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UI.py
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from PyQt5.QtCore import QDateTime, Qt, QTimer
from PyQt5.QtWidgets import (QApplication, QCheckBox, QComboBox, QDateTimeEdit,
QDial, QDialog, QGridLayout, QGroupBox, QHBoxLayout, QLabel, QLineEdit,
QProgressBar, QPushButton, QRadioButton, QScrollBar, QSizePolicy,
QSlider, QSpinBox, QStyleFactory, QTableWidget, QTabWidget, QTextEdit,
QVBoxLayout, QWidget, QTableWidgetItem, QMessageBox, QFormLayout, QListWidget)
from PyQt5.QtGui import *
from parula import parula
import sys
import time
import numpy as np
from matplotlib.backends.qt_compat import QtCore, QtWidgets
from matplotlib.backends.backend_qt5agg import (
FigureCanvas, NavigationToolbar2QT as NavigationToolbar)
from matplotlib.figure import Figure
from matplotlib.colors import LinearSegmentedColormap
from pricing import option
class BlackScholesUI(QDialog):
def __init__(self, parent=None):
super(BlackScholesUI, self).__init__(parent)
self.originalPalette = QApplication.palette()
self.outputs = ['price', 'delta', 'vega', 'theta', 'rho', 'omega',\
'gamma', 'vanna', 'charm', 'vomma', 'veta', 'speed', \
'zomma', 'color', 'ultima', 'dualDelta', 'dualGamma']
self.optionsList = []
self.addOptionSelector()
self.addOptionInputs()
self.greeksView()
self.sweepInput()
self.sweepOutput()
self.optionsDisplay()
self.plotWindow()
leftLayout = QVBoxLayout()
leftLayout.addWidget(self.optionsSelection)
leftLayout.addWidget(self.optionsInput)
leftLayout.addWidget(self.greeksBox)
rightLayout = QGridLayout()
rightLayout.addLayout(self.inputBox, 0, 0, 1, 4)
rightLayout.addWidget(self.outputSelectList, 1, 0, 5, 4)
MATLABButton = QPushButton("Export to MATLAB")
rightLayout.addWidget(MATLABButton, 6, 0, 1, 2)
plotButton = QPushButton("Plot Sweep Outputs")
rightLayout.addWidget(plotButton, 6, 2, 1, 2)
plotButton.clicked.connect(self.onPlotSweepButtonClicked)
bottomLayout = QGridLayout()
bottomLayout.addWidget(self.optionsBox, 0, 0, 2, 4)
mainLayout = QGridLayout()
mainLayout.addLayout(leftLayout, 0, 0, 3, 4)
mainLayout.addLayout(rightLayout, 0, 9, 3, -1)
mainLayout.addLayout(bottomLayout, 3, 0, -1, 4)
mainLayout.addWidget(self.plotGroupBox, 0, 4, 3, 5)
mainLayout.setColumnStretch(0, 1)
mainLayout.setColumnStretch(1, 1)
mainLayout.setColumnStretch(2, 1)
mainLayout.setColumnStretch(3, 2)
mainLayout.setColumnStretch(4, 2)
mainLayout.setColumnStretch(5, 2)
mainLayout.setColumnStretch(6, 1)
mainLayout.setColumnStretch(7, 1)
mainLayout.setColumnStretch(8, 1)
self.setLayout(mainLayout)
self.setFixedSize(1440, 900)
self.setWindowTitle("Black-Scholes Calculations")
QApplication.setStyle(QStyleFactory.create('Fusion'))
def addOptionSelector(self):
self.optionsSelection = QGroupBox()
addOptionButton = QPushButton("Add Option")
addOptionButton.clicked.connect(self.onOptionsAddClicked)
self.optionsTypeBox = QComboBox()
self.optionsTypeBox.addItems(['Long Call', 'Long Put', 'Short Call', 'Short Put'])
layout = QHBoxLayout()
layout.addWidget(addOptionButton)
layout.addWidget(self.optionsTypeBox)
layout.addStretch(1)
self.optionsSelection.setLayout(layout)
def onOptionsAddClicked(self):
marketPrice = None
vol = None
K = None
expDay = None
S0 = None
q = 0
r = None
try:
K = float(self.kEdit.text())
except ValueError:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Please Enter a Strike Price")
msgBox.exec_()
try:
expDay = str(self.TEdit.text())
except ValueError:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Please Enter an Expiration")
