Fix Monte Carlo simulation in option pricing models

option_pricing/MonteCarloSimulation.py

@@ -89,4 +89,28 @@ def plot_simulation_results(self, num_of_movements):
         plt.xlabel('Days in future')
         plt.title(f'First {num_of_movements}/{self.N} Random Price Movements')
         plt.legend(loc='best')
-        plt.show()
+        plt.show()
+
+    def get_calculation_steps(self):
+        """
+        Returns a dictionary containing input parameters, intermediate calculations, and final calculations.
+        """
+        steps = {
+            "Input Parameters": {
+                "Spot Price": self.S_0,
+                "Strike Price": self.K,
+                "Time to Maturity (days)": self.T * 365,
+                "Risk-free Rate": self.r,
+                "Volatility": self.sigma,
+                "Number of Simulations": self.N
+            },
+            "Intermediate Calculations": {
+                "Time Step (dt)": self.dt,
+                "Simulated Prices": self.simulation_results_S
+            },
+            "Final Calculations": {
+                "Call Option Price": self._calculate_call_option_price(),
+                "Put Option Price": self._calculate_put_option_price()
+            }
+        }
+        return steps

option_pricing_test.py

@@ -31,4 +31,23 @@
 print(MC.calculate_option_price('Put Option'))
 MC.plot_simulation_results(20)
 
+# Test cases for get_calculation_steps method in MonteCarloPricing class
+calculation_steps = MC.get_calculation_steps()
+print("Calculation Steps:")
+print(calculation_steps)
 
+# Verify input parameters
+assert calculation_steps["Input Parameters"]["Spot Price"] == 100
+assert calculation_steps["Input Parameters"]["Strike Price"] == 100
+assert calculation_steps["Input Parameters"]["Time to Maturity (days)"] == 365
+assert calculation_steps["Input Parameters"]["Risk-free Rate"] == 0.1
+assert calculation_steps["Input Parameters"]["Volatility"] == 0.2
+assert calculation_steps["Input Parameters"]["Number of Simulations"] == 10000
+
+# Verify intermediate calculations
+assert calculation_steps["Intermediate Calculations"]["Time Step (dt)"] == MC.dt
+assert calculation_steps["Intermediate Calculations"]["Simulated Prices"] is not None
+
+# Verify final calculations
+assert calculation_steps["Final Calculations"]["Call Option Price"] == MC.calculate_option_price('Call Option')
+assert calculation_steps["Final Calculations"]["Put Option Price"] == MC.calculate_option_price('Put Option')

streamlit_app.py

@@ -174,6 +174,12 @@ def get_current_price(ticker):
 
                 st.subheader(f'Call option price: {call_option_price:.2f}')
                 st.subheader(f'Put option price: {put_option_price:.2f}')
+
+                # Display calculation steps
+                calculation_steps = MC.get_calculation_steps()
+                st.subheader("Calculation Steps")
+                st.json(calculation_steps)
+
             else:
                 st.error("Unable to proceed with calculations due to data fetching error.")
         except Exception as e:
@@ -247,4 +253,4 @@ def get_current_price(ticker):
         except Exception as e:
             st.error(f"Error during calculation: {str(e)}")
     else:
-        st.info("Click 'Calculate option price' to see results.")
+        st.info("Click 'Calculate option price' to see results.")