public void testFdImpliedVol()
{
var settlementDate = new Date(26, 2, 2015);
Settings.setEvaluationDate(settlementDate);
var calendar = new TARGET();
var dayCounter = new Actual365Fixed();
const double volatility = 0.5;
var underlyingQuote = new Handle <Quote>(new SimpleQuote(3227));
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, 0.05, dayCounter));
var flatDividendYield = new Handle <YieldTermStructure>(new FlatForward(settlementDate, 0, dayCounter));
var flatVolatility = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
var process = new BlackScholesMertonProcess(underlyingQuote, flatDividendYield, flatTermStructure, flatVolatility);
var exercise = new AmericanExercise(new Date(1, 12, 2015));
var pricingEngine = new FDDividendAmericanEngine(process);
var payoff = new PlainVanillaPayoff(Option.Type.Put, 3200);
var dividendDates = new[] { new Date(1, 3, 2015) };
var dividendAmounts = new[] { 10d };
var option = new DividendVanillaOption(payoff, exercise, dividendDates.ToList(), dividendAmounts.ToList());
option.setPricingEngine(pricingEngine);
var npv = option.NPV();
var impliedVol = option.impliedVolatility(npv, process);
const double tolerance = 3.0e-3;
if (Math.Abs(impliedVol - volatility) > tolerance)
{
QAssert.Fail(string.Format("Implied volatility calculation failed. Expected {0}. Actual {1}", volatility, impliedVol));
}
}
public void testFDDividendAmericanEngine()
{
/*
* Valuation date: 20 July 2018
* Maturity date: 17 Aug 2018
* Type: Call
* Spot: 2900
* Strike: 2800
* Volatility: 20 %
* Interest rate: 0 %
*
* Dividend(paid one day before expiry)
* Date: 16 Aug 2018
* Value: 40
*
* NPV = 124.37658
*/
var result = 124.37658;
var settlementDate = new Date(20, 7, 2018);
Settings.setEvaluationDate(settlementDate);
var calendar = new TARGET();
var dayCounter = new Actual365Fixed();
var spot = new Handle <Quote>(new SimpleQuote(2900));
var qRate = new Handle <Quote>(new SimpleQuote(0.0));
var rRate = new Handle <Quote>(new SimpleQuote(0.0));
var vol = new Handle <Quote>(new SimpleQuote(0.2));
var flatDividendYield = new Handle <YieldTermStructure>(new FlatForward(settlementDate, qRate, dayCounter));
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, rRate, dayCounter));
var flatVolatility = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, vol, dayCounter));
var process = new BlackScholesMertonProcess(spot, flatDividendYield, flatTermStructure, flatVolatility);
var exercise = new AmericanExercise(new Date(17, 8, 2018));
var pricingEngine = new FDDividendAmericanEngine(process);
var payoff = new PlainVanillaPayoff(Option.Type.Call, 2800);
var dividendDates = new[] { new Date(16, 8, 2018) };
var dividendAmounts = new[] { 40d };
var option = new DividendVanillaOption(payoff, exercise, dividendDates.ToList(), dividendAmounts.ToList());
option.setPricingEngine(pricingEngine);
var npv = option.NPV();
const double tolerance = 1.0e-5;
if (Math.Abs(npv - result) > tolerance)
{
QAssert.Fail(string.Format("NPV calculation failed. Expected {0}. Actual {1}", result, npv));
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FDDividendAmericanEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
private void Button_Click(object sender, RoutedEventArgs e)
{
Option.Type optionType;
if (CallorPut.Text == "Call")
{
optionType = Option.Type.Call;
}
else
{
optionType = Option.Type.Put;
}
double underlyingPrice = Convert.ToDouble(Stockprice.Text);
double strikePrice = Convert.ToDouble(Strikeprice.Text);
double dividendYield = 0.0;
double riskFreeRate = Convert.ToDouble(Intrate.Text);
double volatility = Convert.ToDouble(Resultvol.Text) / 100;
Date todaydate = Date.todaysDate();
string expd = Datepick.Text;
Date maturityDate = new Date();
if (expd[1].ToString() is "/")
{
expd = '0' + expd;
}
if (expd[4].ToString() is "/")
{
expd = expd.Substring(0, 3) + '0' + expd.Substring(3);
}
maturityDate = DateParser.parseFormatted(expd, "%m/%d/%Y");
Settings.instance().setEvaluationDate(todaydate);
Date settlementDate = new Date();
settlementDate = todaydate;
QuantLib.Calendar calendar = new TARGET();
AmericanExercise americanExercise =
new AmericanExercise(settlementDate, maturityDate);
EuropeanExercise europeanExercise =
new EuropeanExercise(maturityDate);
DayCounter dayCounter = new Actual365Fixed();
YieldTermStructureHandle flatRateTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, riskFreeRate,
dayCounter));
YieldTermStructureHandle flatDividendTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, dividendYield,
dayCounter));
BlackVolTermStructureHandle flatVolTSH =
new BlackVolTermStructureHandle(
new BlackConstantVol(settlementDate, calendar,
volatility, dayCounter));
QuoteHandle underlyingQuoteH =
new QuoteHandle(new SimpleQuote(underlyingPrice));
BlackScholesMertonProcess stochasticProcess =
new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH,
flatRateTSH,
flatVolTSH);
PlainVanillaPayoff payoff =
new PlainVanillaPayoff(optionType, strikePrice);
VanillaOption americanOption =
new VanillaOption(payoff, americanExercise);
VanillaOption americanOption2 =
new VanillaOption(payoff, americanExercise);
VanillaOption europeanOption =
new VanillaOption(payoff, europeanExercise);
//americanOption.setPricingEngine(
// new BaroneAdesiWhaleyEngine(stochasticProcess));
//americanOption2.setPricingEngine(
// new BinomialVanillaEngine(stochasticProcess, "coxrossrubinstein",1000));
europeanOption.setPricingEngine(
new AnalyticEuropeanEngine(stochasticProcess));
//double opprice = Math.Round(americanOption2.NPV(),3);
Date divdate1 = new Date(14, Month.December, 2019);
DoubleVector divpay = new DoubleVector();
DateVector divDates = new DateVector();
//divpay.Add(.0001);
//divDates.Add(divdate1);
DividendVanillaOption americanOption1 = new DividendVanillaOption(payoff, americanExercise, divDates, divpay);
FDDividendAmericanEngine engine = new FDDividendAmericanEngine(stochasticProcess);
americanOption1.setPricingEngine(engine);
double opprice4 = americanOption1.NPV();
//double vol1 = americanOption1.impliedVolatility(opprice4, stochasticProcess, .001);
double delta1 = Math.Round(americanOption1.delta(), 2);
double gamma1 = Math.Round(americanOption1.gamma(), 2);
double theta1 = Math.Round(europeanOption.theta() / 365, 2);
double vega1 = Math.Round(europeanOption.vega() / 100, 2);
double oppricedisplay = Math.Round(opprice4, 3);
Resultam.Text = oppricedisplay.ToString();
Resultam_Delta.Text = delta1.ToString();
Resultam_Gamma.Text = gamma1.ToString();
Resultam_Theta.Text = theta1.ToString();
Resultam_Vega.Text = vega1.ToString();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FDDividendAmericanEngine obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