msgBox.exec_()
try:
S0 = float(self.S0Edit.text())
except ValueError:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Please Enter a Stock Price")
msgBox.exec_()
try:
q = float(self.qEdit.text())
except ValueError:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Please Enter a Dividend Yield")
msgBox.exec_()
try:
r = float(self.rEdit.text())
except ValueError:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Please Enter a Risk Free Rate")
msgBox.exec_()
try:
vol = float(self.volEdit.text())
except ValueError:
try:
marketPrice = float(self.mpEdit.text())
except ValueError:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Please Enter a Market Price or Volatility")
msgBox.exec_()
if 'Long' in self.optionsTypeBox.currentText():
ls = 'Long'
elif 'Short' in self.optionsTypeBox.currentText():
ls = 'Short'
if 'Call' in self.optionsTypeBox.currentText():
otype = 'Call'
elif 'Put' in self.optionsTypeBox.currentText():
otype = 'Put'
if K and expDay and S0 and (q is not None) and r and (vol or marketPrice):
if marketPrice is None:
opt = option(otype=otype, K=K, expDay=expDay, S0=S0, vol=vol, q=q, r=r, ls=ls)
elif vol is None:
opt = option(otype=otype, K=K, expDay=expDay, S0=S0, marketPrice=marketPrice, q=q, r=r, ls=ls)
self.optionsList.append(opt)
self.updateOptionsDisplay()
def updateOptionsDisplay(self):
for i, opt in enumerate(self.optionsList):
self.optionsTable.setItem(i+1, 0, QTableWidgetItem(opt.ls + ' ' + opt.otype))
self.optionsTable.setItem(i+1, 1, QTableWidgetItem(str(opt.K)))
self.optionsTable.setItem(i+1, 2, QTableWidgetItem(opt.expDayStr))
self.optionsTable.setItem(i+1, 3, QTableWidgetItem(str(opt.S0)))
def addOptionInputs(self):
self.optionsInput = QGroupBox('Option Inputs')
kLabel = QLabel("&Strike:")
self.kEdit = QLineEdit()
kLabel.setBuddy(self.kEdit)
TLabel = QLabel("&Expiration Date (YYYY-MM-DD):")
self.TEdit = QLineEdit()
TLabel.setBuddy(self.TEdit)
S0Label = QLabel("&Underlying Price:")
self.S0Edit = QLineEdit()
S0Label.setBuddy(self.S0Edit)
volLabel = QLabel("&Volatility:")
self.volEdit = QLineEdit()
volLabel.setBuddy(self.volEdit)
mpLabel = QLabel("&Option Market Price:")
self.mpEdit = QLineEdit()
mpLabel.setBuddy(self.mpEdit)
qLabel = QLabel("&Dividend Yield:")
self.qEdit = QLineEdit()
qLabel.setBuddy(self.qEdit)
rLabel = QLabel("&Risk Free Rate:")
self.rEdit = QLineEdit()
rLabel.setBuddy(self.rEdit)
layout = QFormLayout()
layout.addRow(kLabel, self.kEdit)
layout.addRow(TLabel, self.TEdit)
layout.addRow(S0Label, self.S0Edit)
layout.addRow(volLabel, self.volEdit)
layout.addRow(mpLabel, self.mpEdit)
layout.addRow(qLabel, self.qEdit)
layout.addRow(rLabel, self.rEdit)
self.optionsInput.setLayout(layout)
def greeksView(self):
self.greeksBox = QGroupBox("Option Info")
self.greeksTable = QTableWidget(11, 4)
self.greeksTable.setItem(0, 0, QTableWidgetItem('Market Price'))
self.greeksTable.setItem(1, 0, QTableWidgetItem('Volatility'))
self.greeksTable.setItem(2, 0, QTableWidgetItem('Years To Expiration'))
self.greeksTable.setItem(3, 0, QTableWidgetItem('Dividend Yield'))
self.greeksTable.setItem(4, 0, QTableWidgetItem('Risk Free Rate'))
self.greeksTable.setItem(5, 0, QTableWidgetItem('Delta'))
self.greeksTable.setItem(6, 0, QTableWidgetItem('Vega'))
self.greeksTable.setItem(7, 0, QTableWidgetItem('Theta'))
self.greeksTable.setItem(8, 0, QTableWidgetItem('Rho'))
self.greeksTable.setItem(9, 0, QTableWidgetItem('Omega'))
self.greeksTable.setItem(10, 0, QTableWidgetItem('Gamma'))
