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 SpreadOptionGreekCalc(double ExpectedPv, string spreadType = "TwoAssetsSpread", string ValuationDate = "2017-12-26")
{
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: OptionType.Call,
spreadType: ToSpreadType(spreadType),
strike: 1.03,
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, asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
//var analyticalEngine = new AnalyticalSpreadOptionEngine();
//var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
var Engine = new AnalyticalSpreadOptionKirkEngine();
var Result = Engine.Calculate(option, market, PricingRequest.All);
//Assert.AreEqual(ExpectedPv, analyticalResult.Pv, 1e-8);
Assert.AreEqual(ExpectedPv, Result.Pv, 1e-8);
}
private void SpreadOptionGreekTest(double vol1 = 0.28, double vol2 = 0.30, double vol3 = 0.40, double spot1 = 4900, double spot2 = 1500, double spot3 = 1500,
string spreadType = "TwoAssetsSpread", string t0 = "2017-12-26", string t1 = "2017-12-27", double volMove = 0.10, double mktMove = 1e-4, double toleranceInPct = 2)
{
var valuationDate = DateFromStr(t0);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var spot1New = spot1 + spot1 * mktMove;
var spot2New = spot2 + spot2 * mktMove;
var spot3New = spot3 + spot3 * mktMove;
var vol1New = vol1 + volMove;
var vol2New = vol2 + volMove;
var vol3New = vol3 + volMove;
var T0 = DateFromStr(t0);
var T1 = DateFromStr(t1);
var valuationDay = t0;
var valuationDayNew = t1;
var asset1 = "asset1";
var asset2 = "asset2";
var asset3 = "asset3";
var asset4 = "asset4";
var option = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: OptionType.Call,
spreadType: ToSpreadType(spreadType),
strike: 1000,
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: t0, vol1: vol1, vol2: vol2, vol3: vol3, spot1: spot1, spot2: spot2, spot3: spot3,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var marketNew = TestMarket(referenceDate: t1, vol1: vol1New, vol2: vol2New, vol3: vol3New, spot1: spot1New, spot2: spot2New, spot3: spot3New,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var marketPI = TestMarket(referenceDate: t0, vol1: vol1, vol2: vol2, vol3: vol3, spot1: spot1New, spot2: spot2New, spot3: spot3New,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var marketVI = TestMarket(referenceDate: t0, vol1: vol1New, vol2: vol2New, vol3: vol3New, spot1: spot1, spot2: spot2, spot3: spot3,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var marketPVC = TestMarket(referenceDate: t0, vol1: vol1New, vol2: vol2New, vol3: vol3New, spot1: spot1New, spot2: spot2New, spot3: spot3New,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var engine = new AnalyticalSpreadOptionKirkEngine();
var result = engine.Calculate(option, market, PricingRequest.All);
var resultNew = engine.Calculate(option, marketNew, PricingRequest.All);
var resultPI = engine.Calculate(option, marketPI, PricingRequest.All);
var resultVI = engine.Calculate(option, marketVI, PricingRequest.All);
var resultPVC = engine.Calculate(option, marketPVC, PricingRequest.All);
var actualPL = resultNew.Pv - result.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv = result.Pv;
var PI = resultPI.Pv - basePv;
var thetapl = result.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI = resultVI.Pv - basePv;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC = resultPVC.Pv - basePv - PI - VI;
var newEstimate = PI + VI + PVC + thetapl;
var newUnexplained = actualPL - newEstimate;
//Time impact
//TI = PV(t, all OldInfo) - Pv(t-1)
//TODO:
//Time/ price cross Impact
//TPC = PV(t, priceNew) - pv(t-1) - (TI +PI)
//Time/vol cross impact
//TVC = PV(t, volNew) - pv(t-1) -(TI+VI)
//TODO:
//in case of big move ( vol and spot), we need high order risk to explain pnl
//var diff = actualPL - esimstatedPL;
//Assert.AreEqual(true, Math.Abs(diff / actualPL) * 100.0 < toleranceInPct); //pnl well explained in not too extreme moves
Assert.AreEqual(true, Math.Abs(newUnexplained / actualPL) * 100.0 < toleranceInPct);
}
private void SpreadVanillaCalc(string spreadType = "TwoAssetsSpread", string ValuationDate = "2017-12-26",
double spot1 = 4500, double spot2 = 2500, double strike = 2000, double vol1 = 0.5, double vol2 = 0.5, double rho12 = 0.5)
{
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: OptionType.Call,
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 option1 = new VanillaOption(
valuationDate,
maturityDate,
OptionExercise.European,
OptionType.Call,
2.0 * strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
new[] { maturityDate }
);
var option2 = new VanillaOption(
valuationDate,
maturityDate,
OptionExercise.European,
OptionType.Put,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
new[] { maturityDate }
);
var market = TestMarket(referenceDate: ValuationDate, vol1: vol1, vol2: vol2, vol3: 0.0, spot1: spot1, spot2: spot2, spot3: 0.0,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4, rho12: rho12, rho23: 0.0, rho13: 0.0);
var market1 = GetMarket(referenceDate: ValuationDate, vol: vol1, spot: spot1);
var market2 = GetMarket(referenceDate: ValuationDate, vol: vol2, spot: spot2);
var analyticalEngine = new AnalyticalSpreadOptionKirkEngine();
var analyticalEngine2 = new AnalyticalVanillaEuropeanOptionEngine();
var result = analyticalEngine.Calculate(option, market, PricingRequest.All);
var result1 = analyticalEngine2.Calculate(option1, market1, PricingRequest.All);
var result2 = analyticalEngine2.Calculate(option2, market2, PricingRequest.All);
Assert.AreEqual(true, result1.Pv + result2.Pv - result.Pv > 0);
}
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);
}
