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DynamicHedge2.m
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function [] = DynamicHedge2( obj,~ )
%% set user data
w = windmatlab;
ud = obj.UserData;
Code = ud.code;
Side = ud.side;
Strike = ud.strike;
Type = ud.type;
Yield = ud.yield;
Premium = ud.premium;
HedgeVol = ud.hedgevol;
Settle = ud.settle;
ExerciseDates = ud.exercisedates;
Volume = ud.volume;
N = length(Type);
rtWind = zeros(1000,2);
%% hedge setting
Hedge = ud.hedge;
ordinaryDelta = ud.ordinaryDelta;
lstweekDelta = ud.lastweekDelta;
lstdayDelta = ud.lastdayDelta;
%% binary option data
pCStrike = ud.pCStrike;
pPStrike = ud.pPStrike;
pCash = ud.pCash;
SettlePrice = ud.settleprice;
%% Shout Option %% Asian Shout Option
ShoutPrice = ud.ShoutPrice;
%% Adjusted Asian Option
t1=ud.t1;
%%
for i=1:N
%% (加速)预加载数据 计算Sigma rate
Time = (datenum(ExerciseDates(i))-datenum(today))/365;
fprintf('第%d个期权：\n',int8(i));
Price = w.wsq(char(Code(i)),'rt_last'); % 期货最新价格
Rate = w.wsq('CGB1Y.WI','rt_last')/100; % 一年期国债收益率
%% 设定文件格式
rtWind(i,1) = Price;
rtWind(i,2) = Rate;
save rtWindMat rtWind;
%% 估计波动率的问题
[EstVol,GarchVol,SellVol,BuyVol] = EstVolatility(char(Code(i)));
PremiumVol = Premium(i)*max(GarchVol,SellVol);
DiscountVol = (2-Premium(i))*min(GarchVol,BuyVol);
fprintf('历史均值估计的波动率为 %f\n',EstVol);
fprintf('GARCH模型估计的波动率为 %f\n',GarchVol);
if strcmp(char(Side(i)),'sellcall') || strcmp(char(Side(i)),'sellput')
fprintf('卖出期权所估计的波动率为 %f\n',SellVol);
fprintf('卖出期权时定价所使用波动率为 %f\n\n',PremiumVol);
Volatility = PremiumVol;
elseif strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'buyput')
fprintf('买入期权所估计的波动率为 %f\n',BuyVol);
fprintf('买入期权时定价所使用波动率为 %f\n\n',DiscountVol);
Volatility = DiscountVol;
end
%%
%% Type1 欧式期权的定价
if Type(i) == 1
[CallPrice,PutPrice] = blsprice(Price,Strike(i),Rate,Time,Volatility,Yield(i));
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = CallPrice;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = PutPrice;
end
fprintf('我们对该欧式期权的定价为：%f\n',OurPrice);
[CallDelta,PutDelta,Gamma,CallTheta,PutTheta,Vega,CallRho,PutRho] ...
= BS_GreekLetters(Price,Strike(i),Rate,Time,HedgeVol(i),Yield(i));
%% Type2 美式期权
elseif Type(i) == 2
[ AmeCallPrice,AmePutPrice,~,~,Prob] = CRRPrice(Price,Strike(i),Rate,Time,Volatility,Yield(i));
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = AmeCallPrice;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = AmePutPrice;
end
fprintf('我们对该美式期权的定价为：%f，Prob = %f\n\n',OurPrice,Prob);
[CallDelta,PutDelta,Gamma,CallTheta,PutTheta,Vega,CallRho,PutRho] ...
= BS_GreekLetters(Price,Strike(i),Rate,Time,HedgeVol(i),Yield(i));
%% Type3 亚式期权的定价---结果有错误
elseif Type(i) == 3
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
[AsianPrice,Var,UP] = Asian_improve(Price,Strike(i),Rate,Time,Volatility,1);
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
[AsianPrice,Var,UP] = Asian_improve(Price,Strike(i),Rate,Time,Volatility,0);
end
fprintf('我们对该亚式期权的定价为：%f\n',AsianPrice);
fprintf('亚式期权价格的方差为 %f 0.95置信区间的期权价格上下界为[%f, %f]\n\n',Var,UP);
[CallDelta,PutDelta,Gamma,CallTheta,PutTheta,Vega,CallRho,PutRho] ...
