public void TestAsianHybridCliquet5Y()
{
// DateTime valueDate = new DateTime(2009, 10, 20);
//DateTime expiryDate = new DateTime(2015, 04, 19);
SetUpExampleCliquet();
int nobsin = 13;
int nobsout = 13;
int numResets = nobsin + nobsout;
int[] resetDays = new int[] { 0, 31, 61, 92, 123, 151, 182, 212, 243, 273, 304, 335, 365,
1643, 1673, 1704, 1734, 1765, 1796, 1826, 1857, 1887, 1918,
1949, 1977, 2008 };
double[] resetAmts = new double[numResets];
double[] vols = new double[numResets];
for (int idx = 0; idx < numResets; idx++)
{
resetAmts[idx] = 4861;
vols[idx] = 0.35;
}
// resetAmts[4] = 6000;
// resetAmts[5] = 4000;
// resetAmts[9] = 3500;
// resetAmts[11] = 4000;
// resetAmts[12] = 6000;
double floor = 0.0;
double cap = 0.0;
int numsimulations = 100000;
CliquetPricer ah = new CliquetPricer("AsianHybrid", spot, strike, tau, divdays, dd, rtdays, rtamts, resetDays, resetAmts, vols, floor, cap, numsimulations, nobsin, nobsout, 3151, true);
double[,] vpr = ah.GetPriceAndGreeks();
double stderr1 = vpr[0, 1];
double price = vpr[0, 0];
Assert.AreEqual(0.2632689, price, 2 * stderr1);
}
public void TestTaurusCliquet1Y()
{
DateTime valueDate = new DateTime(2009, 08, 28);
DateTime expiryDate = new DateTime(2009, 12, 15);
double t = System.Convert.ToDouble(expiryDate.Subtract(valueDate).Days) / 365.0;
double spot = 4200;
double strike = 1;
int[] ratedays = new int[] { 1, 2925 };
double[] rateamts = new double[] { 0.034932296, 0.0349322696 };
int[] resetDays = new int[] { -347, -317, -286, -256, -225, -194, -166, -135, -105, -74, -44, -13, 18, 48, 79, 109 };
double[] vols = new double[] { 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 };
double[] resetAmts = new double[] { 100, 100, 100, 100, 100, 100, 100, 100, 100, 100, 100, 100, 0, 0, 0, 0 };
int[] divdays = new int[] { 0 };
double[] divamts = new double[] { 0.0 };
int numsimulations = 100000;
int nobsin = 8;
int nobsout = 8;
double floor = 0;
double cap = 0.067;
CliquetPricer ah = new CliquetPricer("TaurusCliquet", spot, strike, t, divdays, divamts, ratedays, rateamts, resetDays, resetAmts, vols, floor, cap, numsimulations, nobsin, nobsout, 3151, true);
double[,] vpr = ah.GetPriceAndGreeks();
double price = vpr[0, 0];
double stderr1 = vpr[0, 1];
Assert.AreEqual(0.05207, price, 2 * stderr1);
}
public void TestMonteVanilla()
{
DateTime valueDate = new DateTime(2009, 08, 28);
DateTime expiryDate = new DateTime(2009, 12, 15);
double t = System.Convert.ToDouble(expiryDate.Subtract(valueDate).Days) / 365.0;
double spot = 4200;
double strike = 4200;
int[] ratedays = new int[] { 1, 2925 };
double[] rateamts = new double[] { 0.034932296, 0.0349322696 };
int[] resetDays = new int[] { -347, -317, -286, -256, -225, -194, -166, -135, -105, -74, -44, -13, 18, 48, 79, 109 };
double[] vols = new double[] { 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.60, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 };
double[] resetAmts = new double[] { 100, 100, 100, 100, 100, 100, 100, 100, 100, 100, 100, 100, 0, 0, 0, 0 };
int[] divdays = new int[] { 0 };
double[] divamts = new double[] { 0.0 };
int numsimulations = 100000;
int nobsin = 8;
int nobsout = 8;
double floor = 0;
double cap = 0.067;
CliquetPricer ah = new CliquetPricer("Vanilla", spot, strike, t, divdays, divamts, ratedays, rateamts, resetDays, resetAmts, vols, floor, cap, numsimulations, nobsin, nobsout, 3151, true);
double[,] vpr = ah.GetPriceAndGreeks();
double stderr1 = vpr[0, 1];
double stderr2 = vpr[1, 1];
double stderr3 = vpr[2, 1];
double stderr4 = vpr[3, 1];
double stderr5 = vpr[4, 1];
double delta = vpr[1, 0];
double gamma = vpr[2, 0];
double vega = vpr[3, 0];
double theta = vpr[4, 0];
double rho = vpr[5, 0];
Assert.AreEqual(566.1626786, vpr[0, 0], 2 * stderr1);
Assert.AreEqual(0.57760, delta, 2 * stderr2);
Assert.AreEqual(0.00028, gamma, 2 * stderr3);
Assert.AreEqual(0.01 * 898.266, vega, 2 * stderr4);
Assert.AreEqual(-2.65028, theta, 2 * stderr5);
}
