public void Initialisation()
{
_discountFactor = 0.94617d;
_forwardRate = 0.0743100d;
_notional = 1.0E+08d;
_optionExpiry = 0.50959d;
_optionType = BlackCapletFloorlet.OptionType.Caplet;
_sigma = 9.43000d / 100d;
_strike = 0.075d;
_tau = 0.25205d;
_validateArguments = true;
_capletFloorletObj = new BlackCapletFloorlet
(_notional,
_optionExpiry,
_optionType,
_strike,
_tau,
_validateArguments);
}
public void TestComputePrice()
{
#region Test #1: Computation of Price Near Expiry
// Instantiate a Caplet that has an expiry less than one day.
_optionType = BlackCapletFloorlet.OptionType.Caplet;
_notional = 1.0E+08d;
_optionExpiry = 1.36986E-03d;
_strike = 7.50d / 100d;
_tau = 0.25205d;
_capletFloorletObj = new BlackCapletFloorlet
(_notional,
_optionExpiry,
_optionType,
_strike,
_tau,
_validateArguments);
Assert.IsNotNull(_capletFloorletObj);
// Price the Caplet.
_discountFactor = 0.99617d;
_forwardRate = 8.53100d / 100d;
_sigma = 9.43000d / 100d;
_actual = _capletFloorletObj.ComputePrice
(_discountFactor,
_forwardRate,
_sigma,
_validateArguments);
_expected = 258868.27d;
Assert.AreEqual(_expected,
_actual,
_tolerance);
#endregion
#region Test #2: Computation of a Caplet Price
_optionType = BlackCapletFloorlet.OptionType.Caplet;
_notional = 1.0E+08d;
_optionExpiry = 0.50959d;
_strike = 7.50d / 100d;
_tau = 0.25205d;
_capletFloorletObj = new BlackCapletFloorlet
(_notional,
_optionExpiry,
_optionType,
_strike,
_tau,
_validateArguments);
Assert.IsNotNull(_capletFloorletObj);
// Price the Caplet.
_discountFactor = 0.94617d;
_forwardRate = 7.43100d / 100d;
_sigma = 9.43000d / 100d;
_actual = _capletFloorletObj.ComputePrice
(_discountFactor,
_forwardRate,
_sigma,
_validateArguments);
_expected = 40027.17d;
_tolerance = 2.0d;
Assert.AreEqual(_expected,
_actual,
_tolerance);
#endregion
#region Test #3: Computation of a Flooret Price
_optionType = BlackCapletFloorlet.OptionType.Floorlet;
_notional = 1.0E+08d;
_optionExpiry = 0.50959d;
_strike = 7.50d / 100d;
_tau = 0.25205d;
_capletFloorletObj = new BlackCapletFloorlet
(_notional,
_optionExpiry,
_optionType,
_strike,
_tau,
_validateArguments);
Assert.IsNotNull(_capletFloorletObj);
// Price the Flooret.
_discountFactor = 0.94617d;
_forwardRate = 7.43100d / 100d;
_sigma = 9.43000d / 100d;
_actual = _capletFloorletObj.ComputePrice
(_discountFactor,
_forwardRate,
_sigma,
_validateArguments);
_expected = 56482.43d;
_tolerance = 2.0d;
Assert.AreEqual(_expected,
_actual,
_tolerance);
#endregion
}
