Ejemplo n.º 1
0
        public void TestCrankNicolson()
        {
            double spot    = 385.5;
            double epsilon = 0.0001;
            double strike  = 400;

            double[] rt = { 0.0425,
                            0.0452,
                            0.0457,
                            0.0462 };
            int[]    tt        = { 1, 32, 63, 93 };
            int[]    divdays   = { 0, 48 };
            double[] divs      = { 20, 10 };
            double   vol       = 0.2046;
            int      steps     = 80;
            double   tStepSize = 0.01;
            DateTime today     = new DateTime(2010, 05, 07);
            DateTime expiry    = new DateTime(2010, 06, 24);
            //string style = "European";
            double t   = expiry.Subtract(today).Days / 365.0 + epsilon; // For CN backwards propagation div time needs to be strictly less than expiry time
            double fwd = EquityAnalytics.GetForwardCCLin365(spot, t, divdays, divs, tt, rt);
            double df  = EquityAnalytics.GetDFCCLin365(0, t, tt, rt);

            BlackScholes  bs  = new BlackScholes(spot, strike, false, t, vol, tt, rt, divdays, divs);
            CrankNicolson lhs = new CrankNicolson(false, false, spot, strike, t, vol, steps, tStepSize, 8.0, divdays, divs, tt, rt);

            double[,] res0 = OptionAnalytics.BlackScholesWithGreeks(false, fwd, strike, vol, t);
            double[] res_cn   = lhs.GetPriceAndGreeks();
            double   pr_bs    = bs.GetPrice();
            double   delta_bs = bs.GetDelta();
            double   gamma_bs = bs.GetGamma();
            double   theta_bs = bs.GetTheta();
            double   pr_cn    = res_cn[0];
            double   delta_cn = res_cn[1];
            double   gamma_cn = res_cn[2];
            double   theta_cn = res_cn[3];

            Assert.AreEqual(pr_cn, pr_bs, 0.50);
            Assert.AreEqual(delta_cn, delta_bs, 0.03);
            Assert.AreEqual(gamma_cn, 0.012931145370580023, 0.005);
            Assert.AreEqual(bs.GetTheta(), theta_cn, 0.01);
        }
Ejemplo n.º 2
0
        public void FurtherCNTests()
        {
            int[]    dt   = { 448, 813, 1179, 1544, 1909, 2274, 2640, 3005, 3370, 3735 };
            double[] divs = { 1.2, 1.2, 1.2, 1.2, 1.2, 1.2, 1.2, 1.2, 1.2, 1.2 };

            int[]    rtdt = { 74, 439 };
            double[] rtam = { 0.03, 0.03 };

            DateTime today  = new DateTime(2009, 4, 13);
            DateTime expiry = new DateTime(2010, 04, 13);
            double   tau    = expiry.Subtract(today).Days / 365.0;
            double   spot   = 26.4;
            double   strike = 30;
            double   vol    = 0.20;


            CrankNicolson cn_ep = new CrankNicolson(false, false, spot, strike, tau, vol, 800, 0.05, 8, dt, divs, rtdt, rtam);
            CrankNicolson cn_ec = new CrankNicolson(true, false, spot, strike, tau, vol, 100, 0.05, 8, dt, divs, rtdt, rtam);
            CrankNicolson cn_ac = new CrankNicolson(true, true, spot, strike, tau, vol, 100, 0.05, 8, dt, divs, rtdt, rtam);
            CrankNicolson cn_ap = new CrankNicolson(false, true, spot, strike, tau, vol, 100, 0.05, 8, dt, divs, rtdt, rtam);

            //CrankNicolson cn_ep = new CrankNicolson(ep, rc, dl, 8, 800, 0.05); //extra fine grid
            //CrankNicolson cn_ec = new CrankNicolson(ec, rc, dl, 8, 100, 0.05);
            //CrankNicolson cn_ac = new CrankNicolson(ac, rc, dl, 8, 100, 0.05);
            //CrankNicolson cn_ap = new CrankNicolson(ap, rc, dl, 8, 100, 0.05);

            double[] ep_pr = cn_ep.GetPriceAndGreeks();
            double[] ec_pr = cn_ec.GetPriceAndGreeks();
            double[] ac_pr = cn_ac.GetPriceAndGreeks();
            double[] ap_pr = cn_ap.GetPriceAndGreeks();

