public void testOption()
{
/* a zero-coupon convertible bond with no credit spread is
* equivalent to a call option. */
// Testing zero-coupon convertible bonds against vanilla option
CommonVars vars = new CommonVars();
Exercise euExercise = new EuropeanExercise(vars.maturityDate);
vars.settlementDays = 0;
int timeSteps = 2001;
IPricingEngine engine = new BinomialConvertibleEngine <CoxRossRubinstein>(vars.process, timeSteps);
IPricingEngine vanillaEngine = new BinomialVanillaEngine <CoxRossRubinstein>(vars.process, timeSteps);
vars.creditSpread.linkTo(new SimpleQuote(0.0));
double conversionStrike = vars.redemption / vars.conversionRatio;
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, conversionStrike);
Schedule schedule = new MakeSchedule().from(vars.issueDate)
.to(vars.maturityDate)
.withFrequency(Frequency.Once)
.withCalendar(vars.calendar)
.backwards().value();
ConvertibleZeroCouponBond euZero = new ConvertibleZeroCouponBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
vars.dayCounter, schedule,
vars.redemption);
euZero.setPricingEngine(engine);
VanillaOption euOption = new VanillaOption(payoff, euExercise);
euOption.setPricingEngine(vanillaEngine);
double tolerance = 5.0e-2 * (vars.faceAmount / 100.0);
double expected = vars.faceAmount / 100.0 *
(vars.redemption * vars.riskFreeRate.link.discount(vars.maturityDate)
+ vars.conversionRatio * euOption.NPV());
double error = Math.Abs(euZero.NPV() - expected);
if (error > tolerance)
{
QAssert.Fail("failed to reproduce plain-option price:"
+ "\n calculated: " + euZero.NPV()
+ "\n expected: " + expected
+ "\n error: " + error
+ "\n tolerance: " + tolerance);
}
}
VanillaOption makeOption(StrikedTypePayoff payoff, Exercise exercise, Quote u, YieldTermStructure q,
YieldTermStructure r, BlackVolTermStructure vol, EngineType engineType, int binomialSteps, int samples)
{
GeneralizedBlackScholesProcess stochProcess = makeProcess(u, q, r, vol);
IPricingEngine engine;
switch (engineType)
{
case EngineType.Analytic:
engine = new AnalyticEuropeanEngine(stochProcess);
break;
case EngineType.JR:
engine = new BinomialVanillaEngine <JarrowRudd>(stochProcess, binomialSteps);
break;
case EngineType.CRR:
engine = new BinomialVanillaEngine <CoxRossRubinstein>(stochProcess, binomialSteps);
break;
case EngineType.EQP:
engine = new BinomialVanillaEngine <AdditiveEQPBinomialTree>(stochProcess, binomialSteps);
break;
case EngineType.TGEO:
engine = new BinomialVanillaEngine <Trigeorgis>(stochProcess, binomialSteps);
break;
case EngineType.TIAN:
engine = new BinomialVanillaEngine <Tian>(stochProcess, binomialSteps);
break;
case EngineType.LR:
engine = new BinomialVanillaEngine <LeisenReimer>(stochProcess, binomialSteps);
break;
case EngineType.JOSHI:
engine = new BinomialVanillaEngine <Joshi4>(stochProcess, binomialSteps);
break;
case EngineType.FiniteDifferences:
engine = new FDEuropeanEngine(stochProcess, binomialSteps, samples);
break;
case EngineType.Integral:
engine = new IntegralEngine(stochProcess);
break;
//case EngineType.PseudoMonteCarlo:
// engine = MakeMCEuropeanEngine<PseudoRandom>(stochProcess)
// .withSteps(1)
// .withSamples(samples)
// .withSeed(42);
// break;
//case EngineType.QuasiMonteCarlo:
// engine = MakeMCEuropeanEngine<LowDiscrepancy>(stochProcess)
// .withSteps(1)
// .withSamples(samples);
// break;
default:
throw new ArgumentException("unknown engine type");
}
VanillaOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
return(option);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BinomialVanillaEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BinomialVanillaEngine obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
VanillaOption makeOption(StrikedTypePayoff payoff, Exercise exercise, Quote u, YieldTermStructure q,
YieldTermStructure r, BlackVolTermStructure vol, EngineType engineType, int binomialSteps, int samples)
{
GeneralizedBlackScholesProcess stochProcess = makeProcess(u, q, r, vol);
IPricingEngine engine;
switch (engineType)
{
case EngineType.Analytic:
engine = new AnalyticEuropeanEngine(stochProcess);
break;
case EngineType.JR:
engine = new BinomialVanillaEngine<JarrowRudd>(stochProcess, binomialSteps);
break;
case EngineType.CRR:
engine = new BinomialVanillaEngine<CoxRossRubinstein>(stochProcess, binomialSteps);
break;
case EngineType.EQP:
engine = new BinomialVanillaEngine<AdditiveEQPBinomialTree>(stochProcess, binomialSteps);
break;
case EngineType.TGEO:
engine = new BinomialVanillaEngine<Trigeorgis>(stochProcess, binomialSteps);
break;
case EngineType.TIAN:
engine = new BinomialVanillaEngine<Tian>(stochProcess, binomialSteps);
break;
case EngineType.LR:
engine = new BinomialVanillaEngine<LeisenReimer>(stochProcess, binomialSteps);
break;
case EngineType.JOSHI:
engine = new BinomialVanillaEngine<Joshi4>(stochProcess, binomialSteps);
break;
case EngineType.FiniteDifferences:
engine = new FDEuropeanEngine(stochProcess, binomialSteps, samples);
break;
case EngineType.Integral:
engine = new IntegralEngine(stochProcess);
break;
//case EngineType.PseudoMonteCarlo:
// engine = MakeMCEuropeanEngine<PseudoRandom>(stochProcess)
// .withSteps(1)
// .withSamples(samples)
// .withSeed(42);
// break;
//case EngineType.QuasiMonteCarlo:
// engine = MakeMCEuropeanEngine<LowDiscrepancy>(stochProcess)
// .withSteps(1)
// .withSamples(samples);
// break;
default:
throw new ArgumentException("unknown engine type");
}
VanillaOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
return option;
}
