public virtual void test_trinomialTree_down()
{
int nSteps = 133;
LatticeSpecification lattice = new CoxRossRubinsteinLatticeSpecification();
DoubleArray rebate = DoubleArray.of(nSteps + 1, i => REBATE_AMOUNT);
double barrierLevel = 76d;
double tol = 1.0e-2;
foreach (bool isCall in new bool[] { true, false })
{
foreach (double strike in STRIKES)
{
foreach (double interest in INTERESTS)
{
foreach (double vol in VOLS)
{
foreach (double dividend in DIVIDENDS)
{
OptionFunction function = ConstantContinuousSingleBarrierKnockoutFunction.of(strike, TIME, PutCall.ofPut(!isCall), nSteps, BarrierType.DOWN, barrierLevel, rebate);
SimpleConstantContinuousBarrier barrier = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, barrierLevel);
double exact = REBATE_AMOUNT * REBATE_PRICER.price(SPOT, TIME, interest - dividend, interest, vol, barrier.inverseKnockType()) + BARRIER_PRICER.price(SPOT, strike, TIME, interest - dividend, interest, vol, isCall, barrier);
double computed = TRINOMIAL_TREE.optionPrice(function, lattice, SPOT, vol, interest, dividend);
assertEquals(computed, exact, Math.Max(exact, 1d) * tol);
}
}
}
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_black()
public virtual void test_black()
{
double tol = 1.0e-2;
for (int i = 0; i < 11; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.025 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption optionDko = ResolvedFxSingleBarrierOption.of(CALL, dko);
double priceDkoBlack = BLACK_PRICER.price(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceDko = PRICER_70.price(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceDko, priceDkoBlack, tol);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption optionDki = ResolvedFxSingleBarrierOption.of(CALL, dki);
double priceDkiBlack = BLACK_PRICER.price(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceDki = PRICER_70.price(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceDki, priceDkiBlack, tol);
// down barrier
double higherBarrier = 1.45 + 0.025 * i;
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption optionUko = ResolvedFxSingleBarrierOption.of(CALL, uko);
double priceUkoBlack = BLACK_PRICER.price(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceUko = PRICER_70.price(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceUko, priceUkoBlack, tol);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption optionUki = ResolvedFxSingleBarrierOption.of(CALL, uki);
double priceUkiBlack = BLACK_PRICER.price(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceUki = PRICER_70.price(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceUki, priceUkiBlack, tol);
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_monotonicity()
public virtual void test_monotonicity()
{
double priceDkoPrev = 100d;
double priceDkiPrev = 0d;
double priceUkoPrev = 0d;
double priceUkiPrev = 100d;
for (int i = 0; i < 50; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.006 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption optionDko = ResolvedFxSingleBarrierOption.of(CALL, dko);
double priceDko = PRICER_39.price(optionDko, RATE_PROVIDER, VOLS, DATA_39);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption optionDki = ResolvedFxSingleBarrierOption.of(CALL, dki);
double priceDki = PRICER_39.price(optionDki, RATE_PROVIDER, VOLS, DATA_39);
// down barrier
double higherBarrier = 1.4 + 0.006 * (i + 1);
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption optionUko = ResolvedFxSingleBarrierOption.of(CALL, uko);
double priceUko = PRICER_39.price(optionUko, RATE_PROVIDER, VOLS, DATA_39);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption optionUki = ResolvedFxSingleBarrierOption.of(CALL, uki);
double priceUki = PRICER_39.price(optionUki, RATE_PROVIDER, VOLS, DATA_39);
assertTrue(priceDkoPrev > priceDko);
assertTrue(priceDkiPrev < priceDki);
assertTrue(priceUkoPrev < priceUko);
assertTrue(priceUkiPrev > priceUki);
priceDkoPrev = priceDko;
priceDkiPrev = priceDki;
priceUkoPrev = priceUko;
priceUkiPrev = priceUki;
}
}
/// <summary>
/// Lower barrier level is very small.
/// </summary>
public virtual void smallBarrierTest()
{
SimpleConstantContinuousBarrier @in = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, 0.1d);
SimpleConstantContinuousBarrier @out = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, 0.1d);
double dwIn = PRICER.price(SPOT, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, @in);
double dwOut = PRICER.price(SPOT, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, @out);
assertRelative(dwIn, 0d);
assertRelative(dwOut, DF_DOM);
}
/// <summary>
/// Upper barrier level is very high.
/// </summary>
public virtual void largeBarrierTest()
{
SimpleConstantContinuousBarrier @in = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, 1.0e4);
SimpleConstantContinuousBarrier @out = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, 1.0e4);
double upIn = PRICER.price(SPOT, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, @in);
double upOut = PRICER.price(SPOT, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, @out);
assertRelative(upIn, 0d);
assertRelative(upOut, DF_DOM);
}
public virtual void test_tradePricer()
{
for (int i = 0; i < 11; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.025 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption callDko = ResolvedFxSingleBarrierOption.of(CALL, dko);
ResolvedFxSingleBarrierOptionTrade callTrade = ResolvedFxSingleBarrierOptionTrade.builder().product(callDko).premium(Payment.of(EUR, 0, VAL_DATE)).build();
CurrencyAmount pvProduct = PRICER_39.presentValue(callDko, RATE_PROVIDER, VOLS);
MultiCurrencyAmount pvTrade = TRADE_PRICER_39.presentValue(callTrade, RATE_PROVIDER, VOLS);
assertEquals(pvTrade.getAmount(USD), pvProduct);
}
}
/// <summary>
/// Upper barrier level is very high: knock-in is close to 0, knock-out is close to vanilla.
