Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/79.0.3945.117 Safari/537.36" -H "sec-fetch-user: ?1" -H "accept: text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9" -H "sec-fetch-site: none" -H "sec-fetch-mode: navigate" -H "accept-encoding: gzip, deflate, br" -H "accept-language: en-US,en;q=0.9,hi;q=0.8" --compressed"""
+
+
+class OptionData:
+    """
+    A class to fetch and analyze option chain data from NSE.
+
+    Parameters
+    ----------
+    symbol : str
+        Trading symbol of the stock/index (e.g., 'NIFTY', 'RELIANCE')
+    expiry_dt : str
+        Expiry date in format '%d-%b-%Y' (e.g., '27-Mar-2025')
+        Note: Month should be first 3 letters capitalized (Jan, Feb, Mar, etc.)
+
+    Attributes
+    ----------
+    get_put_call_ratio : float
+        Put-Call ratio based on open interest
+    get_maximum_pain_strike : float
+        Maximum pain strike price
+    get_call_option_data : pandas.DataFrame
+        Call option chain data
+    get_put_option_data : pandas.DataFrame
+        Put option chain data
+
+    Methods
+    -------
+    get_option_quote : float
+        Get option quote for specific strike price, option type and transaction intent
+    get_synthetic_future_price : float
+        Calculate synthetic futures price using put-call parity
+    """
+
+    def __init__(self, symbol, expiry_dt):
+        """
+        Initialize the OptionData class.
+
+        Parameters
+        ----------
+        symbol : str
+            Trading symbol of the stock/index (e.g., 'NIFTY', 'RELIANCE')
+        expiry_dt : str
+            Expiry date in format '%d-%b-%Y' (e.g., '27-Mar-2025')
+            Note: Month should be first 3 letters capitalized (Jan, Feb, Mar, etc.)
+        """
+        self.expiry_dt = expiry_dt
+        self.symbol = symbol.replace(
+            "&", "%26"
+        )  # URL Parse for Stocks Like M&M Finance
+        self.payload = self._nse_optionchain_scrapper()
+
+        self.get_put_call_ratio = self._get_option_pcr()
+        self.get_maximum_pain_strike = self._get_maximum_pain_strike()
+        self.get_call_option_data = self._get_call_option_data()
+        self.get_put_option_data = self._get_put_option_data()
+
+    def _nse_optionchain_scrapper(self):
+        """
+        Fetch option chain data from NSE website.
+
+        Returns
+        -------
+        dict
+            Raw option chain data from NSE API
+        """
+        if any(x in self.symbol for x in indices):
+            payload = nsefetch(
+                "https://www.nseindia.com/api/option-chain-indices?symbol="
+                + self.symbol
+            )
+        else:
+            payload = nsefetch(
+                "https://www.nseindia.com/api/option-chain-equities?symbol="
+                + self.symbol
+            )
+        return payload
+
+    def get_option_quote(self, strikePrice, optionType, intent=""):
+        """
+        Get option quote for specific strike price and option type.
+
+        Parameters
+        ----------
+        strikePrice : float
+            Strike price of the option
+        optionType : str
+            Type of option, either 'CE' (Call) or 'PE' (Put)
+        intent : str, optional
+            Quote type:
+            - '' (default) for last traded price
+            - 'sell' for bid price
+            - 'buy' for ask price
+
+        Returns
+        -------
+        float
+            Option price based on the specified intent