            Assert.AreEqual(ep_pr[0], 3.825991125, 0.001);
            Assert.AreEqual(ec_pr[0], 1.121514221, 0.001);
            Assert.AreEqual(ac_pr[0], 1.121514221, 0.001);
            Assert.AreEqual(ap_pr[0], 4.065906254, 0.001);
        }
Ejemplo n.º 3
0
        public void FurtherCNTestsLongDated()
        {
            int[] dt = { 83,
                         2274,
                         2640,
                         3005,
                         3370,
                         3735 };

            double[] divs = { 5, 0, 0, 0, 0, 0 };

            int[] rtdt = { 74, 439 };

            double[] rtam = { 0.05, 0.05 };

            DateTime today  = new DateTime(2009, 4, 13);
            DateTime expiry = new DateTime(2014, 04, 13);
            double   spot   = 26.4;
            double   strike = 30;
            double   vol    = 0.30;
            double   tau    = expiry.Subtract(today).Days / 365.0;

            CrankNicolson cn_ep = new CrankNicolson(false, false, spot, strike, tau, vol, 200, 0.05, 8, dt, divs, rtdt, rtam);
            CrankNicolson cn_ec = new CrankNicolson(true, false, spot, strike, tau, vol, 200, 0.05, 8, dt, divs, rtdt, rtam);
            CrankNicolson cn_ac = new CrankNicolson(true, true, spot, strike, tau, vol, 200, 0.05, 8, dt, divs, rtdt, rtam);
            CrankNicolson cn_ap = new CrankNicolson(false, true, spot, strike, tau, vol, 200, 0.05, 8, dt, divs, rtdt, rtam);

            double[] ep = cn_ep.GetPriceAndGreeks();
            double[] ec = cn_ec.GetPriceAndGreeks();
            double[] ac = cn_ac.GetPriceAndGreeks();
            double[] ap = cn_ap.GetPriceAndGreeks();

            double volback = cn_ep.ImpVol(ep[0]);

            Assert.AreEqual(vol, volback, 0.001);


            double ep_delta = ep[1];
            double ec_delta = ec[1];
            double ac_delta = ac[1];
            double ap_delta = ap[1];

            double ep_gamma = ep[2];
            double ec_gamma = ec[2];
            double ac_gamma = ac[2];
            double ap_gamma = ap[2];

            double ep_theta = ep[3];
            double ec_theta = ec[3];
            double ac_theta = ac[3];
            double ap_theta = ap[3];

            Assert.AreEqual(ep[0], 6.9534149, 0.001);
            Assert.AreEqual(ec[0], 5.0652783, 0.001);
            Assert.AreEqual(ac[0], 5.0652783, 0.001);
            Assert.AreEqual(ap[0], 9.3556003, 0.001);

            Assert.AreEqual(ep_delta, -0.41851728556981282, 0.001);
            Assert.AreEqual(ec_delta, 0.58178041660965252, 0.001);
            Assert.AreEqual(ac_delta, 0.58178041660965252, 0.001);
            Assert.AreEqual(ap_delta, -0.6687734186983475, 0.001);

            Assert.AreEqual(ep_gamma, 0.026900894453080339, 0.001);
            Assert.AreEqual(ec_gamma, 0.026899818384012897, 0.001);
            Assert.AreEqual(ac_gamma, 0.026899818384012897, 0.001);
            Assert.AreEqual(ap_gamma, 0.052277076176625865, 0.001);


            //Assert.AreEqual(ep_theta, 0 , 0.001);
            //Assert.AreEqual(ec_theta, 0.026899818384012897, 0.001);
            //Assert.AreEqual(ac_theta, 0.026899818384012897, 0.001);
            //Assert.AreEqual(ap_theta, 0.052277076176625865, 0.001);
        }