Tengo un error al intentar utilizar la fucnión BlackVarianceSurface de quantlib.
¿Puede ayudarme?
el error es RunTime Error: las fechas deben estar ordenadas de forma única.
def IndexVolatilities2(calculation_date):
spot = 2184.56
strikePerc = [0.8,0.9,0.95,0.975,1,1.025,1.05,1.10,1.2]
risk_free_rate = 0.0213
dividend_rate = 0.006
#vol is a sample matrix of volatility quote by expiry and strike
#Following is a sample matrix of volatility quote by exipiry and strike.
#The volatilities are log-normal volatilities and can be interpolated to construct the implied volatility surface.
p1m= calculation_date + ql.Period(1, ql.Months)
p2m= calculation_date+ ql.Period(2, ql.Months)
p3m= calculation_date+ ql.Period(3, ql.Months)
p6m= calculation_date+ ql.Period(6, ql.Months)
p9m= calculation_date+ ql.Period(9, ql.Months)
p18m= calculation_date+ ql.Period(18, ql.Months)
p1Y = calculation_date + ql.Period(1, ql.Years)
p3Y = calculation_date + ql.Period(3, ql.Years)
p4Y = calculation_date + ql.Period(4, ql.Years)
p5Y = calculation_date + ql.Period(5, ql.Years)
p7Y = calculation_date + ql.Period(7, ql.Years)
p10Y = calculation_date + ql.Period(10, ql.Years)
expiration_dates = [p1m, p2m, p3m, p6m, p9m,p18m,p1Y,p3Y,p4Y,p5Y,p7Y,p10Y]
strikes = [p*spot for p in strikePerc]
data =[
[27.18000, 22.31000, 17.31000, 14.81000, 11.84000, 8.97000, 10.14000, 14.59000, 19.44000],
[26.14000, 20.64000, 16.78000, 15.05000, 12.81000, 10.48000, 9.91000, 13.03000, 17.77000],
[25.28000, 19.84000, 16.73000, 15.25000, 13.35000, 11.36000, 10.36000, 12.26000, 16.66000],
[22.48000, 18.76000, 16.62000, 15.45000, 14.19000, 12.92000, 11.85000, 11.09000, 12.06000],
[20.68000, 18.55000, 16.84000, 15.82000, 14.73000, 13.65000, 12.71000, 11.58000, 12.06000],
[20.26000, 18.43000, 16.93000, 16.05000, 15.13000, 14.23000, 13.41000, 12.24000, 12.18000],
[20.25000, 18.20000, 16.90000, 16.21000, 15.51000, 14.82000, 14.19000, 13.18000, 12.47000],
[20.03000, 18.02000, 16.84000, 16.23000, 15.63000, 15.05000, 14.50000, 13.61000, 12.78000],
[19.81000, 17.93000, 16.93000, 16.43000, 15.95000, 15.48000, 15.05000, 14.32000, 13.44000],
[19.74000, 17.99000, 17.12000, 16.69000, 16.28000, 15.89000, 15.53000, 14.90000, 14.08000],
[19.75000, 18.14000, 17.36000, 16.99000, 16.63000, 16.30000, 15.98000, 15.43000, 14.66000],
[19.98000, 18.59000, 17.95000, 17.65000, 17.36000, 17.10000, 16.84000, 16.40000, 15.74000],
[20.60000, 19.46000, 18.96000, 18.73000, 18.51000, 18.30000, 18.11000, 17.76000, 17.22000]]
return expiration_dates,strikes,data,spot, risk_free_rate,dividend_rate
calendar = ql.UnitedStates()
day_count = ql.Actual365Fixed()
calculation_date = ql.Date(25, 9, 2019)
#expiration_dates,strikes,data,spot, risk_free_rate,dividend_rate = IndexVolatilities1()
expiration_dates,strikes,data,spot, risk_free_rate,dividend_rate = IndexVolatilities2(calculation_date)
#build the vol surface (implied vols surface) and dividend and the interest rate curve
hestonParams= HestonParameters(calculation_date, calendar, day_count, spot, risk_free_rate, dividend_rate, len(expiration_dates), strikes, data)
dividend_ts, flat_ts, implied_vols = hestonParams.dividend_ts, hestonParams.flat_ts, hestonParams.implied_vols
# Now the Black volatility surface can be constructed using the BlackVarianceSurface method.
black_var_surface = ql.BlackVarianceSurface(calculation_date, calendar, expiration_dates, strikes,implied_vols, day_count)
