public void DivSlopingZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 2;
myZero.makeArrays();
myZero.set_r(0, 0.075, 0.5);
myZero.set_r(1, 0.05, 2);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 10.37); //Orc pr = 10.38
Assert.Less(prc, 10.39);
Assert.Greater(prp, 9.42); //Orc pr = 9.43
Assert.Less(prp, 9.44);
}
public void NoDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 0.0, 1.0);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 1;
myZero.makeArrays();
myZero.set_r(0, 0.05, 1.0);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 12.33); //Orc pr = 12.34
Assert.Less(prc, 12.35);
Assert.Greater(prp, 7.98); //Orc pr = 7.99
Assert.Less(prp, 8.00);
}
public void DivFlatZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 1;
myZero.makeArrays();
myZero.set_r(0, 0.05, 1.0);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "e";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 9.455); //BS pr = 9.46277
Assert.Less(prc, 9.475);
Assert.Greater(prp, 9.462); //BS pr = 9.46226
Assert.Less(prp, 9.475);
}