private void CommodityLookbackVanillaComparison(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 240, Double strike = 240,
Boolean isCall = true, Boolean isFixed = true)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
var option = new LookbackOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 1
);
var vanilla = new VanillaOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
notional: 1
);
var market1 = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var market2 = TestMarket(referenceDate: ValuationDate, vol: vol * 0.8, spot: spot);
var analyticalEngine = new AnalyticalLookbackOptionEngine();
var vanillaEngine = new AnalyticalVanillaEuropeanOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market1, PricingRequest.All);
var vanillaResult = vanillaEngine.Calculate(vanilla, market1, PricingRequest.All);
var volResult = analyticalEngine.Calculate(option, market2, PricingRequest.All);
//Floating Lookback Option >= ATM vanilla
//High volatility Floating >= Low volatility Floating
Assert.AreEqual(analyticalResult.Pv >= vanillaResult.Pv, true);
Assert.AreEqual(analyticalResult.Pv >= volResult.Pv, true);
}
private void CommodityLookbackOptionGreekCalc(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 240, Double strike = 240,
Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344,
double expectedDelta = 0.431553260493781,
double expectedGamma = 4319.00095926793,
double expectedVega = 0.00146247323594882,
double expectedRho = -1.62432084616776E-06,
double expectedTheta = -0.000398443365606245
)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
var option = new LookbackOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 1
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalLookbackOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
Assert.AreEqual(expectedPv, analyticalResult.Pv, 1e-8);
Assert.AreEqual(expectedDelta, analyticalResult.Delta, 1e-8);
Assert.AreEqual(expectedGamma, analyticalResult.Gamma, 1e-8);
Assert.AreEqual(expectedVega, analyticalResult.Vega, 1e-8);
Assert.AreEqual(expectedRho, analyticalResult.Rho, 1e-8);
Assert.AreEqual(expectedTheta, analyticalResult.Theta, 1e-8);
}
private void CommodityLookbackOptionPnLCalc(double vol = 0.28, double spot = 240, double strike = 240, Boolean isCall = true, Boolean isFixed = true,
string t0 = "2015-03-19", string t1 = "2015-03-20", double volMove = 0.10, double mktMove = 1e-4, double toleranceInPct = 2)
{
var T0 = DateFromStr(t0);
var T1 = DateFromStr(t1);
var spotNew = spot + spot * mktMove;
var volNew = vol + volMove;
var maturityDate = new Term("176D").Next(T0);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] {
new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2)
};
var valuationDay = t0;
var valuationDayNew = t1;
var option = new LookbackOption(
T0,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>()
);
var market = TestMarket(referenceDate: t0, vol: vol, spot: spot);
var marketNew = TestMarket(referenceDate: t1, vol: volNew, spot: spotNew);
var marketPI = TestMarket(referenceDate: t0, vol: vol, spot: spotNew);
var marketVI = TestMarket(referenceDate: t0, vol: volNew, spot: spot);
var marketPVC = TestMarket(referenceDate: t0, vol: volNew, spot: spotNew);
var engine = new AnalyticalLookbackOptionEngine();
var result = engine.Calculate(option, market, PricingRequest.All);
var resultNew = engine.Calculate(option, marketNew, PricingRequest.All);
var resultPI = engine.Calculate(option, marketPI, PricingRequest.All);
var resultVI = engine.Calculate(option, marketVI, PricingRequest.All);
var resultPVC = engine.Calculate(option, marketPVC, PricingRequest.All);
var actualPL = resultNew.Pv - result.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv = result.Pv;
var PI = resultPI.Pv - basePv;
var thetapl = result.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI = resultVI.Pv - basePv;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC = resultPVC.Pv - basePv - PI - VI;
var newEstimate = PI + VI + PVC + thetapl;
var newUnexplained = actualPL - newEstimate;
//Time impact
//TI = PV(t, all OldInfo) - Pv(t-1)
//TODO:
//Time/ price cross Impact
//TPC = PV(t, priceNew) - pv(t-1) - (TI +PI)
//Time/vol cross impact
//TVC = PV(t, volNew) - pv(t-1) -(TI+VI)
//TODO:
//in case of big move ( vol and spot), we need high order risk to explain pnl
//var diff = actualPL - esimstatedPL;
//Assert.AreEqual(true, Math.Abs(diff / actualPL) * 100.0 < toleranceInPct); //pnl well explained in not too extreme moves
