public KirkEngine(BlackProcess process1, BlackProcess process2, double correlation) : this(NQuantLibcPINVOKE.new_KirkEngine(BlackProcess.getCPtr(process1), BlackProcess.getCPtr(process2), correlation), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) { throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); } }
/// <summary> /// Handles the Event event of the ProcessStartTrace control. /// </summary> /// <param name="sender">The source of the event.</param> /// <param name="e">The <see cref="EventArrivedEventArgs"/> instance containing the event data.</param> private void ProcessStartTrace_Event(object sender, EventArrivedEventArgs e) { string NewProcessName = e.NewEvent.Properties["ProcessName"].Value.ToString(); foreach (string BlackProcess in BlackProcessList) { if (BlackProcess.ToLower() == NewProcessName.ToLower()) { _m_Process_Manager.OnKillProcess(int.Parse(e.NewEvent.Properties["ProcessID"].Value.ToString())); } } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackProcess obj) { return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr); }
public void testRegression() { // Testing fixed-coupon convertible bond in known regression case Date today = new Date(23, Month.December, 2008); Date tomorrow = today + 1; Settings.Instance.setEvaluationDate(tomorrow); Handle <Quote> u = new Handle <Quote>(new SimpleQuote(2.9084382818797443)); List <Date> dates = new InitializedList <Date>(25); List <double> forwards = new InitializedList <double>(25); dates[0] = new Date(29, Month.December, 2008); forwards[0] = 0.0025999342800; dates[1] = new Date(5, Month.January, 2009); forwards[1] = 0.0025999342800; dates[2] = new Date(29, Month.January, 2009); forwards[2] = 0.0053123275500; dates[3] = new Date(27, Month.February, 2009); forwards[3] = 0.0197049598721; dates[4] = new Date(30, Month.March, 2009); forwards[4] = 0.0220524845296; dates[5] = new Date(29, Month.June, 2009); forwards[5] = 0.0217076395643; dates[6] = new Date(29, Month.December, 2009); forwards[6] = 0.0230349627478; dates[7] = new Date(29, Month.December, 2010); forwards[7] = 0.0087631647476; dates[8] = new Date(29, Month.December, 2011); forwards[8] = 0.0219084299499; dates[9] = new Date(31, Month.December, 2012); forwards[9] = 0.0244798766219; dates[10] = new Date(30, Month.December, 2013); forwards[10] = 0.0267885498456; dates[11] = new Date(29, Month.December, 2014); forwards[11] = 0.0266922867562; dates[12] = new Date(29, Month.December, 2015); forwards[12] = 0.0271052126386; dates[13] = new Date(29, Month.December, 2016); forwards[13] = 0.0268829891648; dates[14] = new Date(29, Month.December, 2017); forwards[14] = 0.0264594744498; dates[15] = new Date(31, Month.December, 2018); forwards[15] = 0.0273450367424; dates[16] = new Date(30, Month.December, 2019); forwards[16] = 0.0294852614749; dates[17] = new Date(29, Month.December, 2020); forwards[17] = 0.0285556119719; dates[18] = new Date(29, Month.December, 2021); forwards[18] = 0.0305557764659; dates[19] = new Date(29, Month.December, 2022); forwards[19] = 0.0292244738422; dates[20] = new Date(29, Month.December, 2023); forwards[20] = 0.0263917004194; dates[21] = new Date(29, Month.December, 2028); forwards[21] = 0.0239626970243; dates[22] = new Date(29, Month.December, 2033); forwards[22] = 0.0216417108090; dates[23] = new Date(29, Month.December, 2038); forwards[23] = 0.0228343838422; dates[24] = new Date(31, Month.December, 2199); forwards[24] = 0.0228343838422; Handle <YieldTermStructure> r = new Handle <YieldTermStructure>(new InterpolatedForwardCurve <BackwardFlat>(dates, forwards, new Actual360())); Handle <BlackVolTermStructure> sigma = new Handle <BlackVolTermStructure>(new BlackConstantVol(tomorrow, new NullCalendar(), 21.685235548092248, new Thirty360(Thirty360.Thirty360Convention.BondBasis))); BlackProcess process = new BlackProcess(u, r, sigma); Handle <Quote> spread = new Handle <Quote>(new SimpleQuote(0.11498700678012874)); Date issueDate = new Date(23, Month.July, 2008); Date maturityDate = new Date(1, Month.August, 2013); Calendar calendar = new UnitedStates(); Schedule schedule = new MakeSchedule().from(issueDate) .to(maturityDate) .withTenor(new Period(6, TimeUnit.Months)) .withCalendar(calendar) .withConvention(BusinessDayConvention.Unadjusted).value(); int settlementDays = 3; Exercise exercise = new EuropeanExercise(maturityDate); double conversionRatio = 100.0 / 20.3175; List <double> coupons = new InitializedList <double>(schedule.size() - 1, 0.05); DayCounter dayCounter = new Thirty360(Thirty360.Thirty360Convention.BondBasis); CallabilitySchedule no_callability = new CallabilitySchedule(); DividendSchedule no_dividends = new DividendSchedule(); double redemption = 100.0; ConvertibleFixedCouponBond bond = new ConvertibleFixedCouponBond(exercise, conversionRatio, no_dividends, no_callability, spread, issueDate, settlementDays, coupons, dayCounter, schedule, redemption); bond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein> (process, 600)); try { double x = bond.NPV(); // should throw; if not, an INF was not detected. QAssert.Fail("INF result was not detected: " + x + " returned"); } catch (Exception) { // as expected. Do nothing. // Note: we're expecting an Error we threw, not just any // exception. If something else is thrown, then there's // another problem and the test must fail. } }
public void testEuroTwoValues() { // Testing two-asset European basket options... /* * Data from: * Excel spreadsheet www.maths.ox.ac.uk/~firth/computing/excel.shtml * and * "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 56-58 * European two asset max basket options */ BasketOptionTwoData[] values = { // basketType, optionType, strike, s1, s2, q1, q2, r, t, v1, v2, rho, result, tol // data from http://www.maths.ox.ac.uk/~firth/computing/excel.shtml new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 10.898, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 8.483, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 6.844, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 5.531, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 4.413, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.70, 0.00, 4.981, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.30, 0.00, 4.159, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.10, 0.00, 2.597, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.10, 0.50, 4.030, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 17.565, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 19.980, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 21.619, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 22.932, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 24.049, 1.1e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 16.508, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 80.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 8.049, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 120.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 30.141, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 120.0, 120.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 42.889, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 11.369, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 12.856, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 13.890, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 14.741, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 15.485, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 0.50, 0.30, 0.30, 0.10, 11.893, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 0.25, 0.30, 0.30, 0.10, 8.881, 1.0e-3), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 2.00, 0.30, 0.30, 0.10, 19.268, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 7.339, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 5.853, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 4.818, 1.0e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 3.967, 1.1e-3), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 3.223, 1.0e-3), // basketType, optionType, strike, s1, s2, q1, q2, r, t, v1, v2, rho, result, tol // data from "Option pricing formulas" VB code + spreadsheet new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 4.8177, 1.0e-4), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 11.6323, 1.0e-4), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 2.0376, 1.0e-4), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 0.5731, 1.0e-4), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 2.9340, 1.0e-4), new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 3.5224, 1.0e-4), // data from "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 58 new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 8.0701, 1.0e-4), new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 1.2181, 1.0e-4), /* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 