/// <summary>
/// Creates the strike.
/// </summary>
/// <param name="style">The style.</param>
/// <param name="price">The price.</param>
/// <returns></returns>
static public ZeroAUDCurve CreateCurve(DateTime curveDate, List <DateTime> tenorDates, List <Double> rates)
{
ZeroAUDCurve curve = new ZeroAUDCurve(curveDate, tenorDates, rates);
Assert.AreEqual(curve.CurveDate, curveDate);
Assert.AreEqual(curve.Tenors.Length, tenorDates.Count);
Assert.AreEqual(curve.Rates.Length, rates.Count);
return(curve);
}
/// <summary>
///
/// </summary>
/// <param name="zeroArray"></param>
/// <param name="tradeDate"></param>
/// <returns></returns>
public static ZeroAUDCurve UnpackZero(List <ZeroCurveRange> zeroArray, DateTime tradeDate)
{
var tDates = new List <DateTime>();
var tRates = new List <double>();
foreach (ZeroCurveRange zeroCurveRange in zeroArray)
{
DateTime date = zeroCurveRange.RateDate;
double rate = zeroCurveRange.Rate;
tDates.Add(date);
tRates.Add(rate);
}
var zc = new ZeroAUDCurve(tradeDate, tDates, tRates);
return(zc);
}
/// <summary>
/// Unpacks the zero rate curve.
/// </summary>
/// <param name="inZero">The in zero.</param>
/// <returns></returns>
public static ZeroCurve UnpackZeroRateCurve(ZeroAUDCurve inZero)
{
var myZero = new ZeroCurve {
Ratepoints = inZero.Rates.Length
};
myZero.MakeArrays();
int idx = 0;
foreach (ZeroRate dt in inZero.ZeroRates)
{
TimeSpan ts = dt.TenorDate - inZero.CurveDate;
myZero.SetR(idx, dt.Rate, (ts.Days / 365.0));
idx++;
}
return(myZero);
}
/// <summary>
/// Unpacks the dividends.
/// </summary>
/// <param name="inStock">The in stock.</param>
/// <param name="inZero">The in zero.</param>
/// <returns></returns>
public static DivList UnpackDividends(Stock inStock, ZeroAUDCurve inZero)
{
var myDiv = new DivList {
Divpoints = inStock.Dividends.Count
};
myDiv.MakeArrays();
int idx = 0;
foreach (Dividend dt in inStock.Dividends)
{
TimeSpan ts = dt.ExDivDate - inZero.CurveDate;
myDiv.SetD(idx, dt.PaymentAmountInCents, (ts.Days / 365.0));
idx++;
}
return(myDiv);
}
static void Main(string[] args)
{
const double tolerance = 10.0;
//load the strike
var st = new Strike(OptionType.Call, 100.0);
var tr = new TransactionDetail("BHP");
tr.SetStrike(st);
tr.CurrentSpot = 100.0;
tr.PayStyle = PayStyleType.European;
tr.TradeDate = DateTime.Parse("25-Mar-2008");
tr.ExpiryDate = tr.TradeDate.AddDays(107);
//set the curvature
var wc = new[] { new WingCurvature() };
wc[0].EtoDate = DateTime.Parse("25-Mar-2008");;
wc[0][WingCurvature.WingCurvatureProperty.CallCurvature] = -1.1478;
wc[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = 0.2417;
wc[0][WingCurvature.WingCurvatureProperty.DownCutOff] = -.2871;
wc[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = 0.5;
wc[0][WingCurvature.WingCurvatureProperty.PutCurvature] = 0.2283;
wc[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = 100.0;
wc[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = 100.0;
wc[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = 0.0;
wc[0][WingCurvature.WingCurvatureProperty.SlopeReference] = -0.1234;
wc[0][WingCurvature.WingCurvatureProperty.UpCutOff] = 0.1327;
wc[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = 0.50;
wc[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = 0.0;
DateTime d1 = DateTime.Parse("25-Sep-2008");
var div1 = new Dividend(d1, d1.AddDays(10), 1.0, "AUD");
d1 = DateTime.Parse("26-Oct-2009");
var div2 = new Dividend(d1, d1.AddDays(10), 1.0, "AUD");
var dList = new DividendList {
div1, div2
};
var ist = new Stock("BHP", "BHP", dList, wc)
