public void testJuValues()
{
// ("Testing Ju approximation for American options...");
Date today = Date.Today;
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
double tolerance = 1.0e-3;
for (int i = 0; i < juValues.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(juValues[i].type, juValues[i].strike);
Date exDate = today + Convert.ToInt32(juValues[i].t * 360 + 0.5);
Exercise exercise = new AmericanExercise(today, exDate);
spot.setValue(juValues[i].s);
qRate.setValue(juValues[i].q);
rRate.setValue(juValues[i].r);
vol.setValue(juValues[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new JuQuadraticApproximationEngine(stochProcess);
VanillaOption option = new VanillaOption(payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - juValues[i].result);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, juValues[i].s, juValues[i].q,
juValues[i].r, today, juValues[i].v, juValues[i].result,
calculated, error, tolerance);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(JuQuadraticApproximationEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