/// </summary>
public virtual void largeBarrierTest()
{
SimpleConstantContinuousBarrier upIn = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, 1.0e4);
SimpleConstantContinuousBarrier upOut = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, 1.0e4);
foreach (double strike in STRIKES)
{
// call
double callVanilla = BlackFormulaRepository.price(FWD_FX, strike, EXPIRY_TIME, VOLATILITY, true) * DF_DOM;
double callUpIn = BARRIER_PRICER.price(SPOT, strike, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, true, upIn);
double callUpOut = BARRIER_PRICER.price(SPOT, strike, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, true, upOut);
assertRelative(callUpIn, 0d);
assertRelative(callUpOut, callVanilla);
// put
double putVanilla = BlackFormulaRepository.price(FWD_FX, strike, EXPIRY_TIME, VOLATILITY, false) * DF_DOM;
double putUpIn = BARRIER_PRICER.price(SPOT, strike, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, false, upIn);
double putUpOut = BARRIER_PRICER.price(SPOT, strike, EXPIRY_TIME, COST_OF_CARRY, RATE_DOM, VOLATILITY, false, upOut);
assertRelative(putUpIn, 0d);
assertRelative(putUpOut, putVanilla);
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_inOutParity()
public virtual void test_inOutParity()
{
double tol = 1.0e-2;
double callPrice = VANILLA_PRICER.price(CALL, RATE_PROVIDER, VOLS);
double putPrice = VANILLA_PRICER.price(PUT, RATE_PROVIDER, VOLS);
for (int i = 0; i < 11; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.025 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption callDko = ResolvedFxSingleBarrierOption.of(CALL, dko);
double priceCallDko = PRICER_39.price(callDko, RATE_PROVIDER, VOLS, DATA_39);
ResolvedFxSingleBarrierOption putDko = ResolvedFxSingleBarrierOption.of(PUT, dko);
double pricePutDko = PRICER_39.price(putDko, RATE_PROVIDER, VOLS, DATA_39);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption callDki = ResolvedFxSingleBarrierOption.of(CALL, dki);
double priceCallDki = PRICER_39.price(callDki, RATE_PROVIDER, VOLS, DATA_39);
ResolvedFxSingleBarrierOption putDki = ResolvedFxSingleBarrierOption.of(PUT, dki);
double pricePutDki = PRICER_39.price(putDki, RATE_PROVIDER, VOLS, DATA_39);
assertEqualsRelative(priceCallDko + priceCallDki, callPrice, tol);
assertEqualsRelative(pricePutDko + pricePutDki, putPrice, tol);
// down barrier
double higherBarrier = 1.45 + 0.025 * i;
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption callUko = ResolvedFxSingleBarrierOption.of(CALL, uko);
double priceCallUko = PRICER_39.price(callUko, RATE_PROVIDER, VOLS, DATA_39);
ResolvedFxSingleBarrierOption putUko = ResolvedFxSingleBarrierOption.of(PUT, uko);
double pricePutUko = PRICER_39.price(putUko, RATE_PROVIDER, VOLS, DATA_39);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption callUki = ResolvedFxSingleBarrierOption.of(CALL, uki);
double priceCallUki = PRICER_39.price(callUki, RATE_PROVIDER, VOLS, DATA_39);
ResolvedFxSingleBarrierOption putUki = ResolvedFxSingleBarrierOption.of(PUT, uki);
double pricePutUki = PRICER_39.price(putUki, RATE_PROVIDER, VOLS, DATA_39);
assertEqualsRelative(priceCallUko + priceCallUki, callPrice, tol);
assertEqualsRelative(pricePutUko + pricePutUki, putPrice, tol);
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_black_currencyExposure()
public virtual void test_black_currencyExposure()
{
double tol = 7.0e-2; // large tol due to approximated delta
for (int i = 0; i < 8; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.025 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption optionDko = ResolvedFxSingleBarrierOption.of(CALL, dko, REBATE_BASE);
MultiCurrencyAmount ceDkoBlack = BLACK_PRICER.currencyExposure(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceDko = PRICER_70.currencyExposure(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceDko.getAmount(EUR).Amount, ceDkoBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceDko.getAmount(USD).Amount, ceDkoBlack.getAmount(USD).Amount, NOTIONAL * tol);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption optionDki = ResolvedFxSingleBarrierOption.of(CALL, dki, REBATE);
MultiCurrencyAmount ceDkiBlack = BLACK_PRICER.currencyExposure(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceDki = PRICER_70.currencyExposure(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceDki.getAmount(EUR).Amount, ceDkiBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceDki.getAmount(USD).Amount, ceDkiBlack.getAmount(USD).Amount, NOTIONAL * tol);
// down barrier
double higherBarrier = 1.45 + 0.025 * i;
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption optionUko = ResolvedFxSingleBarrierOption.of(CALL, uko, REBATE);
MultiCurrencyAmount ceUkoBlack = BLACK_PRICER.currencyExposure(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceUko = PRICER_70.currencyExposure(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceUko.getAmount(EUR).Amount, ceUkoBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceUko.getAmount(USD).Amount, ceUkoBlack.getAmount(USD).Amount, NOTIONAL * tol);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption optionUki = ResolvedFxSingleBarrierOption.of(CALL, uki, REBATE_BASE);
MultiCurrencyAmount ceUkiBlack = BLACK_PRICER.currencyExposure(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT);
MultiCurrencyAmount ceUki = PRICER_70.currencyExposure(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEquals(ceUki.getAmount(EUR).Amount, ceUkiBlack.getAmount(EUR).Amount, NOTIONAL * tol);
assertEquals(ceUki.getAmount(USD).Amount, ceUkiBlack.getAmount(USD).Amount, NOTIONAL * tol);
}
}