+        """
+        for x in range(len(self.payload["records"]["data"])):
+            if (self.payload["records"]["data"][x]["strikePrice"] == strikePrice) & (
+                self.payload["records"]["data"][x]["expiryDate"] == self.expiry_dt
+            ):
+                if intent == "":
+                    return self.payload["records"]["data"][x][optionType]["lastPrice"]
+                if intent == "sell":
+                    return self.payload["records"]["data"][x][optionType]["bidprice"]
+                if intent == "buy":
+                    return self.payload["records"]["data"][x][optionType]["askPrice"]
+
+    def _get_option_pcr(self):
+        """
+        Calculate Put-Call Ratio based on open interest.
+
+        Returns
+        -------
+        float
+            Put-Call ratio rounded to 2 decimal places
+        """
+        ce_oi = 0
+        pe_oi = 0
+        for i in self.payload["records"]["data"]:
+            if i["expiryDate"] == self.expiry_dt:
+                try:
+                    ce_oi += i["CE"]["openInterest"]
+                    pe_oi += i["PE"]["openInterest"]
+                except KeyError:
+                    pass
+        return round(pe_oi / ce_oi, 2)
+
+    def get_synthetic_future_price(self, strike):
+        """
+        Calculate synthetic futures price using put-call parity.
+
+        Parameters
+        ----------
+        strike : float
+            Strike price to use for calculation
+
+        Returns
+        -------
+        float
+            Synthetic futures price
+        """
+        synthetic_futures = (
+            strike
+            + self.get_option_quote(strike, "CE", "buy")
+            - self.get_option_quote(strike, "PE", "sell")
+        )
+        return synthetic_futures
+
+    def _get_call_option_data(self):
+        """
+        Get call options data for current expiry.
+
+        Returns
+        -------
+        pandas.DataFrame
+            DataFrame containing call options data sorted by strike price
+        """
+        ce_values = [
+            data["CE"]
+            for data in self.payload["records"]["data"]
+            if "CE" in data and data["expiryDate"] == self.expiry_dt
+        ]
+        return pd.DataFrame(ce_values).sort_values(["strikePrice"])
+
+    def _get_put_option_data(self):
+        """
+        Get put options data for current expiry.
+
+        Returns
+        -------
+        pandas.DataFrame
+            DataFrame containing put options data sorted by strike price
+        """
+        pe_values = [
+            data["PE"]
+            for data in self.payload["records"]["data"]
+            if "PE" in data and data["expiryDate"] == self.expiry_dt
+        ]
+        return pd.DataFrame(pe_values).sort_values(["strikePrice"])
+
+    def _get_maximum_pain_strike(self):
+        """
+        Calculate maximum pain strike price.
+
+        Returns
+        -------
+        float
+            Strike price where maximum pain occurs
+        """
+        calls = self._get_call_option_data()
+        strikes = calls["strikePrice"]
+        ce_oi = calls["openInterest"]
+        pe_oi = self._get_put_option_data()["openInterest"]
+
+        total_pain = [
+            sum(ce_oi * np.maximum(0, expiry_price - strikes))
+            + sum(pe_oi * np.maximum(0, strikes - expiry_price))
+            for expiry_price in strikes
+        ]
+
+        return strikes[np.argmin(total_pain)]