self.greeksTable.setItem(0, 2, QTableWidgetItem('Vanna'))
self.greeksTable.setItem(1, 2, QTableWidgetItem('Charm'))
self.greeksTable.setItem(2, 2, QTableWidgetItem('Vomma'))
self.greeksTable.setItem(3, 2, QTableWidgetItem('Veta'))
self.greeksTable.setItem(4, 2, QTableWidgetItem('Speed'))
self.greeksTable.setItem(5, 2, QTableWidgetItem('Zomma'))
self.greeksTable.setItem(6, 2, QTableWidgetItem('Color'))
self.greeksTable.setItem(7, 2, QTableWidgetItem('Ultima'))
self.greeksTable.setItem(8, 2, QTableWidgetItem('Dual Delta'))
self.greeksTable.setItem(9, 2, QTableWidgetItem('Dual Gamma'))
layout = QHBoxLayout()
layout.setContentsMargins(5, 5, 5, 5)
layout.addWidget(self.greeksTable)
self.greeksBox.setLayout(layout)
def plotWindow(self):
self.plotGroupBox = QTabWidget()
self.plotGroupBox.setSizePolicy(QSizePolicy.Preferred,
QSizePolicy.Ignored)
self.tab1 = FigureCanvas(Figure(figsize=(4, 8)))
self.plot1ax = self.tab1.figure.add_subplot(111)
self.tab2 = FigureCanvas(Figure(figsize=(4, 8)))
self.plot2ax = self.tab2.figure.add_subplot(111)
self.plotGroupBox.addTab(self.tab1, "&Time Evolution of Value")
self.plotGroupBox.addTab(self.tab2, "&Sweep Results")
#self.plotGroupBox.addTab(tab3, "&Profit Calculator")
#self.plotGroupBox.addTab(tab4, "&Delta Hedging")
def optionsDisplay(self):
self.optionsBox = QGroupBox("Options")
self.optionsTable = QTableWidget(10, 4)
self.optionsTable.setItem(0, 0, QTableWidgetItem('Option Type'))
self.optionsTable.setItem(0, 1, QTableWidgetItem('Strike'))
self.optionsTable.setItem(0, 2, QTableWidgetItem('Expiration'))
self.optionsTable.setItem(0, 3, QTableWidgetItem('Underlying Price'))
self.optionsTable.setSelectionMode(2)
self.optionsTable.cellClicked.connect(self.onOptionTableClicked)
layout = QHBoxLayout()
layout.setContentsMargins(1, 1, 1, 1)
layout.addWidget(self.optionsTable)
self.optionsBox.setLayout(layout)
def onOptionTableClicked(self, row, column):
self.selected = self.optionsTable.selectedItems()
fulltime = []
halftime = []
expiry = []
usedRows = []
for item in self.selected:
if item.row() != 0 and item.row()<=len(self.optionsList) and item.row() not in usedRows:
usedRows.append(item.row())
opt = self.optionsList[item.row()-1]
self.greeksTable.setItem(0, 1, QTableWidgetItem(str(opt.marketPrice)))
self.greeksTable.setItem(1, 1, QTableWidgetItem(str(opt.vol)))
self.greeksTable.setItem(2, 1, QTableWidgetItem(str(opt.T)))
self.greeksTable.setItem(3, 1, QTableWidgetItem(str(opt.q)))
self.greeksTable.setItem(4, 1, QTableWidgetItem(str(opt.r)))
self.greeksTable.setItem(5, 1, QTableWidgetItem(str(opt.delta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(6, 1, QTableWidgetItem(str(opt.vega(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(7, 1, QTableWidgetItem(str(opt.theta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(8, 1, QTableWidgetItem(str(opt.rho(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(9, 1, QTableWidgetItem(str(opt.omega(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(10, 1, QTableWidgetItem(str(opt.gamma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(0, 3, QTableWidgetItem(str(opt.vanna(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(1, 3, QTableWidgetItem(str(opt.charm(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(2, 3, QTableWidgetItem(str(opt.vomma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(3, 3, QTableWidgetItem(str(opt.veta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(4, 3, QTableWidgetItem(str(opt.speed(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(5, 3, QTableWidgetItem(str(opt.zomma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(6, 3, QTableWidgetItem(str(opt.color(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(7, 3, QTableWidgetItem(str(opt.ultima(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(8, 3, QTableWidgetItem(str(opt.dualDelta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.greeksTable.setItem(9, 3, QTableWidgetItem(str(opt.dualGamma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q))))