{
Transaction = tr
};
//set up the zerocurve
var tDates = new List <DateTime>();
var tRates = new List <double>();
tDates.Add(DateTime.Parse("25-Jun-2008"));
tDates.Add(DateTime.Parse("25-Sep-2008"));
tRates.Add(0.05);
tRates.Add(0.05);
var zc = new ZeroAUDCurve(DateTime.Parse("25-Mar-2008"), tDates, tRates);
//test the price
var col = new Collar();
//test the pricer
double price = col.FindPrice(ist, zc);
//test collar
var st2 = new Strike(OptionType.Call, 102.0);
ist.Transaction.SetStrike(st2);
price = col.FindZeroCostPutStrike(ist, zc);
var st3 = new Strike(OptionType.Put, 98.0);
ist.Transaction.SetStrike(st3);
price = col.FindZeroCostCallStrike(ist, zc);
//Test against an ETO in Orc;
//load the strike
var testSt1 = new Strike(OptionType.Put, 3900.00);
var tr2 = new TransactionDetail("BHP");
tr2.SetStrike(testSt1);
tr2.CurrentSpot = 3900.00;
tr2.PayStyle = PayStyleType.American;
tr2.TradeDate = DateTime.Parse("25-Mar-2008");
tr2.ExpiryDate = DateTime.Parse("26-Mar-2009");
//set the curvature
var wc2 = new[] { new WingCurvature() };
wc2[0].EtoDate = DateTime.Parse("25-Mar-2008");
wc2[0][WingCurvature.WingCurvatureProperty.CallCurvature] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = 0.7056;
wc2[0][WingCurvature.WingCurvatureProperty.DownCutOff] = -0.1438;
wc2[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.PutCurvature] = 16.5346;
wc2[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = 3440.27;
wc2[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = 92.11;
wc2[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.SlopeReference] = 4.0573;
wc2[0][WingCurvature.WingCurvatureProperty.UpCutOff] = 0.0001;
wc2[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = 82.6825;
wc2[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = 0.0;
DateTime date = DateTime.Parse("01-Sep-2008");
var dividend1 = new Dividend(date, DateTime.Parse("25-Sep-2008"), 34.5, "AUD");
date = DateTime.Parse("23-Feb-2009");
var dividend2 = new Dividend(date, DateTime.Parse("17-Mar-2009"), 36.5, "AUD");
var dList2 = new DividendList {
dividend1, dividend2
};
var ist2 = new Stock("BHP", "BHP", dList2, wc2)
{
Transaction = tr2
};
//set up the zerocurve
var tDates2 = new List <DateTime>();
var tRates2 = new List <double>();
tDates2.Add(DateTime.Parse("26-Mar-2008"));
tDates2.Add(DateTime.Parse("26-Apr-2008"));
tDates2.Add(DateTime.Parse("27-May-2008"));
tDates2.Add(DateTime.Parse("25-Jun-2008"));
tDates2.Add(DateTime.Parse("05-Jul-2008"));
tDates2.Add(DateTime.Parse("04-Oct-2008"));
tDates2.Add(DateTime.Parse("03-Jan-2009"));
tDates2.Add(DateTime.Parse("04-Apr-2009"));
tRates2.Add(0.068646);
tRates2.Add(0.070701);
tRates2.Add(0.072238);
tRates2.Add(0.073009);
tRates2.Add(0.073086);
tRates2.Add(0.073792);
tRates2.Add(0.074177);
tRates2.Add(0.074375);
var zc2 = new ZeroAUDCurve(DateTime.Parse("25-Mar-2008"), tDates2, tRates2);
//test the price
var col2 = new Collar();
//test the pricer - put
double testPrice = col2.FindPrice(ist2, zc2);
//test the pricer - call
var _testSt1 = new Strike(OptionType.Call, 5379.10);
tr2.SetStrike(_testSt1);
double _testPrice = col2.FindPrice(ist2, zc2);
//test collar
var testSt2 = new Strike(OptionType.Call, 5379.10);
ist2.Transaction.SetStrike(testSt2);
price = col2.FindZeroCostPutStrike(ist2, zc2);
var testSt3 = new Strike(OptionType.Put, 3900.00);
ist2.Transaction.SetStrike(testSt3);
price = col2.FindZeroCostCallStrike(ist2, zc2);
//Specify downside strike of 3900:
// Orc put price @ 3900 744.11
// Orc call price @ 5379.10 748.30
}
