其他示例

大约 2 分钟

其他示例

期权计算工具

期权计算工具可用于期权希腊值计算、期权预测价格、隐含波动率计算。 相关算法基于 jquantlib 库

CAUTION

该工具不支持末日期权的价格预测

期权指标计算完整示例

package com.tigerbrokers.stock.openapi.demo.quote;

import com.alibaba.fastjson.JSONObject;
import com.tigerbrokers.stock.openapi.client.https.client.TigerHttpClient;
import com.tigerbrokers.stock.openapi.client.https.domain.option.item.OptionBriefItem;
import com.tigerbrokers.stock.openapi.client.https.domain.option.model.OptionCommonModel;
import com.tigerbrokers.stock.openapi.client.https.domain.quote.item.RealTimeQuoteItem;
import com.tigerbrokers.stock.openapi.client.https.request.option.OptionBriefQueryRequest;
import com.tigerbrokers.stock.openapi.client.https.request.quote.QuoteRealTimeQuoteRequest;
import com.tigerbrokers.stock.openapi.client.https.response.option.OptionBriefResponse;
import com.tigerbrokers.stock.openapi.client.https.response.quote.QuoteRealTimeQuoteResponse;
import com.tigerbrokers.stock.openapi.client.struct.OptionFundamentals;
import com.tigerbrokers.stock.openapi.client.struct.enums.Right;
import com.tigerbrokers.stock.openapi.client.struct.enums.TimeZoneId;
import com.tigerbrokers.stock.openapi.client.util.DateUtils;
import com.tigerbrokers.stock.openapi.client.util.OptionCalcUtils;
import com.tigerbrokers.stock.openapi.demo.TigerOpenClientConfig;

import java.time.LocalDate;
import java.util.Arrays;
import java.util.List;

public class OptionCalcTool {
    public static TigerHttpClient client = TigerHttpClient.getInstance().clientConfig(
            TigerOpenClientConfig.getDefaultClientConfig());

    public static void main(String[] args) {
        String symbol = "AAPL"; //期权对应的底层标的
        Right optionRight = Right.PUT; //期权方向
        String strike = "185.0"; //期权的行权价格
        String settlementDate = "2024-02-05"; //一般是当前日期
        String expiryDate = "2024-02-09";
        long expiryTimestamp = DateUtils.parseEpochMill(expiryDate, TimeZoneId.NewYork);

        //查询期权的盘口价格，以及美国国债利率等信息
        OptionCommonModel model = new OptionCommonModel(symbol, optionRight.name(), strike, expiryTimestamp);
        OptionBriefResponse optionBriefResponse = client.execute(OptionBriefQueryRequest.of(model));
        OptionBriefItem optionBrief = null;
        if (optionBriefResponse != null && optionBriefResponse.isSuccess()) {
            List<OptionBriefItem> briefItems = optionBriefResponse.getOptionBriefItems();
            if (briefItems != null && !briefItems.isEmpty()) {
                optionBrief = briefItems.get(0);
            } else {
                throw new RuntimeException("Failed to get the option brief of symbol: " + symbol);
            }
        }

        //查询期权对应标的的最新价格
        QuoteRealTimeQuoteResponse quoteRealTimeQuoteResponse =
                client.execute(QuoteRealTimeQuoteRequest.newRequest(Arrays.asList(symbol)));
        Double latestPrice = 0D;
        if (quoteRealTimeQuoteResponse != null && quoteRealTimeQuoteResponse.isSuccess()) {
            List<RealTimeQuoteItem> realTimeQuoteItems = quoteRealTimeQuoteResponse.getRealTimeQuoteItems();
            if (realTimeQuoteItems != null && !realTimeQuoteItems.isEmpty()) {
                latestPrice = realTimeQuoteItems.get(0).getLatestPrice();
                if (latestPrice == null) {
                    throw new RuntimeException("Failed to get the latest price of the stock.");
                }
            }
        }

        //TODO 如果结算日期和期权过期日相同，需要把结算日期改成前一天再进行计算，比如结算日期和期权过期日都是2024-02-09，需要把结算日期改成2024-02-08
        OptionFundamentals optionFundamentals = OptionCalcUtils.calcOptionIndex(optionRight, latestPrice, Double.valueOf(strike),
                optionBrief.getRatesBonds(), 0, optionBrief.getAskPrice(),optionBrief.getBidPrice(),
                LocalDate.parse(settlementDate) , LocalDate.parse(expiryDate));

        //TODO 指数期权应该都是欧式期权，需要使用 calcEuropeanOptionIndex 进行计算
//    OptionFundamentals optionFundamentals = OptionCalcUtils.calcEuropeanOptionIndex(optionRight, latestPrice, Double.valueOf(strike),
//            optionBrief.getRatesBonds(), 0, optionBrief.getAskPrice(),optionBrief.getBidPrice(),
//            LocalDate.parse(settlementDate) , LocalDate.parse(expiryDate));

        System.out.println(JSONObject.toJSONString(optionFundamentals));
    }
}

示例输出结果：

{
	"delta": -0.4291523762730371,
	"gamma": 0.06867092999396703,
	"historyVolatility": 0.0,
	"insideValue": 0.0,
	"leverage": 0.0,
	"openInterest": 0.0,
	"predictedValue": 1.8448482568095044,
	"premiumRate": 0.0,
	"profitRate": 0.0,
	"rho": -0.007994670535451135,
	"theta": -0.27407985875145857,
	"timeValue": 0.0,
	"vega": 0.07649602025704422,
	"volatility": 0.0
}

其他使用方式

FDAmericanDividendOptionHelper 为美式期权计算类

import com.tigerbrokers.stock.openapi.client.struct.OptionFundamentals;
import com.tigerbrokers.stock.openapi.client.struct.enums.Right;
import com.tigerbrokers.stock.openapi.client.util.OptionCalcUtils;
import java.time.LocalDate;

public class OptionTool {
  public static void main(String[] args) {
    OptionFundamentals optionIndex = OptionCalcUtils.calcOptionIndex(
            Right.CALL,
            243.35, //对应标的资产的价格
            240,  //期权行权价格
            0.0241,  //无风险利率，这里是取的美国国债利率
            0,  //股息率，大部分标的为0
            0.4648, // 隐含波动率
            LocalDate.of(2022, 8, 12), //对应预测价格的日期，要小于期权到期日
            LocalDate.of(2022, 8, 19));  //期权到期日
    System.out.println("value: " + optionIndex.getPredictedValue()); //计算出的期权预测价格
    System.out.println("delta: " + optionIndex.getDelta());
    System.out.println("gamma " + optionIndex.getGamma());
    System.out.println("theta " + optionIndex.getTheta());
    System.out.println("vega: " + optionIndex.getVega());
    System.out.println("rho: " + optionIndex.getRho());
  }
}

示例输出结果：

value: 8.09628869758489
delta: 0.6005809882595446
gamma 0.024620648675961896
theta -0.4429512650168838
vega: 0.13035018339603335
rho: 0.026470369092588868

除本使用文档中提供的例子之外，我们还提供了涉及到Open API其他功能的使用示例以供用户参考。这部分的代码我们已经更新到了Github代码仓库中：

https://github.com/tigerfintech/openapi-java-sdk-demoopen in new window

我们还会不断添加更多示例，并更新在使用文档和Github仓库中，请持续关注

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