public void TestDynamicCallFromFile()
{
Stopwatch watch;
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromScript(@"ScriptEuropeanOption.txt");
// Setup an appropriate simulation
var shares = new[]
{
new Share("AAA", TestHelpers.ZAR)
}; // One needs to know the index that will be required by the product to simulate it.
var valueDate = new Date(2016, 08, 28);
var divYield = new[] { 0.02 };
var vol = new[] { 0.22 };
var spotPrice = new[] { 100.0 };
var correlations = new[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(120) },
new[] { 0.07, 0.07 });
var rateForecastCurves = new IFloatingRateSource[0];
var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
// Value the runtime product
Coordinator coordinator;
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
watch = Stopwatch.StartNew();
var valueRuntime = coordinator.Value(new[] { runtimeProduct }, valueDate);
watch.Stop();
var timeRuntime = watch.ElapsedMilliseconds;
// Setup the same product statically
var exerciseDate = new Date(2017, 08, 28);
var strike = 100.0;
Product staticProduct = new EuropeanOption(new Share("AAA", TestHelpers.ZAR), strike, exerciseDate);
// Value the static product
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
watch = Stopwatch.StartNew();
var valueStatic = coordinator.Value(new[] { staticProduct }, valueDate);
watch.Stop();
var timeStatic = watch.ElapsedMilliseconds;
var refValue = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
Assert.AreEqual(refValue, valueStatic, refValue * 0.03);
}
public static object CreateProductFromFile([ExcelArgument(Description = "Name of product")] string name,
[ExcelArgument(Description = "Full path to the file.")] string filename)
{
try
{
Product runtimeProduct = RuntimeProduct.CreateFromScript(filename);
return(XU.AddObject(name, runtimeProduct));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public void TestDynamicCallFromString()
{
var source =
@"Date exerciseDate = new Date(2017, 08, 28);
Share share = new Share(""AAA"", new Currency(""ZAR""));
double strike = 100.0;
public override List<Cashflow> GetCFs()
{
double amount = Math.Max(0, Get(share, exerciseDate) - strike);
return new List<Cashflow> { new Cashflow(exerciseDate, amount, share.Currency) };
}";
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Setup an approriate simulation
var shares = new[]
{
new Share("AAA", TestHelpers.ZAR)
}; // One needs to know the index that will be required by the product to simulate it.
var valueDate = new Date(2016, 08, 28);
var divYield = new[] { 0.02 };
var vol = new[] { 0.22 };
var spotPrice = new[] { 100.0 };
var correlations = new[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(120) },
new[] { 0.07, 0.07 });
var rateForecastCurves = new IFloatingRateSource[0];
var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
// Value the runtime product
Coordinator coordinator;
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
var valueRuntime = coordinator.Value(new[] { runtimeProduct }, valueDate);
var exerciseDate = new Date(2017, 08, 28);
var strike = 100.0;
var refValue = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
}
public void TestDynamicCallFromStringFRA()
{
var source =
@"Date date = new Date(2017, 08, 28);
FloatRateIndex jibar = new FloatRateIndex(""ZAR.JIBAR.3M"", new Currency(""ZAR""), ""JIBAR"", Tenor.FromMonths(3));
double dt = 91.0/365.0;
double fixedRate = 0.071;
double notional = 1000000.0;
Currency currency = new Currency(""ZAR"");
public override List<Cashflow> GetCFs()
{
double reset = Get(jibar, date);
double cfAmount = notional * (reset - fixedRate)*dt/(1+dt*reset);
return new List<Cashflow>() { new Cashflow(date, cfAmount, currency) };
}";
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
var fraValue = coordinator.Value(new[] { runtimeProduct }, valueDate);
var date = new Date(2017, 08, 28);
var t = (date - valueDate) / 365.0;
var dt = 91.0 / 365.0;
var fixedRate = 0.071;
var notional = 1000000.0;
var fwdRate = 0.07;
var refValue = notional * (fwdRate - fixedRate) * dt / (1 + fwdRate * dt) * Math.Exp(-t * 0.07);
Assert.AreEqual(refValue, fraValue, 0.01);
}
public void TestDynamicCallFromStringFRA()
{
string source =
@"Date date = new Date(2017, 08, 28);
FloatingIndex jibar = FloatingIndex.JIBAR3M;
double dt = 91.0/365.0;
double fixedRate = 0.071;
double notional = 1000000.0;
Currency currency = Currency.ZAR;
public override List<Cashflow> GetCFs()
{
double reset = Get(jibar, date);
double cfAmount = notional * (reset - fixedRate)*dt/(1+dt*reset);
return new List<Cashflow>() { new Cashflow(date, cfAmount, currency) };
}";
// Make a product at runtime
Product runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Set up the model
Date valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, FloatingIndex.JIBAR3M, dates, rates);
DeterminsiticCurves curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
Coordinator coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
double fraValue = coordinator.Value(new Product[] { runtimeProduct }, valueDate);
Date date = new Date(2017, 08, 28);
double t = (date - valueDate) / 365.0;
double dt = 91.0 / 365.0;
double fixedRate = 0.071;
double notional = 1000000.0;
double fwdRate = 0.07;
double refValue = notional * (fwdRate - fixedRate) * dt / (1 + fwdRate * dt) * Math.Exp(-t * 0.07);
Assert.AreEqual(refValue, fraValue, 0.01);
}
public static Product CreateProductFromFile([ExcelArgument(Description = "Full path to the file.")]
string filename)
{
return(RuntimeProduct.CreateFromScript(filename));
}