self.plot1ax.clear()
toSweep = {'S0' : (opt.S0*0.8, opt.S0*1.2, 50)}
toGrab = ('price')
fulltime.append(opt.sweep(toSweep, toGrab))
self.plot1ax.plot(fulltime[0]['S0'], self.sumprice(fulltime), label='Now')
saveT = opt.T
opt.T /= 2
halftime.append(opt.sweep(toSweep, toGrab))
self.plot1ax.plot(halftime[0]['S0'], self.sumprice(halftime), label='Half Time')
opt.T = 1e-6
expiry.append(opt.sweep(toSweep, toGrab))
opt.T = saveT
self.plot1ax.plot(expiry[0]['S0'], self.sumprice(expiry), label='Expiration')
self.plot1ax.set_xlabel('Stock Price')
self.plot1ax.set_ylabel('Option Price')
self.plot1ax.legend()
self.tab1.draw()
def sumprice(self, outs):
for i in range(len(outs)):
outs[i]['price']=np.array(outs[i]['price'])
if i == 0:
if outs[0]['ls'] == 'Long':
price=outs[0]['price']
elif outs[0]['ls'] == 'Short':
price= -outs[0]['price']
else:
if outs[i]['ls'] == 'Long':
price+=outs[i]['price']
elif outs[i]['ls'] == 'Short':
price-=outs[i]['price']
return price
def sweepInput(self):
self.sweepBox = QGroupBox("Sweep Variables")
toSweepLabel = QLabel("Inputs to Sweep")
minLabel = QLabel("Min")
maxLabel = QLabel("Max")
stepsLabel = QLabel("Steps")
inputs = ['None', 'Stock Price', 'Years to Expiration', 'Volatility', 'Dividend Yield', 'Risk Free Rate']
self.inputSelect1 = QComboBox()
self.inputSelect1.addItems(inputs)
self.inputSelect2 = QComboBox()
self.inputSelect2.addItems(inputs)
self.min1 = QLineEdit()
self.min2 = QLineEdit()
self.max1 = QLineEdit()
self.max2 = QLineEdit()
self.steps1 = QLineEdit()
self.steps2 = QLineEdit()
self.inputBox = QGridLayout()
self.inputBox.addWidget(toSweepLabel, 0, 0, 1, 1)
self.inputBox.addWidget(minLabel, 0, 1, 1, 2)
self.inputBox.addWidget(maxLabel, 0, 2, 1, 3)
self.inputBox.addWidget(stepsLabel, 0, 3, 1, 4)
self.inputBox.addWidget(self.inputSelect1, 1, 0, 2, 1)
self.inputBox.addWidget(self.inputSelect2, 2, 0, 3, 1)
self.inputBox.addWidget(self.min1, 1, 1, 2, 2)
self.inputBox.addWidget(self.min2, 2, 1, 3, 2)
self.inputBox.addWidget(self.max1, 1, 2, 2, 3)
self.inputBox.addWidget(self.max2, 2, 2, 3, 3)
self.inputBox.addWidget(self.steps1, 1, 3, 2, 4)
self.inputBox.addWidget(self.steps2, 2, 3, 3, 4)
def sweepOutput(self):
self.outputSelectList = QListWidget()
for i, out in enumerate(self.outputs):
self.outputSelectList.insertItem(i, out)
self.outputSelectList.setSelectionMode(1)
def onPlotSweepButtonClicked(self):
toSweep = {}
if len(self.outputSelectList.selectedItems()) < 1:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Select At Least One Output")
msgBox.exec_()
return
toGrab = self.outputSelectList.selectedItems()
toGrab = [str(g.text()) for g in toGrab]
if str(self.inputSelect1.currentText()) == 'Stock Price': is1 = 'S0'
if str(self.inputSelect1.currentText()) =='Years to Expiration': is1 = 'T'
if str(self.inputSelect1.currentText()) =='Volatility': is1 = 'vol'
if str(self.inputSelect1.currentText()) =='Dividend Yield': is1 = 'q'
if str(self.inputSelect1.currentText()) =='Risk Free Rate': is1 = 'r'
