rapidAPI_option_sabr_example1

https://rapidapi.com/kiann/api/kiann_options_sabr

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# this is an example jupyter notebook/python file to demonstrate the usage of the 3 commands (sabr_hist, sabr_log, sabr_fit) in the 
# rapidAPI listing : https://rapidapi.com/kiann/api/kiann_options_sabr

try:
    import fastapi
    import uvicorn
except:
    !pip install fastapi
    !pip install uvicorn
    import fastapi
    import uvicorn

import ast
import sys
print(sys.version)
import socket
import numpy as np
import pandas as pd
import datetime as dt
import matplotlib.pyplot as plt
import requests
import json
from urllib.parse import urlencode

import requests

%matplotlib inline

hostname = socket.gethostname()
ip_address = socket.gethostbyname(hostname)

print(f"Hostname: {hostname}")
print(f"IP Address: {ip_address}")

# first we load the allowed past history of calibrated sabr lognormal parameters. Note they were calibrated
# versus beta = 0.9

url = "https://kiann_options_sabr.p.rapidapi.com/sabr_hist"
querystring = {"ret_":"0","ccy_":"btc"}
headers = {
"X-RapidAPI-Key": <your rapid api key>,
"X-RapidAPI-Host": "kiann_options_sabr.p.rapidapi.com"
}

data_ = pd.DataFrame(requests.request("GET", url, headers=headers, params=querystring).json())


# take the latest timestamp of sabr btc parameters.
# take your selected expiryData

display(data_[data_.timestamp == data_.timestamp.unique()[-1]])
res_ = data_[(data_.timestamp == data_.timestamp.unique()[-1])&(data_.expiryDate == data_.expiryDate[6])]

###### this example is to show the generated implied vols using the sabr parameters
url = "https://kiann_options_sabr.p.rapidapi.com/sabr_log"
# create a range of strikes
strikes_ = np.arange(int(res_.fwd.values[0]*0.7), int(res_.fwd.values[0]*1.7), int(res_.fwd.values[0]*0.1)) 
vols_ = []
for k_ in strikes_:
    querystring = {"K_": k_,"fwd_": res_.fwd.values[0],"shift_":0.0,\
               "time_":res_.expiry.values[0], "alpha": res_.alpha.values[0],\
                "beta": 0.9, "rho": res_.rhol.values[0],"volvol":res_.volvol.values[0],"ret_":1,"method_":"1"}
    vol_ = requests.request("GET", url, headers=headers, params=querystring).json()
    vols_.append(vol_)
    
plt.plot(strikes_, vols_)

# this block here shows, when we re-use those vols/strikes, we get back the sabr parameters.
url = "https://kiann_options_sabr.p.rapidapi.com/sabr_calib"
querystring = {"fwd_":res_.fwd.values[0],"shift_": 0.0 ,"time_": res_.expiry.values[0],"beta":0.9,\
               "k_": strikes_,"vols_": vols_,"ret_":0}
calib = requests.request("GET", url, headers=headers, params=querystring)
print('the calibrated parameters are', calib.json())