quantmod-0.0.6/quantmod/models/montecarlo.py

@@ -0,0 +1,152 @@
+import numpy as np
+from enum import Enum
+from pydantic import Field
+from typing import Optional
+from .optioninputs import OptionInputs
+
+
+class OptionType(str, Enum):
+    CALL = "call"
+    PUT = "put"
+
+
+class ExerciseStyle(str, Enum):
+    EUROPEAN = "european"
+    ASIAN = "asian"
+    BARRIER = "barrier"
+
+
+class BarrierType(str, Enum):
+    UP_AND_OUT = "up_and_out"
+
+
+class MonteCarloOptionPricing:
+    """
+    Monte Carlo Pricing for options.
+
+    Parameters
+    ----------
+    inputs : OptionInputs
+        The inputs for the option pricing model.
+    nsims : int, optional
+        Number of simulations (default is Field(..., gt=0)).
+    timestep : int, optional
+        Time step (default is Field(..., gt=0)).
+    option_type : OptionType
+        Type of option (Call or Put).
+    exercise_style : ExerciseStyle
+        Style of exercise (American, European, or Barrier).
+    barrier_level : float, optional
+        Barrier level for barrier options (default is None).
+    barrier_rebate : int, optional
+        Barrier rebate for barrier options (default is None).
+    barrier_type : BarrierType, optional
+        Type of barrier option (default is None).
+
+    Attributes
+    ----------
+    option_price : float
+        The calculated option price.
+
+    Raises
+    ------
+    ValueError
+        If an unsupported exercise style or barrier type is provided.
+    """
+
+    def __init__(
+        self,
+        inputs: OptionInputs,
+        nsims: int = Field(..., gt=0, description="Number of simulations"),
+        timestep: int = Field(..., gt=0, description="Time step"),
+        option_type: OptionType = Field(..., description="Call or Put"),
+        exercise_style: ExerciseStyle = Field(
+            ..., description="American or European or Barrier"
+        ),
+        barrier_level: Optional[float] = Field(
+            None, gt=0, description="Barrier level (for barrier options)"
+        ),
+        barrier_rebate: Optional[int] = Field(
+            None, gt=0, description="Barrier rebate (for barrier options)"
+        ),
+        barrier_type: Optional[BarrierType] = Field(
+            None, description="Type of barrier option"
+        ),
+    ) -> None:
+        self.inputs = inputs
+        self.spot = self.inputs.spot
+        self.strike = self.inputs.strike
+        self.rate = self.inputs.rate
+        self.ttm = self.inputs.ttm
+        self.sigma = self.inputs.volatility
+
+        self.nsims = nsims
+        self.timestep = timestep
+        self.option_type = option_type
+        self.exercise_style = exercise_style
+        self.barrier_level = barrier_level
+        self.barrier_rebate = barrier_rebate
+        self.barrier_type = barrier_type
+
+        # Calculate the price immediately upon initialization
+        self._calculate_price()
+
+    def _calculate_price(self):
+        """
+        Calculate the option price using Monte Carlo simulation.
+
+        Returns
+        -------
+        float
+            The calculated option price.
+        """
+        dt = self.ttm / self.timestep
+        discount_factor = np.exp(-self.rate * self.ttm)
+
+        # Simulate price paths
+        price_paths = np.zeros((self.nsims, self.timestep + 1))
+        price_paths[:, 0] = self.spot
+
+        for t in range(1, self.timestep + 1):
+            z = np.random.standard_normal(self.nsims)
+            price_paths[:, t] = price_paths[:, t - 1] * np.exp(
+                (self.rate - 0.5 * self.sigma**2) * dt + self.sigma * np.sqrt(dt) * z
+            )
+
+        # Calculate payoff based on option style
+        if self.exercise_style == ExerciseStyle.EUROPEAN:
+            if self.option_type == OptionType.CALL:
+                payoff = np.maximum(price_paths[:, -1] - self.strike, 0)
+            else:
+                payoff = np.maximum(self.strike - price_paths[:, -1], 0)
+        elif self.exercise_style == ExerciseStyle.ASIAN:
+            avg_price = np.mean(price_paths, axis=1)
+            if self.option_type == OptionType.CALL:
+                payoff = np.maximum(avg_price - self.strike, 0)
+            else:
+                payoff = np.maximum(self.strike - avg_price, 0)
+        elif self.exercise_style == ExerciseStyle.BARRIER:
+            if self.barrier_type == BarrierType.UP_AND_OUT:
+                barrier_shift = self.barrier_level * np.exp(
+                    0.5826 * self.sigma * np.sqrt(self.ttm / self.timestep)
+                )
+                if self.option_type == OptionType.CALL:
+                    payoff = np.where(
+                        np.max(price_paths, axis=1) < barrier_shift,
+                        np.maximum(price_paths[:, -1] - self.strike, 0),
+                        self.barrier_rebate,
+                    )
+                else:
+                    payoff = np.where(
+                        np.max(price_paths, axis=1) < barrier_shift,
+                        np.maximum(self.strike - price_paths[:, -1], 0),
+                        self.barrier_rebate,
+                    )
+            else:
+                raise ValueError("Currently only supports Up-and-out barrier options.")
+        else:
+            raise ValueError(f"Unsupported exercise style: {self.exercise_style}")
+
+        # Calculate option price
+        self.option_price = discount_factor * np.mean(payoff)
+        return self.option_price

quantmod-0.0.6/quantmod/version.py

@@ -0,0 +1 @@
+version = "0.0.6"