= AsianGreeksLevy(Price,Strike(i),HedgeVol(i),Rate,char(Settle(i)),char(ExerciseDates(i)));
%% Type4 二值期权
elseif Type(i) == 4
[ BinCall,pCall,BinPut,pPut ] = BinPrice(Price,pCStrike(i),pPStrike(i),pCash(i),Rate,Volatility,Time,Yield(i));
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = BinCall;
pS = pCall;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = BinPut;
pS = pPut;
end
fprintf('我们对该二元期权的定价为：%f\n',OurPrice);
fprintf('期权价格/标的价格 = %f\n',pS);
[CallDelta,PutDelta,CallGamma,PutGamma,CallTheta,PutTheta,CallVega,PutVega,CallRho,PutRho] = ...
Bin_GreekLetters( Price,pCStrike(i),pPStrike(i),Rate,pCash(i),HedgeVol(i),SettlePrice(i),char(ExerciseDates(i)),Yield(i));
%% Type5 亚式期权正确版本
elseif Type(i) == 5
% 时间计算的交易日
T=double(w.tdayscount(Settle(i),ExerciseDates(i)))/250;
Today=datestr(today,'yyyy-mm-dd');
t=double(w.tdayscount(Today,ExerciseDates(i)))/250;
n = length(w.wsd(char(Code(i)),'close',Settle(i),'-1td','tradingcalender'));
if T-t == 0 Save = Price;
else Save =(sum(w.wsd(char(Code(i)),'close',Settle(i),'-1td','tradingcalender'))+Price)/(n+1);
end
%%
[CallPrice,PutPrice,~,~] = AsianOption(Price,Save,Strike(i),T,t,Rate,Volatility);
[~,~,CallDelta,PutDelta] = AsianOption(Price,Save,Strike(i),T,t,Rate,HedgeVol(i));
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = CallPrice;Delta = CallDelta;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = PutPrice;Delta = PutDelta;
end
hedgevolume=Delta*Volume(i);%用公式算得的对冲手数
fprintf('商品现价、历史均价为：%.2f,%.2f\n',Price,Save);
fprintf('我们对该亚式期权最终的定价为：%f\n',OurPrice);
fprintf('用公式算得此刻该亚式期权的delta值为：%f\n',Delta);
fprintf('用公式算得的对冲手数为：%f\n\n',hedgevolume);
%% Type8 调整亚式期权正确版本
elseif Type(i) == 8
% 时间计算的交易日
T=double(w.tdayscount(Settle(i),ExerciseDates(i)))/250;
Today=datestr(today,'yyyy-mm-dd');
t=double(w.tdayscount(Today,ExerciseDates(i)))/250;
%%
if t >= t1(i) Save = 0;
else
n = double((t1(i)-t)*250-1);
n=double(n);
m=length(w.wsd(char(Code(i)),'close',Settle(i),'-1td','tradingcalender'));
m=double(m);
aaa=w.wsd(char(Code(i)),'close',Settle(i),'-1td','tradingcalender');
bbb=aaa(m-n:m);
Save =(sum(bbb)+Price)/(n+2);
end
%%
[CallPrice,PutPrice,~,~] = AsianOption4(Price,Save,Strike(i),T,t,t1(i),Rate,Volatility);
[~,~,CallDelta,PutDelta] = AsianOption4(Price,Save,Strike(i),T,t,t1(i),Rate,HedgeVol(i));
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = CallPrice;Delta = CallDelta;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = PutPrice;Delta = PutDelta;
end
hedgevolume=Delta*Volume(i);%用公式算得的对冲手数
fprintf('商品现价、历史均价为：%.2f,%.2f\n',Price,Save);
fprintf('我们对该亚式调整期权最终的定价为：%f\n',OurPrice);
fprintf('用公式算得此刻该亚式调整期权的delta值为：%f\n',Delta);
fprintf('用公式算得的对冲手数为：%f\n\n',hedgevolume);
%% Type6 呼叫期权
elseif Type(i) == 6
% Time = (datenum(ExerciseDates(i))-datenum(today))/365; % 此时时间的计算
[CallPrice,PutPrice] = ShoutOptionCRR(Price,ShoutPrice(i),Strike(i),Volatility,Time,Rate);
[CallDelta,PutDelta] = shoutgreeksCRR(Price,ShoutPrice(i),Strike(i),HedgeVol(i),Time,Rate);
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = CallPrice; Delta = CallDelta;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = PutPrice;Delta = PutDelta;
end
hedgevolume=Delta*Volume(i);%用公式算得的对冲手数
fprintf('商品现价为：%f\n',Price);
fprintf('呼叫期权的呼叫价格为：%.2f\n',ShoutPrice(i));
fprintf('该呼叫期权定价为：%f\n',OurPrice);
fprintf('该呼叫期权的Delta值为：%f\n',Delta);
fprintf('用公式算得的对冲手数为：%f\n\n',hedgevolume);
%% Type7 亚式呼叫期权
elseif Type(i) == 7
% 时间计算的交易日