Assert.AreEqual(true, Math.Abs(newUnexplained / actualPL) * 100.0 < toleranceInPct);
}
private void calculate_Click(object sender, RoutedEventArgs e)
{
this.sw.Reset(); this.sw.Start();
graphPlot = new GraphPlotting();
this.DataContext = graphPlot;
this.graphs.IsEnabled = true;
if (this.simulationNumber > 500 && this.steps > 500)
{
this.graphs.ToolTip = "Graph may take time to load ";
}
else
{
this.graphs.ToolTip = "";
}
ISecurity underlying = new Stock(this.underlyingPrice);
Options option = null;
switch (this.kind)
{
case OptionKind.ASIAN:
option = new AsianOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.BARRIER:
option = new BarrierOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate, this.barrierOptiont);
break;
case OptionKind.DIGITAL:
option = new DigitalOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate);
break;
case OptionKind.EUROPEAN:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.LOOKBACK:
option = new LookbackOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.RANGE:
option = new RangeOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
default:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
}
try
{
Task work = Task.Factory.StartNew(() =>
{
this.Dispatcher.Invoke(() => this.progress.IsActive = true);
option.calulateOptionPriceAndGreeks(this.simulationNumber, this.rate, this.steps, this.anitheticReductionEnabled, this.controlVariateEnabled, this.multithreadingEnabled, plot: this.graphPlot);
this.sw.Stop();
this.Dispatcher.Invoke(() => { display(option); this.progress.IsActive = false; });
});
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
private void bPriceOptionBook_Click(object sender, RoutedEventArgs e)
{
graphPlot = new GraphPlotting();
graphs.DataContext = graphPlot;
Task work = Task.Factory.StartNew(() =>
{
var orderBook = model.OrderBookDBs.ToList();
foreach (var trade in orderBook)
{
if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Stocks"))
{
var instrument = model.StockDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
trade.FairPrice = trade.Price;
trade.Delta = trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity;
trade.ProfitLoss = 0;
trade.Theta = 0;
trade.Gamma = 0;
trade.Vega = 0;
trade.Rho = 0;
lock (lck)
{
model.SaveChanges();
}
}
else if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Options"))
{
var instrument = model.OptionsDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
Options option = null;
ISecurity underlying = new Stock(instrument.StockDB.LastTradedPrice);
switch (instrument.OptionKindDB.OptionKindName)
{
case "Asian Option":
option = new AsianOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.ASIAN);
break;
case "Barrier Option":
option = new BarrierOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.BARRIER, (Double)instrument.Barrier, (instrument.BarrierOptionType == "downout" ? BarrierOptionType.DOWNOUT : (instrument.BarrierOptionType == "downin" ? BarrierOptionType.DOWNIN : (instrument.BarrierOptionType == "upout" ? BarrierOptionType.UPOUT : BarrierOptionType.UPIN))));
break;
case "Digital Option":
option = new DigitalOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.DIGITAL, (Double)instrument.Rebate);
break;
case "European Option":
option = new EuropeanOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.EUROPEAN);
break;
case "Lookback Option":
option = new LookbackOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.LOOKBACK);
break;
case "Range Option":
option = new RangeOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.RANGE);
break;
default:
break;
}
try
{
option.calulateOptionPriceAndGreeks(1000, 0.05, (option.ExpiryDate - DateTime.Now).Days, true, option.OptionKind == OptionKind.EUROPEAN ? true : false, true, plot: graphPlot);
trade.FairPrice = Math.Round(option.Price, 4);
trade.ProfitLoss = Math.Round((Double)trade.FairPrice - (Double)trade.Price, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Delta = Math.Round(option.Greeks.Delta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Theta = Math.Round(option.Greeks.Theta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Gamma = Math.Round(option.Greeks.Gamma, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Vega = Math.Round(option.Greeks.Vega, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Rho = Math.Round(option.Greeks.Rho, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
lock (lck)
{
model.SaveChanges();
}
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
}
this.Dispatcher.Invoke(() => {
dataGrid.DataContext = orderBook;
});
});
}
