public void TestPriceCallOption()
{
// arrange
var option = GetEuropeanOption(true);
var stochasticEngine = GetStochasticEngine(4321);
var currentDate = new DateTime(2019, 6, 30);
var gbmParams = new GbmParameters(0.02, 0.24, 51);
// act
var result = stochasticEngine.GetOptionValue(option, currentDate, gbmParams, 0.939413, 100000);
// assert
Assert.AreEqual(6.4418, result, 1e-4);
}
public void TestPriceDigitalPutCashSettled()
{
// arrange
var option = GetDigitalOption(false, false);
var stochasticEngine = GetStochasticEngine(1221);
var currentDate = new DateTime(2019, 5, 31);
var gbmParams = new GbmParameters(0.01, 0.25, 84);
// act
var result = stochasticEngine.GetOptionValue(option, currentDate, gbmParams, 1, 100000);
// assert
Assert.AreEqual(0.4465, result, 1e-4);
}
public void TestPriceDigitalPutAssetSettled()
{
// arrange
var option = GetDigitalOption(false, true);
var stochasticEngine = GetStochasticEngine(1243);
var currentDate = new DateTime(2019, 7, 20);
var gbmParams = new GbmParameters(0.04, 0.18, 75);
// act
var result = stochasticEngine.GetOptionValue(option, currentDate, gbmParams, 0.966378, 100000);
// assert
Assert.AreEqual(42.7009, result, 1e-4);
}
public void TestPricePutOption()
{
// arrange
var option = GetEuropeanOption(false);
var stochasticEngine = GetStochasticEngine(1234);
var currentDate = new DateTime(2019, 6, 30);
var gbmParams = new GbmParameters(0.02, 0.20, 50);
// act
var result = stochasticEngine.GetOptionValue(option, currentDate, gbmParams, 0.939413, 100000);
// assert
Assert.AreEqual(3.7670, result, 1e-4);
}
public void TestGetGeometricBrownianMotion()
{
// arrange
var stochasticEngine = GetStochasticEngine(1234);
// act
double timePeriod = 1.0 / 12.0;
var gbpParams = new GbmParameters(0.05, 0.2, 50);
var result = stochasticEngine.GetGeometricBrownianSeries(gbpParams, timePeriod, 7);
// assert
var expectedResult = new List <double> {
50, 49.390526, 53.245843, 51.950346, 57.166804, 55.956294,
61.642971
};
Assert.IsTrue(expectedResult.IsAlmostEqual(result, 1e-6));
}
public void TestGetStandardBrownianMotion()
{
// arrange
var stochasticEngine = GetStochasticEngine(1234);
// act
double timePeriod = 1.0 / 12.0;
var gbmParams = new GbmParameters(0.1, 0.18);
var result = stochasticEngine.GetBrownianMotionSeries(gbmParams, timePeriod, 7);
// assert
var expectedResult = new List <double> {
0, -0.004955, 0.068774, 0.052689, 0.144889, 0.131710,
0.224903
};
Assert.IsTrue(expectedResult.IsAlmostEqual(result, 1e-6));
}
private SortedList <DateTime, OptionPricingData> GenerateOptionPricingData(DateTime startDate,
DateTime expiryDate,
GbmParameters gbmParams,
OptionPricingData basicPricingData,
int?seed)
{
int days = startDate.GetWorkingDaysTo(expiryDate);
var stockPrices = StochasticEngine.GetGeometricBrownianSeries(gbmParams, 1.0 / TimePeriods.BusinessDaysInYear, days, seed);
var pricingData = new SortedList <DateTime, OptionPricingData>();
var date = startDate;
if (!date.IsWorkingDay())
{
date = date.AddWorkingDay();
}
foreach (double price in stockPrices)
{
pricingData.Add(date, new OptionPricingData(price, basicPricingData.Vol, basicPricingData.InterestRate, basicPricingData.DivYield));
date = date.AddWorkingDay();
}
return(pricingData);
}
public void PlotDailyPnL(DateTime startDate,
OptionPricingData basicPricingData,
List <HedgingStrategy> hedgingStrategies,
int?seed = null)
{
ClearCharts();
var gbmParameters = new GbmParameters(basicPricingData);
var pricingData = GenerateOptionPricingData(startDate, hedgingStrategies[0].ExpiryDate, gbmParameters, basicPricingData, seed);
var minPrice = double.PositiveInfinity;
var maxPrice = double.NegativeInfinity;
var stockSeries = new LineSeries()
{
Title = @"Stock Price"
};
for (int i = 0; i < pricingData.Count; i++)
{
var stockPrice = pricingData.Values[i].CurrentPrice;
stockSeries.Points.Add(new DataPoint(i, stockPrice));
minPrice = Math.Min(minPrice, stockPrice);
maxPrice = Math.Max(maxPrice, stockPrice);
}
PlotStockPrice.Axes.Add(new LinearAxis
{
Position = AxisPosition.Bottom,
Minimum = 0,
TextColor = OxyColors.Transparent
});
PlotStockPrice.Axes.Add(new OxyPlot.Axes.LinearAxis
{
Position = OxyPlot.Axes.AxisPosition.Left,
Minimum = (Math.Floor(minPrice / 5) - 1) * 5,
Maximum = (Math.Floor(maxPrice / 5) + 1) * 5
});
PlotStockPrice.Series.Add(stockSeries);
var strike = hedgingStrategies[0].Portfolio.Option.Strike;
var strikeAnnotation = new LineAnnotation()
{
Y = strike, MinimumX = 0, MaximumX = stockSeries.Points.Count, Color = OxyColors.Red,
LineStyle = LineStyle.Solid, Type = LineAnnotationType.Horizontal
};
PlotStockPrice.Annotations.Add(strikeAnnotation);
foreach (HedgingStrategy strategy in hedgingStrategies)
{
var pnl = strategy.GetDailyPnl(pricingData);
var dailyPnlSeries = new ColumnSeries()
{
Title = $"{strategy.Name} - Daily PnL"
};
var cumulativeSeries = new ColumnSeries()
{
Title = $"{strategy.Name} - Cumulative PnL"
};
var cumulativePnl = new List <double>();
foreach (KeyValuePair <DateTime, (double, double, double)> dailyPnl in pnl)
{
// TODO: plot different PnL elements seperately
(double optionPnl, double hedgePnl, double cashPnl) = dailyPnl.Value;
var totalPnl = optionPnl + hedgePnl + cashPnl;
dailyPnlSeries.Items.Add(new ColumnItem(totalPnl));
if (cumulativePnl.Count == 0)
{
cumulativePnl.Add(totalPnl);
}
else
{
cumulativePnl.Add(cumulativePnl[cumulativePnl.Count - 1] + totalPnl);
}
}
foreach (double dailyVal in cumulativePnl)
{
cumulativeSeries.Items.Add(new ColumnItem(dailyVal));
}
PlotModelDaily.Series.Add(dailyPnlSeries);
PlotModelCumulative.Series.Add(cumulativeSeries);
PlotModelDaily.Axes.Add(new CategoryAxis()
{
Position = AxisPosition.Bottom,
IsAxisVisible = false
});
PlotModelCumulative.Axes.Add(new CategoryAxis()
{
Position = AxisPosition.Bottom,
IsAxisVisible = false
});
RefreshCharts();
}
}
