public void TestLargeImpliedVol()
{
var stock = TestDataHelper.GetStock("RIO");
Assert.AreEqual("RIO", stock.Name);
var stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("24-09-2009"), 5818);
Strike str = new Strike(5800, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 5800 && (fwdExp.ExpiryDate == DateTime.Parse("24-09-2009")))
{
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, false, "A", 450.0, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "P", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 450, 0.01);
}
}
}
}
public void TestImpliedVol2()
{
var stock = TestDataHelper.GetStock("ANZ");
Assert.AreEqual("ANZ", stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("29-10-2009"), 3676);
Strike str = new Strike(3650, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 3650 && (fwdExp.ExpiryDate == DateTime.Parse("29-10-2009")))
{
stockObject.Spot = 3676;
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, true, "A", 224.5, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "C", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 224.5, 0.01);
}
}
}
}
public void TestAmVega()
{
var stock = TestDataHelper.GetStock("ANZ");
Assert.AreEqual("ANZ", stock.Name);
var stockObject = TestHelper.CreateStock(stock);
var fwd = new ForwardExpiry(DateTime.Parse("23-12-2010"), 2220);
var str = new Strike(2100, null, null, Units.Cents);
var vp = new VolatilityPoint {
Value = 0.30M
};
str.SetVolatility(vp);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if ((strike.StrikePrice == 2100.0) && (fwdExp.ExpiryDate == DateTime.Parse("23-12-2010")))
{
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, Convert.ToDouble(strike.Volatility.Value), "A", "C", stockObject.RateCurve, stockObject.Dividends, 20);
double callprice = call.Price();
Assert.AreEqual(callprice, 338.8661, 0.5);
call.MakeVega();
Assert.AreEqual(call.Vega, 9.093, 0.02);
AmOptionAnalytics put = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, Convert.ToDouble(strike.Volatility.Value), "A", "P", stockObject.RateCurve, stockObject.Dividends, 20);
double putprice = put.Price();
Assert.AreEqual(putprice, 239.6014, 0.5);
put.MakeVega();
Assert.AreEqual(put.Vega, 9.093, 0.02);
}
}
}
}
public void TestVega()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "C";
string exercise = "E";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, exercise, paystyle, rc, divs, 120);
double pr = Math.Round(utils.Price(), 7);
utils.MakeVega();
double vega = Math.Round(utils.Vega, 7);
Assert.AreEqual(0.1223754, vega);
}
/// <summary>
/// Gets the implied vol.
/// </summary>
/// <param name="stock">The stock.</param>
/// <param name="exp">The exp.</param>
/// <param name="volGuess">The vol guess.</param>
/// <param name="strike">The strike.</param>
/// <param name="call">if set to <c>true</c> [call].</param>
/// <param name="style">The style.</param>
/// <param name="prem">The prem.</param>
/// <param name="gridSteps">The grid steps.</param>
/// <returns></returns>
public static double GetImpliedVol(Stock stock, DateTime exp, double volGuess, double strike, bool call, string style, double prem, int gridSteps)
{
DateTime date0 = stock.Date;
DateTime exp0 = exp;
double spot0 = Convert.ToDouble(stock.Spot);
double strike0 = strike;
string paystyle0 = call ? "C" : "P";
string exercise0 = style;
//Override vol guess to test if it effects performance
double fwd = stock.GetForward(date0, exp);
var option = new AmOptionAnalytics(date0, exp0, spot0, strike0, volGuess, exercise0, paystyle0, stock.RateCurve, stock.Dividends, gridSteps);
double vol0 = option.OptSolveVol(prem, fwd);
return(vol0);
}
public void TestITMPrice()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 50;
double vol = 0.50;
string paystyle = "C";
string exercise = "A";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, exercise, paystyle, rc, divs, 120);
double pr = Math.Round(utils.Price(), 7);
Debug.Print("Price is {0}", pr);
Assert.AreEqual(50.1333834, pr);
}
public void TestImpliedVolPut()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "P";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics amInstr = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
double am = amInstr.Price();
double eu = euInstr.Price();
AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
double avol0 = amInstr0.OptSolveVol(am, 100);
double evol0 = euInstr0.OptSolveVol(eu, 100);
Stock stock = new Stock(date0, 100, "dummy", "BHP", rc, divs);
double vol1 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "A", am, 120);
double vol11 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "American", am, 120);
double vol0 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "E", eu, 120);
double vol00 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "European", eu, 120);
Assert.AreEqual(avol0, 0.50, 0.001);
Assert.AreEqual(evol0, 1.00, 0.001);
Assert.AreEqual(vol1, avol0, 0.001);