{quantmod-0.0.5 → quantmod-0.0.6}/quantmod.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: quantmod
-Version: 0.0.5
+Version: 0.0.6
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu
@@ -20,7 +20,6 @@ Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE.txt
 Requires-Dist: joblib
-Requires-Dist: jugaad-data
 Requires-Dist: matplotlib
 Requires-Dist: numpy>=2.0.2
 Requires-Dist: pandas>=2.2.2
@@ -57,13 +56,13 @@ pip install quantmod
 
 ## Modules
 
-* [markets](https://kannansingaravelu.com/docs/site/markets/)
-* [models](https://kannansingaravelu.com/docs/site/models/)
-* [risk](https://kannansingaravelu.com/docs/site/risk/) 
-* [timeseries](https://kannansingaravelu.com/docs/site/timeseries/)
-* [indicators](https://kannansingaravelu.com/docs/site/indicators/)
-* [derivatives](https://kannansingaravelu.com/docs/site/derivatives/)
-* [datasets](https://kannansingaravelu.com/docs/site/datasets/)
+* [markets](https://kannansingaravelu.com/quantmod/markets/)
+* [models](https://kannansingaravelu.com/quantmod/models/)
+* [risk](https://kannansingaravelu.com/quantmod/risk/) 
+* [timeseries](https://kannansingaravelu.com/quantmod/timeseries/)
+* [indicators](https://kannansingaravelu.com/quantmod/indicators/)
+* [derivatives](https://kannansingaravelu.com/quantmod/derivatives/)
+* [datasets](https://kannansingaravelu.com/quantmod/datasets/)
 
 
 ## Quickstart
@@ -99,7 +98,7 @@ Refer to the [examples](https://kannansingaravelu.com/) section for more details
 
 
 ## Changelog
-The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/docs/site/changelog/)
+The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/quantmod/changelog/)
 
 
 ## Community

{quantmod-0.0.5 → quantmod-0.0.6}/quantmod.egg-info/SOURCES.txt

@@ -20,7 +20,7 @@ quantmod/datasets/data/__init__.py
 quantmod/datasets/data/nifty50.csv
 quantmod/datasets/data/spx.csv
 quantmod/derivatives/__init__.py
-quantmod/derivatives/optionchain.py
+quantmod/derivatives/nse.py
 quantmod/indicators/__init__.py
 quantmod/indicators/indicators.py
 quantmod/markets/__init__.py