T=double(w.tdayscount(Settle(i),ExerciseDates(i)))/250;
Today=datestr(today,'yyyy-mm-dd');
t=double(w.tdayscount(Today,ExerciseDates(i)))/250;
n = length(w.wsd(char(Code(i)),'close',Settle(i),'-1td','tradingcalender'));
if T-t==0 Save = Price;
else Save =(sum(w.wsd(char(Code(i)),'close',Settle(i),'-1td','tradingcalender'))+Price)/(n+1);
end
[CallPrice,PutPrice] = AsianShoutMC(Price,Save,Strike(i),T,t,Rate,Volatility,ShoutPrice(i));
[CallDelta,PutDelta]=AsianShoutGreeksMC(Price,Save,Strike(i),T,t,Rate,HedgeVol(i),ShoutPrice(i));
if strcmp(char(Side(i)),'buycall') || strcmp(char(Side(i)),'sellcall')
OurPrice = CallPrice;Delta = CallDelta;
elseif strcmp(char(Side(i)),'buyput') || strcmp(char(Side(i)),'sellput')
OurPrice = PutPrice;Delta = PutDelta;
end
hedgevolume=Delta*Volume(i);%用公式算得的对冲手数
fprintf('商品现价、历史均价为：%.2f,%.2f\n',Price,Save);
fprintf('呼叫期权的呼叫价格为：%.2f\n',ShoutPrice(i));
fprintf('该亚式呼叫期权价格为：%f\n',OurPrice);
fprintf('该亚式呼叫期权的Delta为：%f\n',Delta);
fprintf('用公式算得的对冲手数为：%f\n\n',hedgevolume);
%% 其余类型
else
error('期权类型输入错误！');
end
%% 对冲系列的问题
if Type(i) < 4
if strcmp(char(Side(i)),'sellput')
fprintf('\nPutDelta: %f\n',-PutDelta);
fprintf('Gamma: %f\n',-Gamma);
fprintf('PutTheta: %f\n',-PutTheta);
fprintf('Vega: %f\n',-Vega);
fprintf('PutRho: %f\n',-PutRho);
elseif strcmp(char(Side(i)),'buycall')
fprintf('\nCallDelta: %f\n',CallDelta);
fprintf('Gamma: %f\n',Gamma);
fprintf('CallTheta: %f\n',CallTheta);
fprintf('Vega: %f\n',Vega);
fprintf('CallRho: %f\n',CallRho);
elseif strcmp(char(Side(i)),'buyput')
fprintf('\nPutDelta: %f\n',PutDelta);
fprintf('Gamma: %f\n',Gamma);
fprintf('PutTheta: %f\n',PutTheta);
fprintf('Vega: %f\n',Vega);
fprintf('PutRho: %f\n',PutRho);
elseif strcmp(char(Side(i)),'sellcall')
fprintf('\nCallDelta: %f\n',-CallDelta);
fprintf('Gamma: %f\n',-Gamma);
fprintf('CallTheta: %f\n',-CallTheta);
fprintf('Vega: %f\n',-Vega);
fprintf('CallRho: %f\n',-CallRho);
else
error('交易方向输入错误！');
end
elseif Type(i) == 4
if strcmp(char(Side(i)),'sellput')
fprintf('\nPutDelta: %f\n',-PutDelta);
fprintf('PutGamma: %f\n',-PutGamma);
fprintf('PutTheta: %f\n',-PutTheta);
fprintf('PutVega: %f\n',-PutVega);
fprintf('PutRho: %f\n',-PutRho);
elseif strcmp(char(Side(i)),'buycall')
fprintf('\nCallDelta: %f\n',CallDelta);
fprintf('CallGamma: %f\n',CallGamma);
fprintf('CallTheta: %f\n',CallTheta);
fprintf('CallVega: %f\n',CallVega);
fprintf('CallRho: %f\n',CallRho);
elseif strcmp(char(Side(i)),'buyput')
fprintf('\nPutDelta: %f\n',PutDelta);
fprintf('PutGamma: %f\n',PutGamma);
fprintf('PutTheta: %f\n',PutTheta);
fprintf('PutVega: %f\n',PutVega);
fprintf('PutRho: %f\n',PutRho);
elseif strcmp(char(Side(i)),'sellcall')
fprintf('\nCallDelta: %f\n',-CallDelta);
fprintf('CallGamma: %f\n',-CallGamma);
fprintf('CallTheta: %f\n',-CallTheta);
fprintf('CallVega: %f\n',-CallVega);
fprintf('CallRho: %f\n',-CallRho);
else
error('交易方向输入错误！');
end
end
fprintf('\n\n');
%% 实时对冲
if Hedge(i) ~= 0
if ~exist('InitDelta.mat','file')
InitD = zeros(1000,2);
save InitDelta InitD;
end
load InitDelta;
if InitD(i,1) == 0 && InitD(i,2) == 0
InitD(i,1) = CallDelta;
InitD(i,2) = PutDelta;
save InitDelta InitD;
%% 初始对冲
if strcmp(char(Side(i)),'sellcall')
info = ['第',num2str(i),'个期权：初始对冲先买入',num2str(abs(Volume(i)*CallDelta)),'份标的资产'];
msgbox(info,'INFO');
elseif strcmp(char(Side(i)),'sellput')
info = ['第',num2str(i),'个期权：初始对冲先卖出',num2str(abs(Volume(i)*PutDelta)),'份标的资产'];
msgbox(info,'INFO');
