private void SpreadOptionBjerksundCalc(string spreadType = "TwoAssetsSpread", Boolean isCall = true, string ValuationDate = "2017-12-26", double vol1 = 0.28, double spot1 = 1.0, double vol2 = 0.30, double spot2 = 2.0,
double vol3 = 0.28, double spot3 = 1.0, double vol4 = 0.28, double spot4 = 1.0, double strike = 1.03, double tol = 1e-8)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var asset3 = "asset3";
var asset4 = "asset4";
var option = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: (isCall) ? OptionType.Call : OptionType.Put,
spreadType: ToSpreadType(spreadType),
strike: strike,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var market = TestMarket(referenceDate: ValuationDate, vol1: vol1, vol2: vol2, vol3: vol3, vol4: vol4, spot1: spot1, spot2: spot2, spot3: spot3, spot4: spot4,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var analyticalEngine = new AnalyticalSpreadOptionBjerksundEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
var Engine = new AnalyticalSpreadOptionKirkEngine();
var Result = Engine.Calculate(option, market, PricingRequest.All);
Assert.AreEqual(analyticalResult.Pv, Result.Pv, tol);
}
private void SpreadOptionParity(string ValuationDate = "2017-12-26", double vol1 = 0.28, double spot1 = 1.0, double vol2 = 0.30, double spot2 = 2.0, double vol3 = 0.30, double spot3 = 2.0, double strike = 1.03)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var asset3 = "asset3";
var asset4 = "asset4";
var option1 = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: OptionType.Call,
spreadType: SpreadType.ThreeAssetsSpread,
strike: strike,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var option2 = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: OptionType.Call,
spreadType: SpreadType.FourAssetsSpread,
strike: strike,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var option3 = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: OptionType.Call,
spreadType: SpreadType.ThreeAssetsSpreadBasket,
strike: strike,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var option4 = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: OptionType.Call,
spreadType: SpreadType.FourAssetsSpreadBasketType1,
strike: strike,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var market = TestMarket(referenceDate: ValuationDate, vol1: vol1, vol2: vol2, vol3: vol3, spot1: spot1, spot2: spot2, spot3: spot3,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var analyticalEngine = new AnalyticalSpreadOptionKirkEngine();
var result1 = analyticalEngine.Calculate(option1, market, PricingRequest.All);
var result2 = analyticalEngine.Calculate(option2, market, PricingRequest.All);
var result3 = analyticalEngine.Calculate(option3, market, PricingRequest.All);
var result4 = analyticalEngine.Calculate(option4, market, PricingRequest.All);
var Engine = new AnalyticalSpreadOptionBjerksundEngine();
var result5 = Engine.Calculate(option1, market, PricingRequest.All);
var result6 = Engine.Calculate(option2, market, PricingRequest.All);
var result7 = Engine.Calculate(option3, market, PricingRequest.All);
var result8 = Engine.Calculate(option4, market, PricingRequest.All);
Assert.AreEqual(result1.Pv, result2.Pv, 1.0e-8);
Assert.AreEqual(result3.Pv, result4.Pv, 1.0e-8);
//Assert.AreEqual(result5.Pv, result6.Pv, 1.0e-8);
Assert.AreEqual(result7.Pv, result8.Pv, 1.0e-8);
}
