public void testAssetOrNothingHaugValues()
{
// Testing asset-or-nothing barrier options against Haug's values
BinaryOptionData[] values =
{
/* The data below are from
* "Option pricing formulas 2nd Ed.", E.G. Haug, McGraw-Hill 2007 pag. 180 - cases 15,16,19,20,23,24,27,28
* Note:
* q is the dividend rate, while the book gives b, the cost of carry (q=r-b)
*/
// barrierType, barrier, cash, type, strike, spot, q, r, t, vol, value, tol
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 37.2782, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 45.8530, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 44.5294, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 54.9262, 1e-4),
// 19,20
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 27.5644, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 18.9896, 1e-4),
// following value is wrong in book.
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 33.1723, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 22.7755, 1e-4),
// 23,24
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 39.9391, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 40.1574, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.2676, 1e-4),
// 27,28
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.2183, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 17.2983, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 17.0306, 1e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new AssetOrNothingPayoff(values[i].type, values[i].strike);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticBinaryBarrierEngine(stochProcess);
BarrierOption opt = new BarrierOption(values[i].barrierType, values[i].barrier, 0, payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].barrierType,
values[i].barrier, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol);
}
}
}
public void testCashOrNothingHaugValues()
{
// Testing cash-or-nothing barrier options against Haug's values
BinaryOptionData[] values =
{
/* The data below are from
* "Option pricing formulas 2nd Ed.", E.G. Haug, McGraw-Hill 2007 pag. 180 - cases 13,14,17,18,21,22,25,26
* Note:
* q is the dividend rate, while the book gives b, the cost of carry (q=r-b)
*/
// barrierType, barrier, cash, type, strike, spot, q, r, t, vol, value, tol
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.9289, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 6.2150, 1e-4),
// following value is wrong in book.
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 5.8926, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 7.4519, 1e-4),
// 17,18
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.4314, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 3.1454, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 5.3297, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.7704, 1e-4),
// 21,22
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.8758, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.9081, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.0407, 1e-4),
// 25,26
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.0323, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.0461, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.0054, 1e-4),
// other values calculated with book vba
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, -0.14, 0.10, 0.5, 0.20, 8.6806, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, 0.03, 0.10, 0.5, 0.20, 5.3112, 1e-4),
// degenerate conditions (barrier touched)
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 7.4926, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 11.1231, 1e-4),
// 17,18
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Put, 102.00, 98.00, 0.00, 0.10, 0.5, 0.20, 7.1344, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Put, 102.00, 101.00, 0.00, 0.10, 0.5, 0.20, 5.9299, 1e-4),
// 21,22
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Call, 98.00, 99.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Call, 98.00, 101.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
// 25,26
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Put, 98.00, 99.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Put, 98.00, 101.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, values[i].cash);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticBinaryBarrierEngine(stochProcess);
BarrierOption opt = new BarrierOption(values[i].barrierType, values[i].barrier, 0, payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].barrierType,
values[i].barrier, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(AnalyticBinaryBarrierEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}