public void NonFlatRates()
{
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 2;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
myZero.SetR(1, 0.075, 2.0);
//test interpolation priot to point 0
double tTime = 0.5;
double val = myZero.LinInterp(tTime);
Assert.IsTrue(val > 0.0499999999);
Assert.IsTrue(val < 0.050000001);
//test interpolation prior to point 1
tTime = 1.5;
val = myZero.LinInterp(tTime);
Assert.IsTrue(val > 0.062499999999);
Assert.IsTrue(val < 0.06250000001);
//test interpolation post point 1
tTime = 2.5;
val = myZero.LinInterp(tTime);
Assert.IsTrue(val > 0.07499999999);
Assert.IsTrue(val < 0.0750000001);
//test forward rates
//test interpolation priot to point 0
double tl = 0.25;
tTime = 0.5;
val = myZero.ForwardRate(tl, tTime);
Assert.IsTrue(val > 0.0499999999);
Assert.IsTrue(val < 0.050000001);
//test interpolation prior to point 1
tTime = 1.5;
val = myZero.ForwardRate(tl, tTime);
Assert.IsTrue(val > 0.06499999); /// 0.065
Assert.IsTrue(val < 0.065000001);
//test interpolation post point 1
tTime = 2.5;
val = myZero.ForwardRate(tl, tTime); ///0.077778
Assert.IsTrue(val > 0.0777777);
Assert.IsTrue(val < 0.07777778);
}
public void ADivSlopingZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 2;
myZero.MakeArrays();
myZero.SetR(0, 0.075, 0.5);
myZero.SetR(1, 0.05, 2);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 10.37); //Orc pr = 10.38
Assert.IsTrue(prc < 10.39);
Assert.IsTrue(prp > 9.42); //Orc pr = 9.43
Assert.IsTrue(prp < 9.44);
}
public void ANoDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 0.0, 1.0);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 1;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 12.33); //Orc pr = 12.34
Assert.IsTrue(prc < 12.35);
Assert.IsTrue(prp > 7.98); //Orc pr = 7.99
Assert.IsTrue(prp < 8.00);
}
public void EDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 1;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "e";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 9.455); //BS pr = 9.46277
Assert.IsTrue(prc < 9.475);
Assert.IsTrue(prp > 9.462); //BS pr = 9.46226
Assert.IsTrue(prp < 9.475);
}