if str(self.inputSelect2.currentText()) == 'Stock Price': is2 = 'S0'
if str(self.inputSelect2.currentText()) =='Years to Expiration': is2 = 'T'
if str(self.inputSelect2.currentText()) =='Volatility': is2 = 'vol'
if str(self.inputSelect2.currentText()) =='Dividend Yield': is2 = 'q'
if str(self.inputSelect2.currentText()) =='Risk Free Rate': is2 = 'r'
if str(self.inputSelect1.currentText()) != 'None' and bool(self.min1.text()) and bool(self.max1.text()) and bool(self.steps1.text()):
min1 = float(self.min1.text())
max1 = float(self.max1.text())
steps1 = int(self.steps1.text())
toSweep[is1] = (min1, max1, steps1)
if str(self.inputSelect2.currentText()) != 'None' and bool(self.min2.text()) and bool(self.max2.text()) and bool(self.steps2.text()):
min2 = float(self.min2.text())
max2 = float(self.max2.text())
steps2 = int(self.steps2.text())
toSweep[is2] = (min2, max2, steps2)
if len(toSweep) == 0:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Select At Least One Input")
msgBox.exec_()
return
if len(self.selected) > 1 and toGrab[0] != 'price' or len(self.selected) > 1 and len(toGrab) > 1:
msgBox = QMessageBox()
msgBox.setIcon(QMessageBox.Information)
msgBox.setWindowTitle("Error")
msgBox.setText("Output Must be Only Price if More than One Option Selected")
msgBox.exec_()
return
if len(toSweep) == 1:
out = []
usedRows = []
self.tab2.figure.clf()
self.plot2ax = self.tab2.figure.add_subplot(111)
if len(self.selected) > 1:
for item in self.selected:
if item.row() != 0 and item.row()<=len(self.optionsList) and item.row() not in usedRows:
opt = self.optionsList[item.row()-1]
usedRows.append(item.row())
out.append(opt.sweep(toSweep, toGrab))
self.plot2ax.clear()
self.plot2ax.plot(out[0][is1], self.sumprice(out))
self.plot2ax.set_xlabel(str(self.inputSelect1.currentText()))
self.plot2ax.set_ylabel(str(toGrab[0]))
self.tab2.draw()
else:
for item in self.selected:
if item.row() != 0 and item.row()<=len(self.optionsList):
opt = self.optionsList[item.row()-1]
out = opt.sweep(toSweep, toGrab)
self.plot2ax.clear()
self.plot2ax.plot(out[is1], out[toGrab[0]])
self.plot2ax.set_xlabel(str(self.inputSelect1.currentText()))
self.plot2ax.set_ylabel(str(toGrab[0]))
self.tab2.draw()
elif len(toSweep) == 2:
parula_map = LinearSegmentedColormap.from_list('parula', parula())
out = []
usedRows = []
self.tab2.figure.clf()
self.plot2ax = self.tab2.figure.add_subplot(111, projection='3d')
if len(self.selected) > 1:
for item in self.selected:
if item.row() != 0 and item.row()<=len(self.optionsList) and item.row() not in usedRows:
opt = self.optionsList[item.row()-1]
usedRows.append(item.row())
out.append(opt.sweep(toSweep, toGrab))
self.plot2ax.clear()
self.plot2ax.plot_surface(out[0][is1], out[0][is2], self.sumprice(out), cmap=parula_map)
self.plot2ax.set_xlabel(str(self.inputSelect1.currentText()))
self.plot2ax.set_ylabel(str(self.inputSelect2.currentText()))
self.plot2ax.set_zlabel(str(toGrab[0]))
self.tab2.draw()
else:
for item in self.selected:
if item.row() != 0 and item.row()<=len(self.optionsList):
opt = self.optionsList[item.row()-1]
out = opt.sweep(toSweep, toGrab)
self.plot2ax.clear()
self.plot2ax.plot_surface(out[is1], out[is2], out[toGrab[0]], cmap=parula_map)
self.plot2ax.set_xlabel(str(self.inputSelect1.currentText()))
self.plot2ax.set_ylabel(str(self.inputSelect2.currentText()))
self.plot2ax.set_zlabel(str(toGrab[0]))
self.tab2.draw()
if __name__ == '__main__':
import sys
app = QApplication(sys.argv)
gallery = BlackScholesUI()
gallery.show()
sys.exit(app.exec_())