public void DoubleBarrierOptionTest()
{
//var nsimu = new[] {1000, 10000, 20000, 100000, 500000};
var nsimu = new[] { 100, 200, 300 };
var mcTrials = 6;
var mc = new[] { true, false };
var marketInfo = TestMarket();
MarketFunctions.BuildMarket(marketInfo, out QdpMarket market);
Console.WriteLine("NSimulation,TrialNum,PV,Delta,Gamma,Vega,Rho,Theta");
for (var k = 0; k < nsimu.Length; k++)
{
for (var i = 0; i < mc.Length; ++i)
{
var trial = mc[i] ? mcTrials : 1;
for (var j = 0; j < trial; j++)
{
var barrierOptionInfo = new BarrierOptionInfo
("", strike: 1.05,
underlyingTicker: "", underlyingInstrumentType: "EquityIndex",
valuationParameter: new OptionValuationParameters("Fr007", "Dividend", "VolSurf", "000300.SH"),
startDate: "2016-12-13",
exerciseDates: "2017-12-13",
optionType: "Call",
exercise: "European",
calendar: "chn",
dayCount: "Act365",
notional: 1000000,
monteCarlo: mc[i],
parallelDegree: 1,
nsimulations: nsimu[k]
)
{
BarrierType = "DoubleTouchOut",
Barrier = 0.75, //80% of S0//1e-6
UpperBarrier = 1.25, //120% of S0 //1e6
Coupon = 0.01,
ParticipationRate = 1.0,
Rebate = 0.02,
Fixings = "2016-12-12,0.995;2016-12-13,1.0",
UseFourier = true,
};
var barrierOptionVf = new BarrierOptionVf(barrierOptionInfo);
var result = barrierOptionVf.ValueTrade(market, PricingRequest.All);
Console.WriteLine("{0},{1},{2},{3},{4},{5},{6},{7}", nsimu[k], mc[i] ? "MonteCarlo" : "Analytical", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
}
}
}
}
public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