Assert.AreEqual(vol11, avol0, 0.001);
Assert.AreEqual(vol0, evol0, 0.001);
Assert.AreEqual(vol00, evol0, 0.001);
}
public void TestPricevsORCExample()
{
DateTime[] rtDates = { DateTime.Parse("17-Aug-2010"),
DateTime.Parse("17-Sep-2010"),
DateTime.Parse("18-Oct-2010"),
DateTime.Parse("17-Nov-2010"),
DateTime.Parse("10-Dec-2010") };
double[] rates = { 0.045507232,
0.046609656,
0.047336042,
0.047655159,
0.047737236 };
RateCurve rc = new RateCurve("AUD", "Semi-Annual", DateTime.Parse("16-Aug-2010"), rtDates, rates);
//Dividend d1 = new Dividend(DateTime.Parse("16-8-2010"), 11.745786M);
Dividend d2 = new Dividend(DateTime.Parse("17-8-2010"), 0.893295M);
Dividend d3 = new Dividend(DateTime.Parse("23-8-2010"), 7.856689M);
Dividend d4 = new Dividend(DateTime.Parse("24-8-2010"), 2.898251M);
Dividend d5 = new Dividend(DateTime.Parse("25-8-2010"), 3.344721M);
Dividend d6 = new Dividend(DateTime.Parse("26-8-2010"), 0.485070M);
Dividend d7 = new Dividend(DateTime.Parse("27-8-2010"), 0.835305M);
Dividend d8 = new Dividend(DateTime.Parse("30-8-2010"), 3.952976M);
Dividend d9 = new Dividend(DateTime.Parse("31-8-2010"), 0.884255M);
Dividend d10 = new Dividend(DateTime.Parse("1-9-2010"), 2.013798M);
Dividend d11 = new Dividend(DateTime.Parse("2-9-2010"), 1.241407M);
Dividend d12 = new Dividend(DateTime.Parse("3-9-2010"), 0.613699M);
Dividend d13 = new Dividend(DateTime.Parse("6-9-2010"), 11.712946M);
Dividend d14 = new Dividend(DateTime.Parse("7-9-2010"), 3.775104M);
Dividend d15 = new Dividend(DateTime.Parse("8-9-2010"), 0.606597M);
Dividend d16 = new Dividend(DateTime.Parse("9-9-2010"), 0.268093M);
Dividend d17 = new Dividend(DateTime.Parse("10-9-2010"), 0.144851M);
Dividend d18 = new Dividend(DateTime.Parse("13-9-2010"), 1.600975M);
Dividend d19 = new Dividend(DateTime.Parse("14-9-2010"), 1.499946M);
Dividend d20 = new Dividend(DateTime.Parse("15-9-2010"), 0.238824M);
Dividend d21 = new Dividend(DateTime.Parse("16-9-2010"), 0.117931M);
List <Dividend> divCurve = new List <Dividend>()
{
d2, d3, d4, d5, d6, d7, d8, d9, d10,
d11, d12, d13, d14, d15, d16, d17, d18, d19, d20, d21
};
DateTime date0 = new DateTime(2010, 08, 16);
DateTime exp = new DateTime(2010, 9, 16);
double spot = 4447.62;
//double future = 4420;
double strike = 4200;
string stockId = "XJO_Spot";
Stock stock = new Stock(date0, Convert.ToDecimal(spot), stockId, "XJO", rc, divCurve);
double fwd = stock.GetForward(date0, exp);
var wingParams1 = new OrcWingParameters
{
CurrentVol = 0.234828,
RefVol = 0.234828,
SlopeRef = -0.109109,
PutCurve = 1.235556,
CallCurve = 0.60895,
DnCutoff = -0.493791,
UpCutoff = 0.506209,
RefFwd = 4420.092383,
AtmForward = 4420.092383,
Vcr = 0,
Scr = 0,
Ssr = 100,
Dsr = 0.2,
Usr = 0.2,
};
VolatilitySurface vs = new VolatilitySurface(stockId, Convert.ToDecimal(spot), date0);
ForwardExpiry expiry = new ForwardExpiry(exp, Convert.ToDecimal(fwd));
OptionPosition op = new OptionPosition("XJO_Vanilla_ETO_Sep10_4200.000_Put", 30.237108, PositionType.Put);
Strike strike0 = new Strike(strike, null, op);
expiry.AddStrike(strike0, true);
List <double> strikes1 = new List <double> {
4200
};
ForwardExpiry forwardexpiry = vs.ValueAt(stock, exp, strikes1, wingParams1, true, false);
double vol = Convert.ToDouble(forwardexpiry.Strikes[0].Volatility.Value);
var utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, "European", "Put", rc, divCurve, 120);
double pr = Math.Round(utils.Price(), 7);
}
public void TestImpliedVolCall()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "C";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics amInstr = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
double am = amInstr.Price();
double eu = euInstr.Price();
AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
double avol0 = amInstr0.OptSolveVol(am, 100);
double evol0 = euInstr0.OptSolveVol(eu, 100);
var stock = new Stock(date0, 100, "dummy", "BHP", rc, divs);
DateTime start = DateTime.Now;
double vol1 = OptionHelper.GetImpliedVol(stock, exp, 0.3, strike, true, "A", am, 120);
DateTime end = DateTime.Now;
double x1 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol11 = OptionHelper.GetImpliedVol(stock, exp, 0.2, strike, true, "American", am, 120);
end = DateTime.Now;
double x2 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol0 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "E", eu, 120);
end = DateTime.Now;
double x3 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol00 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "European", eu, 120);
end = DateTime.Now;
double x4 = end.Subtract(start).Milliseconds;
Assert.AreEqual(avol0, 0.50, 0.001);
Assert.AreEqual(evol0, 1.00, 0.001);
Assert.AreEqual(vol1, avol0, 0.001);
Assert.AreEqual(vol11, avol0, 0.001);
Assert.AreEqual(vol0, evol0, 0.001);
Assert.AreEqual(vol00, evol0, 0.001);
Debug.Print("Time 1 : " + x1);
Debug.Print("Time 2 : " + x2);
Debug.Print("Time 3 : " + x3);
Debug.Print("Time 4 : " + x4);
}