{quantmod-0.0.5 → quantmod-0.0.6}/quantmod.egg-info/requires.txt

@@ -1,5 +1,4 @@
 joblib
-jugaad-data
 matplotlib
 numpy>=2.0.2
 pandas>=2.2.2

quantmod-0.0.5/quantmod/derivatives/optionchain.py

@@ -1,249 +0,0 @@
-import pandas as pd
-import numpy as np
-from jugaad_data.nse import NSELive
-
-
-# construct a class object
-class OptionChain:
-    """
-    A class to fetch and process option chain data from NSE (National Stock Exchange).
-
-    Parameters
-    ----------
-    symbol : str
-        Trading symbol (e.g., 'NIFTY', 'BANKNIFTY' or any equity symbol)
-    expiry_date : str
-        Expiry date of the options
-
-    Attributes
-    ----------
-    option_chain : pandas.DataFrame
-        Processed option chain data
-    call_option_data : pandas.DataFrame
-        Call options data
-    put_option_date : pandas.DataFrame
-        Put options data
-    option_pain : float
-        Maximum pain strike price
-
-    Methods
-    -------
-    get_option_price()
-        Get the option price (last traded, bid, or ask) for a specific option
-    get_synthetic_futures()
-        Calculate synthetic futures price for a given strike price
-    """
-
-    def __init__(self, symbol, expiry_date):
-        self.n = NSELive()
-        self.symbol = symbol
-        self.expiry_date = expiry_date
-
-        # flatten json and convert to dataframe
-        if symbol in ["NIFTY", "BANKNIFTY"]:
-            df = self.n.index_option_chain(self.symbol)["records"]["data"]
-        else:
-            df = self.n.equities_option_chain(self.symbol)["records"]["data"]
-        df = pd.json_normalize(df).fillna(0)
-        self.df = df[df["expiryDate"] == self.expiry_date]
-
-        # the __dict__ attributes
-        self.option_chain = self._get_option_chain()
-        self.call_option_data = self._get_call_option_data()
-        self.put_option_data = self._get_put_option_data()
-        self.option_pain = self._get_option_pain()
-
-    # get option chain
-    def _get_option_chain(self):
-        """
-        Retrieve the complete option chain data.
-
-        Returns
-        -------
-        pandas.DataFrame
-            Complete option chain data for the specified symbol and expiry
-        """
-        return self.df
-
-    # Create function to get call and put options
-    def _get_call_option_data(self):
-        """
-        Extract and process call option data from the option chain.
-
-        Returns
-        -------
-        pandas.DataFrame
-            Processed call options data with simplified column names
-        """
-        calls = self.option_chain.iloc[:, 21:].reset_index(drop=True)
-        cols = [i[3:] for i in calls.columns]
-        calls.columns = cols
-        return calls
-
-    def _get_put_option_data(self):
-        """
-        Extract and process put option data from the option chain.
-
-        Returns
-        -------
-        pandas.DataFrame
-            Processed put options data with simplified column names
-        """
-        puts = self.option_chain.iloc[:, 2:21].reset_index(drop=True)
-        cols = [i[3:] for i in puts.columns]
-        puts.columns = cols
-        return puts
-
-    # get option price
-    def get_option_price(self, strike, opt_type, txn_type=None):
-        """
-        Get the option price (last traded, bid, or ask) for a specific option.
-
-        Parameters
-        ----------
-        strike : float
-            Strike price of the option
-        opt_type : str
-            Option type ('CE' for Call or 'PE' for Put)
-        txn_type : str, optional
-            Transaction type ('buy', 'sell', or None for last price)
-
-        Returns
-        -------
-        float
-            Option price based on the specified parameters
-        """
-        price_type = (
-            "bidprice"
-            if txn_type == "sell"
-            else "askPrice"
-            if txn_type == "buy"
-            else "lastPrice"
-        )
-        col = f"{opt_type}.{price_type}"
-
-        return float(self.df[self.df["strikePrice"] == strike][col].iloc[0])
-
-    # get synthetic futures
-    def get_synthetic_futures(self, strike):
