public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
public void CommodityJinTaoBinaryEuropeanOptionTest()
{
var strike = 3100.0;
var spot = 2900;
var expiry = new Date(2017, 12, 17);
var valuationDay = "2017-12-01";
var option = new BinaryOption(
new Date(2017, 12, 1),
expiry,
OptionExercise.European,
OptionType.Call,
strike,
InstrumentType.CommodityFutures,
BinaryOptionPayoffType.CashOrNothing,
2,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { expiry },
new[] { expiry },
notional: 1
);
var optionInfo = new BinaryOptionInfo(
tradeId: "",
valuationParameter: new OptionValuationParameters("Fr007", "diviCurve", "volSurf", "000300.SH"),
underlyingTicker: "000300.SH",
strike: strike,
underlyingInstrumentType: "CommodityFutures",
optionType: "Call",
notional: 1,
startDate: "2017-12-01",
exerciseDates: "2017-12-17"
)
{
CashOrNothingAmount = 2,
BinaryOptionPayoffType = "CashOrNothing",
BinaryOptionReplicationStrategy = "Down",
ReplicationShiftSize = 2,
};
var curveName = "Fr007";
var volName = "volSurf";
var diviCurveName = "diviCurve";
var market = GetMarketJinTao(valuationDay, rate: 0.04, vol: 0.4, dividendRate: 0, curveName: curveName, volName: volName, diviCurveName: diviCurveName, spot: spot);
var volsurf = market.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate);
IMarketCondition marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spot }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volsurf }
}
);
var engine = new AnalyticalBinaryEuropeanOptionEngine();
var result = engine.Calculate(option, marketCondition, PricingRequest.All);
Assert.AreEqual(0.401208951727572, result.Pv, 1e-8);
Assert.AreEqual(0.00230806033816866, result.Delta, 1e-8);
Assert.AreEqual(7.16979364767667E-06, result.Gamma, 1e-8);
Assert.AreEqual(0.0105751548032081, result.Vega, 1e-8);
Assert.AreEqual(-0.0149236357909549, result.Theta, 1e-8);
Assert.AreEqual(-1.75872031726865E-06, result.Rho, 1e-8);
var engine2 = new AnalyticalBinaryEuropeanOptionReplicationEngine(2.0, BinaryOptionReplicationStrategy.Down);
var result2 = engine2.Calculate(option, marketCondition, PricingRequest.All);
Assert.AreEqual(0.403373182249897, result2.Pv, 1e-7);
Assert.AreEqual(0.00231550673674974, result2.Delta, 1e-7);
Assert.AreEqual(7.16340764483903E-06, result2.Gamma, 1e-7);
Assert.AreEqual(0.0105550810113932, result2.Vega, 1e-7);
Assert.AreEqual(-0.0149004654797067, result2.Theta, 1e-7);
Assert.AreEqual(-1.74927811613657E-06, result2.Rho, 1e-7);
var vfResult = new BinaryOptionVf(optionInfo).ValueTrade(market, PricingRequest.Pv);
Assert.AreEqual(vfResult.Pv, result2.Pv, 1e-7);
Assert.AreEqual(result2.Pv > result.Pv, true);
}
