public void PVFacts()
{
var evalDate = DateTime.Today;
var avgStart = evalDate.AddDays(365);
var avgEnd = avgStart.AddDays(32);
var t = (avgEnd - evalDate).TotalDays / 365.0;
var fixCal = new Calendar();
var k = 0;
var f = 100;
var vol = 0.32;
var rf = 0.05;
//zero strike put is worthless
var PV = LME_Clewlow.PV(f, 0, vol, 0.0, evalDate, avgStart, avgEnd, rf, OptionType.P, fixCal);
Assert.Equal(0, PV, 10);
//zero strike call is worth discounted fwd
PV = LME_Clewlow.PV(f, 0, vol, 0.0, evalDate, avgStart, avgEnd, rf, OptionType.C, fixCal);
Assert.Equal(System.Math.Exp(-rf * t) * f, PV, 2);
//OTM option with zero vol is worthless
vol = 0.0;
k = f + 1;
PV = LME_Clewlow.PV(f, 0, vol, 0.0, evalDate, avgStart, avgEnd, rf, OptionType.C, fixCal);
Assert.Equal(0, PV, 10);
//put-call parity at f==k
k = f;
vol = 0.32;
var PVcall = LME_Clewlow.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, fixCal);
var PVput = LME_Clewlow.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, fixCal);
Assert.Equal(PVcall, PVput, 2);
//bullet defaults to european
avgStart = avgEnd;
PV = LME_Clewlow.PV(f, 0.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, fixCal);
var blackPV = BlackFunctions.BlackPV(f, k, rf, t, vol, OptionType.P);
Assert.Equal(blackPV, PV, 10);
//on expiry its intrinsic
evalDate = avgEnd;
PV = LME_Clewlow.PV(f, f, vol, f + 10, evalDate, avgStart, avgEnd, rf, OptionType.P, fixCal);
Assert.Equal(10.0, PV, 10);
PV = LME_Clewlow.PV(f, f, vol, f - 10, evalDate, avgStart, avgEnd, rf, OptionType.C, fixCal);
Assert.Equal(10.0, PV, 10);
}
public void CanRunPV()
{
var sut = GetSut();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var pvCube = sut.PV(usd);
var ins = sut.Portfolio.Instruments.First() as AsianOption;
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var clewlowPV = LME_Clewlow.PV(100, 0, 0.32, 101, sut.Model.BuildDate, ins.AverageStartDate, ins.AverageEndDate, 0.0, OptionType.C, usdCal);
var tbPV = TurnbullWakeman.PV(100, 0, 0.32, 101, sut.Model.BuildDate, ins.AverageStartDate, ins.AverageEndDate, 0.0, OptionType.C);
var tbFutPV = TurnbullWakeman.PV(ins.FixingDates.Select(x => 100.0).ToArray(), ins.FixingDates, sut.Model.BuildDate, ins.PaymentDate, ins.FixingDates.Select(x => 0.32).ToArray(), ins.Strike, 0.0, OptionType.C);
Assert.Equal(tbFutPV, pvCube.GetAllRows().First().Value, 1);
}
public void DeltaFacts()
{
var cal = TestProviderHelper.CalendarProvider.Collection["nyc"];
var evalDate = new DateTime(2019, 05, 10);
var avgStart = evalDate.AddDays(365);
var avgEnd = avgStart.AddDays(32);
var k = 100.0;
var f = 100.0;
var vol = 0.32;
var rf = 0.0;
var deltaBump = 1e-6;
var pv = LME_Clewlow.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
var pv2 = LME_Clewlow.PV(f + deltaBump, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
var delta = LME_Clewlow.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
evalDate = avgStart.AddDays(16);
pv = LME_Clewlow.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
pv2 = LME_Clewlow.PV(f + deltaBump, f + deltaBump, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
delta = LME_Clewlow.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
pv = LME_Clewlow.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, cal);
pv2 = LME_Clewlow.PV(f + deltaBump, f + deltaBump, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, cal);
delta = LME_Clewlow.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, cal);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
pv = LME_Clewlow.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
pv2 = LME_Clewlow.PV(f + deltaBump, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
delta = LME_Clewlow.Delta(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C, cal);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
pv = LME_Clewlow.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, cal);
pv2 = LME_Clewlow.PV(f + deltaBump, f + deltaBump, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, cal);
delta = LME_Clewlow.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P, cal);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
}