-        """
-        Calculate synthetic futures price for a given strike price.
-        Synthetic Futures price = Strike + Call - Put
-
-        Parameters
-        ----------
-        strike : float
-            Strike price for which to calculate synthetic futures
-
-        Returns
-        -------
-        float
-            Synthetic futures price
-        """
-        return (
-            strike
-            + self.get_option_price(strike, opt_type="CE", txn_type="buy")
-            - self.get_option_price(strike, opt_type="PE", txn_type="sell")
-        )
-
-    def _get_option_pain(self) -> float:
-        """
-        Calculate the maximum pain point - the strike price where the total value of all
-        options (calls and puts) would cause the most financial pain to option writers.
-
-        Returns
-        -------
-        float
-            Strike price at which maximum pain occurs
-        """
-        # Get data from class attributes
-        strikes = np.array(self.option_chain["strikePrice"], dtype=float)
-        call_oi = np.array(self.call_option_data["openInterest"], dtype=float)
-        put_oi = np.array(self.put_option_data["openInterest"], dtype=float)
-
-        # Calculate pain for each possible expiry price
-        total_pain = []
-
-        for expiry_price in strikes:
-            # Calculate call options pain
-            call_pain = sum(
-                call_oi[i] * max(0, expiry_price - strike)
-                for i, strike in enumerate(strikes)
-            )
-
-            # Calculate put options pain
-            put_pain = sum(
-                put_oi[i] * max(0, strike - expiry_price)
-                for i, strike in enumerate(strikes)
-            )
-
-            # Total pain at this price level
-            total_pain.append(call_pain + put_pain)
-
-        # Find strike with minimum pain
-        max_pain_index = np.argmin(total_pain)
-        return float(strikes[max_pain_index])
-
-    def plot_pain_analysis(self):
-        """
-        Plot pain analysis for the option chain.
-        """
-        # Get data from class attributes
-        strikes = np.array(self.option_chain["strikePrice"], dtype=float)
-        call_oi = np.array(self.call_option_data["openInterest"], dtype=float)
-        put_oi = np.array(self.put_option_data["openInterest"], dtype=float)
-
-        results = []
-
-        for expiry_price in strikes:
-            # Calculate call options pain
-            call_pain = sum(
-                call_oi[i] * max(0, expiry_price - strike)
-                for i, strike in enumerate(strikes)
-            )
-
-            # Calculate put options pain
-            put_pain = sum(
-                put_oi[i] * max(0, strike - expiry_price)
-                for i, strike in enumerate(strikes)
-            )
-
-            results.append(
-                {
-                    "Strike": expiry_price,
-                    "Call Pain": call_pain,
-                    "Put Pain": put_pain,
-                    "Total Pain": call_pain + put_pain,
-                }
-            )
-
-        analysis = pd.DataFrame(results)
-        # Plot the pain distribution (requires matplotlib)
-        try:
-            import matplotlib.pyplot as plt
-
-            plt.figure(figsize=(10, 6))
-            plt.plot(
-                analysis["Strike"], analysis["Total Pain"], "b-", label="Total Pain"
-            )
-            plt.plot(
-                analysis["Strike"], analysis["Call Pain"], "g--", label="Call Pain"
-            )
-            plt.plot(analysis["Strike"], analysis["Put Pain"], "r--", label="Put Pain")
-            plt.axvline(
-                x=self._get_option_pain(),
-                color="k",
-                linestyle=":",
-                label=f"Max Pain Strike: {self._get_option_pain():}",
-            )
-
-            plt.title("Option Pain Analysis")
-            plt.xlabel("Strike Price")
-            plt.ylabel("Pain Value")
-            plt.legend()
-            plt.grid(True)
-
-        except ImportError:
-            print("\nMatplotlib not installed. Skipping plot generation.")
-
-        plt.show()

