public void testCashAtExpiryOrNothingAmericanValues()
{
// Testing American cash-(at-expiry)-or-nothing digital option
DigitalOptionData[] values =
{
// type, strike, spot, q, r, t, vol, value, tol
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 95, case 5,6,9,10
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 9.3604, 1e-4, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 11.2223, 1e-4, true),
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.9081, 1e-4, false),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.0461, 1e-4, false),
// in the money options (guaranteed discounted payoff)
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 15.0000 * Math.Exp(-0.05), 1e-12, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 15.0000 * Math.Exp(-0.05), 1e-12, true),
// out of bonds case
new DigitalOptionData(Option.Type.Call, 2.37, 2.33, 0.07, 0.43, 0.19, 0.005, 0.0000, 1e-4, false),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, 15.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
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;
if (values[i].knockin)
{
engine = new AnalyticDigitalAmericanEngine(stochProcess);
}
else
{
engine = new AnalyticDigitalAmericanKOEngine(stochProcess);
}
VanillaOption opt = new VanillaOption(payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol, values[i].knockin);
}
}
}
public void testAssetAtExpiryOrNothingAmericanValues()
{
// Testing American asset-(at-expiry)-or-nothing digital option
DigitalOptionData[] values =
{
// type, strike, spot, q, r, t, vol, value, tol
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 95, case 7,8,11,12
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 64.8426, 1e-04, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 77.7017, 1e-04, true),
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 40.1574, 1e-04, false),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 17.2983, 1e-04, false),
// data from Haug VBA code results
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.01, 0.10, 0.5, 0.20, 65.5291, 1e-04, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.01, 0.10, 0.5, 0.20, 76.5951, 1e-04, true),
// in the money options (guaranteed discounted payoff = forward * riskFreeDiscount
// = spot * dividendDiscount)
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 105.0000, 1e-12, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 95.0000, 1e-12, true),
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.01, 0.10, 0.5, 0.20, 105.0000 * Math.Exp(-0.005), 1e-12, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.01, 0.10, 0.5, 0.20, 95.0000 * Math.Exp(-0.005), 1e-12, true)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new AssetOrNothingPayoff(values[i].type, values[i].strike);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
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;
if (values[i].knockin)
{
engine = new AnalyticDigitalAmericanEngine(stochProcess);
}
else
{
engine = new AnalyticDigitalAmericanKOEngine(stochProcess);
}
VanillaOption opt = new VanillaOption(payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, 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(AnalyticDigitalAmericanKOEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