elseif strcmp(char(Side(i)),'buyput')
info = ['第',num2str(i),'个期权：初始对冲先买入',num2str(abs(Volume(i)*PutDelta)),'份标的资产'];
msgbox(info,'INFO');
elseif strcmp(char(Side(i)),'buycall')
info = ['第',num2str(i),'个期权：初始对冲先卖出',num2str(abs(Volume(i)*CallDelta)),'份标的资产'];
msgbox(info,'INFO');
else
error('买卖方向输入错误！');
end
else
CallDeltaChange = abs(CallDelta) - abs(InitD(i,1));
PutDeltaChange = abs(PutDelta) - abs(InitD(i,2));
lastweek = 0;
lastday = 0;
if (datenum(ExerciseDates(i)) - datenum(today)) <= 1
disp('此期权明天即将到期！\n')
lastday = 1;
elseif (datenum(ExerciseDates(i)) - datenum(today)) <= 7
disp('此期权一周之内即将到期！\n')
lastweek = 1;
end
%%
switch(char(Side(i)))
case 'sellcall'
if lastweek == 1 && CallDeltaChange > lstweekDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastweek == 1 && CallDeltaChange < -lstweekDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastday == 1 && CallDeltaChange > lstdayDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastday == 1 && CallDeltaChange < -lstdayDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastweek == 0 && lastday == 0 && CallDeltaChange > ordinaryDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastweek == 0 && lastday == 0 && CallDeltaChange < -ordinaryDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
end
case 'sellput'
if lastweek == 1 && PutDeltaChange > lstweekDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastweek == 1 && PutDeltaChange < -lstweekDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastday == 1 && PutDeltaChange > lstdayDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastday == 1 && PutDeltaChange < -lstdayDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastweek == 0 && lastday == 0 && PutDeltaChange > ordinaryDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastweek == 0 && lastday == 0 && PutDeltaChange < -ordinaryDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
end
case 'buycall'
if lastweek == 1 && CallDeltaChange > lstweekDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastweek == 1 && CallDeltaChange < -lstweekDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastday == 1 && CallDeltaChange > lstdayDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastday == 1 && CallDeltaChange < -lstdayDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastweek == 0 && lastday == 0 && CallDeltaChange > ordinaryDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
elseif lastweek == 0 && lastday == 0 && CallDeltaChange < -ordinaryDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(CallDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,1) = CallDelta;
end
case 'buyput'
if lastweek == 1 && PutDeltaChange > lstweekDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastweek == 1 && PutDeltaChange < -lstweekDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastday == 1 && PutDeltaChange > lstdayDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastday == 1 && PutDeltaChange < -lstdayDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastweek == 0 && lastday == 0 && PutDeltaChange > ordinaryDelta(i)
info = ['第',num2str(i),'个期权：买入',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
elseif lastweek == 0 && lastday == 0 && PutDeltaChange < -ordinaryDelta(i)
info = ['第',num2str(i),'个期权：卖出',num2str(abs(PutDeltaChange*Volume(i))),'份标的资产'];
msgbox(info,'info');
InitD(i,2) = PutDelta;
end
end
save InitDelta InitD;
end
end
%% 结束
end
%% 期权数目循环
end