quantmod-0.0.5/quantmod/models/montecarlo.py

@@ -1,145 +0,0 @@
-import numpy as np
-from pydantic import BaseModel, Field
-from typing import Optional, Tuple
-from .optioninputs import OptionInputs
-
-
-# Monte Carlo Option Pricing Engine
-class MonteCarloOptionPricing:
-    """
-    Class for Monte Carlo Option Pricing
-
-    Parameters
-    ----------
-    inputs : OptionInputs
-        Object containing the following option parameters:
-        spot : float
-            Current price of the underlying asset
-        strike : float
-            Strike price of the option
-        rate : float
-            Risk-free interest rate (as a decimal)
-        ttm : float
-            Time to maturity in years
-        volatility : float
-            Implied volatility of the underlying asset (as a decimal)
-        - callprice : float, optional
-            Market price of call option (used for implied volatility calculation)
-        - putprice : float, optional
-            Market price of put option (used for implied volatility calculation)
-    nsims : int, optional
-        Number of simulations (default is Field(..., gt=0)).
-    timestep : int, optional
-        Time step (default is Field(252, gt=0)).
-    option_type : OptionType
-        Type of option (Call or Put).
-    option_style : OptionStyle
-        Style of option (American, European, or Barrier).
-    barrier_level : float, optional
-        Barrier level for barrier options (default is None).
-    barrier_rebate : int, optional
-        Barrier rebate for barrier options (default is None).
-    barrier_type : BarrierType
-        Type of barrier option.
-
-    Returns
-    -------
-    attributes: float
-        call_vanilla, put_vanilla
-
-        call_asian, put_asian
-
-        upandoutcall
-    """
-
-    def __init__(
-        self,
-        inputs: OptionInputs,
-        initialspot: float = Field(..., gt=0, description="Initial stock price"),
-        nsims: int = Field(..., gt=0, description="Number of simulations"),
-        timestep: int = 252,
-        barrier: Optional[float] = None,
-        rebate: Optional[int] = None,
-    ) -> None:
-        self.inputs = inputs
-        self.initialspot = initialspot
-        self.nsims = nsims
-        self.timestep = timestep
-        self.barrier = barrier
-        self.rebate = rebate
-
-        self.call_vanilla, self.put_vanilla = self._vanillaoption()
-        self.call_asian, self.put_asian = self._asianoption()
-        self.upandoutcall = self._upandoutcall()
-
-    @property
-    def _discount_factor(self) -> float:
-        return np.exp(-self.inputs.rate * self.inputs.ttm)
-
-    @property
-    def _pseudorandomnumber(self) -> np.ndarray:
-        return np.random.standard_normal(self.nsims)
-
-    @property
-    def _simulatepath(self) -> np.ndarray:
-        """Simulate price path"""
-        np.random.seed(2024)
-
-        dt = self.inputs.ttm / self.timestep
-
-        S = np.zeros((self.timestep, self.nsims))
-        S[0] = self.initialspot
-
-        for i in range(0, self.timestep - 1):
-            w = self._pseudorandomnumber
-            S[i + 1] = S[i] * (
-                1 + self.inputs.rate * dt + self.inputs.volatility * np.sqrt(dt) * w
-            )
-
-        return S
-
-    def _vanillaoption(self) -> Tuple[float, float]:
-        """Calculate vanilla option payoff"""
-        S = self._simulatepath
-
-        vanilla_call = self._discount_factor * np.mean(
-            np.maximum(0, S[-1] - self.inputs.strike)
-        )
-        vanilla_put = self._discount_factor * np.mean(
-            np.maximum(0, self.inputs.strike - S[-1])
-        )
-
-        return [vanilla_call, vanilla_put]
-
-    def _asianoption(self) -> Tuple[float]:
-        """Calculate asian option payoff"""
-        S = self._simulatepath
-
-        A = S.mean(axis=0)
-
-        asian_call = self._discount_factor * np.mean(
-            np.maximum(0, A - self.inputs.strike)
-        )
-        asian_put = self._discount_factor * np.mean(
-            np.maximum(0, self.inputs.strike - A)
-        )
-
-        return [asian_call, asian_put]
-
-    def _upandoutcall(self) -> float:
-        """Calculate up-and-out barrier call option payoff"""
-        S = self._simulatepath
-
-        # Barrier shift
-        barriershift = self.barrier * np.exp(
-            0.5826 * self.inputs.volatility * np.sqrt(self.inputs.ttm / self.timestep)
-        )
-
-        value = 0
-        for i in range(self.nsims):
-            if S[:, i].max() < barriershift:
-                value += np.maximum(0, S[-1, i] - self.inputs.strike)
-            else:
-                value += self.rebate
-
-        return self._discount_factor * value / self.nsims

quantmod-0.0.5/quantmod/version.py

@@ -1 +0,0 @@
-version = "0.0.5"