77.4 回测系统

class OptionBacktester:
    """
    期权回测器
    """

    def __init__(self, config):
        self.config = config
        self.positions = []

    def evaluate_option(self, option, spot, time_to_expiry):
        """
        评估期权价值
        """
        # 检查是否到期
        if time_to_expiry <= 0:
            return self.calculate_payoff(option, spot)

        # 计算理论价值
        return black_scholes(
            S=spot,
            K=option['strike'],
            T=time_to_expiry,
            r=self.config['risk_free_rate'],
            sigma=option['volatility'],
            option_type=option['type']
        )

    def calculate_payoff(self, option, spot):
        """
        计算到期收益
        """
        if option['type'] == 'call':
            return max(spot - option['strike'], 0)
        else:
            return max(option['strike'] - spot, 0)

    def backtest_strategy(self, strategy_data):
        """
        策略回测
        """
        results = []

        for date in strategy_data['dates']:
            # 更新期权价值
            self.update_positions(date)

            # 检查到期行权
            self.handle_expiration(date)

            # 执行策略信号
            signals = self.generate_signals(date)
            self.execute_signals(signals, date)

            # 记录组合价值
            portfolio_value = self.calculate_portfolio_value(date)
            results.append({'date': date, 'value': portfolio_value})

        return pd.DataFrame(results)

def build_volatility_surface(option_data):
    """
    构建波动率曲面
    """
    # 按到期日和行权价分组
    surface = pd.DataFrame(index=option_data['expiry'],
                         columns=option_data['strike'])

    for expiry in surface.index:
        for strike in surface.columns:
            # 获取对应期权
            options = option_data[
                (option_data['expiry'] == expiry) &
                (option_data['strike'] == strike)
            ]

            # 提取隐含波动率
            if len(options) > 0:
                surface.loc[expiry, strike] = options['iv'].mean()

    # 插值填充缺失值
    surface = surface.interpolate(method='linear', axis=0)

    return surface