public void MoneynessDeltaTest()
{
var startDate = new Date(2018, 03, 02);
var maturityDate = new Date(2018, 04, 27);
var call = new VanillaOption(startDate,
maturityDate,
OptionExercise.American,
OptionType.Call,
1.05,
InstrumentType.Stock,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
new[] { maturityDate },
12,
null,
null,
0,
true,
8000);
#region construct market
var historiclIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates;
var curveConvention = new CurveConvention("fr007CurveConvention",
"CNY",
"ModifiedFollowing",
"Chn",
"Act365",
"Continuous",
"CubicHermiteMonotic");
var fr007CurveName = "Fr007";
var fr007RateDefinition = new[]
{
new RateMktData("1D", 0.05, "Spot", "None", fr007CurveName),
new RateMktData("5Y", 0.05, "Spot", "None", fr007CurveName),
};
var dividendCurveName = "Dividend";
var dividendRateDefinition = new[]
{
new RateMktData("1D", 0, "Spot", "None", dividendCurveName),
new RateMktData("5Y", 0, "Spot", "None", dividendCurveName),
};
var curveDefinition = new[]
{
new InstrumentCurveDefinition(fr007CurveName, curveConvention, fr007RateDefinition, "SpotCurve"),
new InstrumentCurveDefinition(dividendCurveName, curveConvention, dividendRateDefinition, "SpotCurve"),
};
var volSurf = new[] { new VolSurfMktData("VolSurf", 0.3), };
var marketInfo = new MarketInfo("tmpMarket", "2018-03-02", curveDefinition, historiclIndexRates, null, null, volSurf);
QdpMarket qdpMarket;
MarketFunctions.BuildMarket(marketInfo, out qdpMarket);
var valuationDate = new Date(2018, 3, 2);
//flat vol surface
var surface1 = qdpMarket.GetData <VolSurfMktData>("VolSurf").ToImpliedVolSurface(valuationDate);
// market with flat vol surface
var market = new MarketCondition(
x => x.ValuationDate.Value = valuationDate,
x => x.DiscountCurve.Value = qdpMarket.GetData <CurveData>("Fr007").YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", qdpMarket.GetData <CurveData>("Dividend").YieldCurve }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", surface1 }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", 8000 }
}
);
//a real vol surface, same as stock 600000 of 2018-03-02 in OTC system
var maturities = new Date[]
{
(new Term("1W")).Next(startDate),
(new Term("2W")).Next(startDate),
(new Term("1M")).Next(startDate)
};
var strikes = new double[]
{
0.9,
0.95,
1.0,
1.05,
1.1
};
var vols = new double[3, 5];
for (var i = 0; i < vols.GetLength(0); ++i)
{
for (var j = 0; j < vols.GetLength(1); ++j)
{
vols[i, j] = 0.3;
}
}
vols[2, 2] = 0.4;
var surface2 = new ImpliedVolSurface(valuationDate, maturities, strikes, vols, Interpolation2D.BiLinear);
// market with flat vol surface
var market2 = new MarketCondition(
x => x.ValuationDate.Value = valuationDate,
x => x.DiscountCurve.Value = qdpMarket.GetData <CurveData>("Fr007").YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", qdpMarket.GetData <CurveData>("Dividend").YieldCurve }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", surface2 }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", 8000 }
}
);
#endregion
var engine = new AnalyticalVanillaEuropeanOptionEngine();
//result of a flat vol surface of 0.3, which is the same as pricing result in OTC-926
var result = engine.Calculate(call, market, PricingRequest.All);
//result of real vol surface, which is the same as scenario analysis in OTC-926
var result2 = engine.Calculate(call, market2, PricingRequest.All);
}
public static VolSurfMktData ToVolSurfMktData(this ImpliedVolSurface volSurface, string id)
{
return(new VolSurfMktData(id, volSurface.RowGrid, volSurface.ColGrid, volSurface.ValueOnGrids, volSurface.getInterpolationMethod(), volSurface.getVolSurfaceType()));
}
