private void RainbowOptionGreekCalc(double ExpectedPv, string rainbowType = "Max", string ValuationDate = "2017-12-18", double vol = 0.28, double spot = 1.0, double volNew = 0.30, double spotNew = 2.0,
double strike1 = 1.03, double strike2 = 1.05, Boolean isCall = true)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var option = new RainbowOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: isCall ? OptionType.Call : OptionType.Put,
rainbowType: ToRainbowType(rainbowType),
strikes: new double[] { strike1, strike2 },
cashAmount: 1.0,
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2 }
)
{
UnderlyingTickers = new string[] { asset1, asset2 }
};
var market = TestMarket(referenceDate: ValuationDate, vol: vol, volNew: volNew, spot: spot, spotNew: spotNew, asset1: asset1, asset2: asset2);
var analyticalEngine = new AnalyticalRainbowOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
Assert.AreEqual(ExpectedPv, analyticalResult.Pv, 1e-8);
}
private void RainbowOptionGreekTest(double vol = 0.28, double spot = 1.0, double volNew = 0.30, double spotNew = 2.0,
double strike1 = 1.03, double strike2 = 1.05, Boolean isCall = true, Boolean isBest = true,
string t0 = "2015-03-19", string t1 = "2015-03-20", double volMove = 0.10, double mktMove = 1e-4, double toleranceInPct = 2)
{
var valuationDate = DateFromStr(t0);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var spot2 = spot + spot * mktMove;
var spotNew2 = spotNew + spotNew * mktMove;
var vol2 = vol + volMove;
var volNew2 = volNew + volMove;
var T0 = DateFromStr(t0);
var T1 = DateFromStr(t1);
var valuationDay = t0;
var valuationDayNew = t1;
var asset1 = "asset1";
var asset2 = "asset2";
var option = new RainbowOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: isCall ? OptionType.Call : OptionType.Put,
rainbowType: isBest ? RainbowType.Max : RainbowType.Min,
strikes: new double[] { strike1, strike2 },
cashAmount: 1.0,
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2 }
)
{
UnderlyingTickers = new string[] { asset1, asset2 }
};
var market = TestMarket(referenceDate: t0, vol: vol, volNew: volNew, spot: spot, spotNew: spotNew, asset1: asset1, asset2: asset2);
var marketNew = TestMarket(referenceDate: t1, vol: vol2, volNew: volNew2, spot: spot2, spotNew: spotNew2, asset1: asset1, asset2: asset2);
var marketPI = TestMarket(referenceDate: t0, vol: vol, volNew: volNew, spot: spot2, spotNew: spotNew2, asset1: asset1, asset2: asset2);
var marketVI = TestMarket(referenceDate: t0, vol: vol2, volNew: volNew2, spot: spot, spotNew: spotNew, asset1: asset1, asset2: asset2);
var marketPVC = TestMarket(referenceDate: t0, vol: vol2, volNew: volNew2, spot: spot2, spotNew: spotNew2, asset1: asset1, asset2: asset2);
var engine = new AnalyticalRainbowOptionEngine();
var result = engine.Calculate(option, market, PricingRequest.All);
var resultNew = engine.Calculate(option, marketNew, PricingRequest.All);
var resultPI = engine.Calculate(option, marketPI, PricingRequest.All);
var resultVI = engine.Calculate(option, marketVI, PricingRequest.All);
var resultPVC = engine.Calculate(option, marketPVC, PricingRequest.All);
var actualPL = resultNew.Pv - result.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv = result.Pv;
var PI = resultPI.Pv - basePv;
var thetapl = result.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI = resultVI.Pv - basePv;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC = resultPVC.Pv - basePv - PI - VI;
var newEstimate = PI + VI + PVC + thetapl;
var newUnexplained = actualPL - newEstimate;
//Time impact
//TI = PV(t, all OldInfo) - Pv(t-1)
//TODO:
//Time/ price cross Impact
//TPC = PV(t, priceNew) - pv(t-1) - (TI +PI)
//Time/vol cross impact
//TVC = PV(t, volNew) - pv(t-1) -(TI+VI)
//TODO:
//in case of big move ( vol and spot), we need high order risk to explain pnl
//var diff = actualPL - esimstatedPL;
//Assert.AreEqual(true, Math.Abs(diff / actualPL) * 100.0 < toleranceInPct); //pnl well explained in not too extreme moves
Assert.AreEqual(true, Math.Abs(newUnexplained / actualPL) * 100.0 < toleranceInPct);
}
private void RainbowOptionParity(string ValuationDate = "2017-12-18", double vol = 0.28, double spot = 1.0, double volNew = 0.30, double spotNew = 2.0,
double strike1 = 1.03, double strike2 = 1.05, Boolean isCall = true, Boolean isBest = true)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var option1 = new RainbowOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: isCall ? OptionType.Call : OptionType.Put,
rainbowType: isBest ? RainbowType.Max : RainbowType.Min,
strikes: new double[] { strike1, strike2 },
cashAmount: 1.0,
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2 }
)
{
UnderlyingTickers = new string[] { asset1, asset2 }
};
var option2 = new RainbowOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: isCall ? OptionType.Put : OptionType.Call,
rainbowType: isBest ? RainbowType.Max : RainbowType.Min,
strikes: new double[] { strike1, strike2 },
cashAmount: 1.0,
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2 }
)
{
UnderlyingTickers = new string[] { asset1, asset2 }
};
var option = new RainbowOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: isCall ? OptionType.Call : OptionType.Put,
rainbowType: isBest ? RainbowType.Max : RainbowType.Min,
strikes: new double[] { 1e-8, 0 },
cashAmount: 1.0,
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2 }
)
{
UnderlyingTickers = new string[] { asset1, asset2 }
};
var market = TestMarket(referenceDate: ValuationDate, vol: vol, volNew: volNew, spot: spot, spotNew: spotNew, asset1: asset1, asset2: asset2);
var analyticalEngine = new AnalyticalRainbowOptionEngine();
var result1 = analyticalEngine.Calculate(option1, market, PricingRequest.All);
var result2 = analyticalEngine.Calculate(option2, market, PricingRequest.All);
var result = analyticalEngine.Calculate(option, market, PricingRequest.All);
var r = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var T = option1.DayCount.CalcDayCountFraction(market.ValuationDate, maturityDate);
Assert.AreEqual(0.0, (result1.Pv + strike1 * Math.Exp(-r * T) - result2.Pv - result.Pv), 1.0e-6);
}