59-60 * Kirk approx. for a european spread option on two futures*/ new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, -0.5, 4.7530, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, 0.0, 3.7970, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, 0.5, 2.5537, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, -0.5, 5.4275, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, 0.0, 4.3712, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, 0.5, 3.0086, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, -0.5, 5.4061, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, 0.0, 4.3451, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, 0.5, 2.9723, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, -0.5, 10.7517, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, 0.0, 8.7020, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, 0.5, 6.0257, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, -0.5, 12.1941, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, 0.0, 9.9340, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, 0.5, 7.0067, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, -0.5, 12.1483, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, 0.0, 9.8780, 1.0e-3), new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, 0.5, 6.9284, 1.0e-3) }; DayCounter dc = new Actual360(); Date today = Date.Today; SimpleQuote spot1 = new SimpleQuote(0.0); SimpleQuote spot2 = new SimpleQuote(0.0); SimpleQuote qRate1 = new SimpleQuote(0.0); YieldTermStructure qTS1 = Utilities.flatRate(today, qRate1, dc); SimpleQuote qRate2 = new SimpleQuote(0.0); YieldTermStructure qTS2 = Utilities.flatRate(today, qRate2, dc); SimpleQuote rRate = new SimpleQuote(0.0); YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc); SimpleQuote vol1 = new SimpleQuote(0.0); BlackVolTermStructure volTS1 = Utilities.flatVol(today, vol1, dc); SimpleQuote vol2 = new SimpleQuote(0.0); BlackVolTermStructure volTS2 = Utilities.flatVol(today, vol2, dc); //double mcRelativeErrorTolerance = 0.01; //double fdRelativeErrorTolerance = 0.01; for (int i = 0; i < values.Length; i++) { PlainVanillaPayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike); Date exDate = today + (int)(values[i].t * 360 + 0.5); Exercise exercise = new EuropeanExercise(exDate); spot1.setValue(values[i].s1); spot2.setValue(values[i].s2); qRate1.setValue(values[i].q1); qRate2.setValue(values[i].q2); rRate.setValue(values[i].r); vol1.setValue(values[i].v1); vol2.setValue(values[i].v2); IPricingEngine analyticEngine = null; GeneralizedBlackScholesProcess p1 = null, p2 = null; switch (values[i].basketType) { case BasketType.MaxBasket: case BasketType.MinBasket: p1 = new BlackScholesMertonProcess(new Handle <Quote>(spot1), new Handle <YieldTermStructure>(qTS1), new Handle <YieldTermStructure>(rTS), new Handle <BlackVolTermStructure>(volTS1)); p2 = new BlackScholesMertonProcess(new Handle <Quote>(spot2), new Handle <YieldTermStructure>(qTS2), new Handle <YieldTermStructure>(rTS), new Handle <BlackVolTermStructure>(volTS2)); analyticEngine = new StulzEngine(p1, p2, values[i].rho); break; case BasketType.SpreadBasket: p1 = new BlackProcess(new Handle <Quote>(spot1), new Handle <YieldTermStructure>(rTS), new Handle <BlackVolTermStructure>(volTS1)); p2 = new BlackProcess(new Handle <Quote>(spot2), new Handle <YieldTermStructure>(rTS), new Handle <BlackVolTermStructure>(volTS2)); analyticEngine = new KirkEngine((BlackProcess)p1, (BlackProcess)p2, values[i].rho); break; default: Utils.QL_FAIL("unknown basket type"); break; } List <StochasticProcess1D> procs = new List <StochasticProcess1D> { p1, p2 }; Matrix correlationMatrix = new Matrix(2, 2, values[i].rho); for (int j = 0; j < 2; j++) { correlationMatrix[j, j] = 1.0; } StochasticProcessArray process = new StochasticProcessArray(procs, correlationMatrix); //IPricingEngine mcEngine = MakeMCEuropeanBasketEngine<PseudoRandom, Statistics>(process) // .withStepsPerYear(1) // .withSamples(10000) // .withSeed(42); //IPricingEngine fdEngine = new Fd2dBlackScholesVanillaEngine(p1, p2, values[i].rho, 50, 50, 15); BasketOption basketOption = new BasketOption(basketTypeToPayoff(values[i].basketType, payoff), exercise); // analytic engine basketOption.setPricingEngine(analyticEngine); double calculated = basketOption.NPV(); double expected = values[i].result; double error = Math.Abs(calculated - expected); if (error > values[i].tol) { REPORT_FAILURE_2("value", values[i].basketType, payoff, exercise, values[i].s1, values[i].s2, values[i].q1, values[i].q2, values[i].r, today, values[i].v1, values[i].v2, values[i].rho, values[i].result, calculated, error, values[i].tol); } // // fd engine // basketOption.setPricingEngine(fdEngine); // calculated = basketOption.NPV(); // double relError = relativeError(calculated, expected, expected); // if (relError > mcRelativeErrorTolerance ) // { // REPORT_FAILURE_2("FD value", values[i].basketType, payoff, // exercise, values[i].s1, values[i].s2, // values[i].q1, values[i].q2, values[i].r, // today, values[i].v1, values[i].v2, values[i].rho, // values[i].result, calculated, relError, // fdRelativeErrorTolerance); // } //// mc engine //basketOption.setPricingEngine(mcEngine); //calculated = basketOption.NPV(); //relError = relativeError(calculated, expected, values[i].s1); //if (relError > mcRelativeErrorTolerance ) //{ // REPORT_FAILURE_2("MC value", values[i].basketType, payoff, // exercise, values[i].s1, values[i].s2, // values[i].q1, values[i].q2, values[i].r, // today, values[i].v1, values[i].v2, values[i].rho, // values[i].result, calculated, relError, // mcRelativeErrorTolerance); //} } }
public void testKirkEngine() { // Testing Kirk approximation for spread options /* The example data below are from "complete guide to option * pricing formulas", Espen Gaarder Haug, p 60 * * Expected values of option theta were calculated using automatic * differentiation of the pricing function. The engine uses closed-form * formula */ Case[] cases = { new Case(28.0, 20.0, 7.0, 0.05, 0.29, 0.36, 0.42, 90, 2.1670, 3.0431), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5, 36, 4.7530, 25.5905), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.20, 0.0, 36, 3.7970, 20.8841), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.20, 0.5, 36, 2.5537, 14.7260), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5, 180, 10.7517, 10.0847), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.20, 0.0, 180, 8.7020, 8.2619), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.20, 0.5, 180, 6.0257, 5.8661), new Case(122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5, 36, 5.4275, 28.9013), new Case(122.0, 120.0, 3.0, 0.10, 0.25, 0.20, 0.0, 36, 4.3712, 23.7133), new Case(122.0, 120.0, 3.0, 0.10, 0.25, 0.20, 0.5, 36, 3.0086, 16.9864), new Case(122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5, 180, 12.1941, 11.3603), new Case(122.0, 120.0, 3.0, 0.10, 0.25, 0.20, 0.0, 180, 9.9340, 9.3589), new Case(122.0, 120.0, 3.0, 0.10, 0.25, 0.20, 0.5, 180, 7.0067, 6.7463), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5, 36, 5.4061, 28.7963), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.25, 0.0, 36, 4.3451, 23.5848), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.25, 0.5, 36, 2.9723, 16.8060), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5, 180, 12.1483, 11.3200), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.25, 0.0, 180, 9.8780, 9.3091), new Case(122.0, 120.0, 3.0, 0.10, 0.20, 0.25, 0.5, 180, 6.9284, 6.6761) }; for (int i = 0; i < cases.Length; ++i) { // First step: preparing the test values // Useful dates DayCounter dc = new Actual360(); Date today = Date.Today; Date exerciseDate = today + cases[i].length; // Futures values SimpleQuote F1 = new SimpleQuote(cases[i].F1); SimpleQuote F2 = new SimpleQuote(cases[i].F2); // Risk-free interest rate double riskFreeRate = cases[i].r; YieldTermStructure forwardRate = Utilities.flatRate(today, riskFreeRate, dc); // Correlation Quote rho = new SimpleQuote(cases[i].rho); // Volatilities double vol1 = cases[i].sigma1; double vol2 = cases[i].sigma2; BlackVolTermStructure volTS1 = Utilities.flatVol(today, vol1, dc); BlackVolTermStructure volTS2 = Utilities.flatVol(today, vol2, dc); // Black-Scholes Processes // The BlackProcess is the relevant class for futures contracts BlackProcess stochProcess1 = new BlackProcess(new Handle <Quote>(F1), new Handle <YieldTermStructure>(forwardRate), new Handle <BlackVolTermStructure>(volTS1)); BlackProcess stochProcess2 = new BlackProcess(new Handle <Quote>(F2), new Handle <YieldTermStructure>(forwardRate), new Handle <BlackVolTermStructure>(volTS2)); // Creating the pricing engine IPricingEngine engine = new KirkSpreadOptionEngine(stochProcess1, stochProcess2, new Handle <Quote>(rho)); // Finally, create the option: Option.Type type = Option.Type.Call; double strike = cases[i].X; PlainVanillaPayoff payoff = new PlainVanillaPayoff(type, strike); Exercise exercise = new EuropeanExercise(exerciseDate); SpreadOption option = new SpreadOption(payoff, exercise); option.setPricingEngine(engine); // And test the data double value = option.NPV(); double theta = option.theta(); double tolerance = 1e-4; if (Math.Abs(value - cases[i].value) > tolerance) { REPORT_FAILURE("value", payoff, exercise, cases[i].value, value, tolerance, today); } if (Math.Abs(theta - cases[i].theta) > tolerance) { REPORT_FAILURE("theta", payoff, exercise, cases[i].theta, theta, tolerance, today); } } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackProcess obj) { return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr; }
public static string eqInstSpreadOptionMonteCarlo( [ExcelArgument(Description = "id of option to be constructed ")] string ObjectId, [ExcelArgument(Description = "Option type (Call/Put) ")] string optype, [ExcelArgument(Description = "Spot price leg 1")] double spot1, [ExcelArgument(Description = "Spot price leg 2")] double spot2, [ExcelArgument(Description = "Strike price ")] double stirkeprice, [ExcelArgument(Description = "Expiry Date ")] DateTime exdate, [ExcelArgument(Description = "Risk free rate ")] double riskfreerate, [ExcelArgument(Description = "Black-Scholes Vol for leg 1 ")] double vol1, [ExcelArgument(Description = "Black-Scholes Vol for leg 2 ")] double vol2, [ExcelArgument(Description = "correlation between leg 1 and leg 2 ")] double corr, [ExcelArgument(Description = "DayCounter ")] string daycounter, [ExcelArgument(Description = "Calendar ")] string calendar, [ExcelArgument(Description = "Pseudorandom (pr) or lowdiscrepancy (ld) ")] string traits, [ExcelArgument(Description = "trigger ")] object trigger) { if (ExcelUtil.CallFromWizard()) { return(""); } string callerAddress = ""; callerAddress = ExcelUtil.getActiveCellAddress(); try { if (exdate == DateTime.MinValue) { throw new Exception("Date must not be empty. "); } if (ExcelUtil.isNull(daycounter)) { daycounter = "ACTUAL365"; } if (ExcelUtil.isNull(calendar)) { calendar = "NYC"; } if (ExcelUtil.isNull(traits)) { traits = "pr"; } Option.Type optiontype; if (optype.ToUpper() == "CALL") { optiontype = Option.Type.Call; } else if (optype.ToUpper() == "PUT") { optiontype = Option.Type.Put; } else { throw new Exception("Unknow option type"); } EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar); EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter); EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(exdate); EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate(); EliteQuant.Date settlementdate = today; // T+2 if (maturitydate.serialNumber() <= today.serialNumber()) { throw new Exception("Option already expired."); } YieldTermStructureHandle rTSH = new YieldTermStructureHandle( new FlatForward(settlementdate, riskfreerate, dc)); BlackVolTermStructureHandle flatVolTSH1 = new BlackVolTermStructureHandle( new BlackConstantVol(settlementdate, cal, vol1, dc)); BlackVolTermStructureHandle flatVolTSH2 = new BlackVolTermStructureHandle( new BlackConstantVol(settlementdate, cal, vol2, dc)); Quote qh1 = new SimpleQuote(spot1); Quote qh2 = new SimpleQuote(spot2); QuoteHandle s1 = new QuoteHandle(qh1); QuoteHandle s2 = new QuoteHandle(qh2); BlackProcess p1 = new BlackProcess(s1, rTSH, flatVolTSH1); BlackProcess p2 = new BlackProcess(s2, rTSH, flatVolTSH2); StochasticProcessVector spv = new StochasticProcessVector(2); spv.Add(p1); spv.Add(p2); Matrix corrmtrx = new Matrix(2, 2); corrmtrx.set(0, 0, 1.0); corrmtrx.set(1, 1, 1.0); corrmtrx.set(0, 1, corr); corrmtrx.set(1, 0, corr); StochasticProcessArray spa = new StochasticProcessArray(spv, corrmtrx); PricingEngine engine = new MCEuropeanBasketEngine(spa, traits, 100, 1, false, true, 5000, 1e-6); Payoff payoff1 = new PlainVanillaPayoff(optiontype, stirkeprice); Payoff payoff2 = new SpreadBasketPayoff(payoff1); Exercise exercise = new EuropeanExercise(maturitydate); BasketOption bo = new BasketOption(payoff2, exercise); bo.setPricingEngine(engine); // Store the option and return its id string id = "OPTION@" + ObjectId; OHRepository.Instance.storeObject(id, bo, callerAddress); id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss"); return(id); } catch (Exception e) { ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message); return("#EQ_ERR!"); } }