public void testGapEuropeanValues()
{
// Testing European gap digital option
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 88
DigitalOptionData[] values =
{
// type, strike, spot, q, r, t, vol, value, tol
new DigitalOptionData(Option.Type.Call, 50.00, 50.0, 0.00, 0.09, 0.50, 0.20, -0.0053, 1e-4, true),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new GapPayoff(values[i].type, values[i].strike, 57.00);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticEuropeanEngine(stochProcess);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s, values[i].q,
values[i].r, today, values[i].v, values[i].result,
calculated, error, values[i].tol, values[i].knockin);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GapPayoff 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(GapPayoff obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
