public unsafe void PriceCall()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] spots = new double[1] {
100.0
};
double[] volatilities = new double[1] {
0.05
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
double[] trends = new double[1] {
0.05
};
double price;
double ic;
API1.PriceBasket(
maturity, //maturity in years
optionSize, //optionSize
strike, //strike when applicable
payoffCoefficients, //payoffCoefficients
nbSamples, //nbSamples
spots, //spots
volatilities, //volatilities
interestRate, //interest rate
correlations, //correlations
trends, //trends (donc égaux au taux d'intérêt)
&price,
&ic);
//price et ics contiennent prix et intervalle de couverture selon le pricer
double realPrice = TestsCall.RealPrice(maturity,
strike,
spots,
volatilities,
interestRate,
correlations,
0.0);
// directive assert : Assure que le prix renvoyé par la formule fermée et celui renvoyé par la simulation sont dans un intervalle de confiance de largeur 2%.
Assert.IsTrue(Math.Abs((realPrice - price) / price) < 0.05);
}
public void DeltaTestAnyTime()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] volatilities = new double[1] {
0.05
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
double[] trends = new double[1] {
0.05
};
double t = 1.0;
double[] past = new double[1] {
100.00
};
int nbRows = 1;
double[] currents = new double[1] {
95.0
};
double[] deltas = new double[1];
double nbTimeStep = 1;
API1.DeltasMultiCurrencyBasketAnyTime(
maturity,
optionSize,
strike,
payoffCoefficients,
nbSamples,
past,
nbRows,
t,
currents,
volatilities,
interestRate,
correlations,
trends,
nbTimeStep,
out IntPtr deltasPtr);
System.Runtime.InteropServices.Marshal.Copy(deltasPtr, deltas, 0, 1); //< -deltas contient maintenant les deltas
double realDelta = TestsCall.RealDeltaAnyTime(maturity,
strike,
currents,
volatilities,
interestRate,
correlations,
t);
Assert.IsTrue(Math.Abs((realDelta - deltas[0]) / deltas[0]) < 0.02);
}
public unsafe void PriceTestCallAnyTime()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] past = new double[1] {
100.0
};
int nbRows = 1;
double[] currents = new double[1] {
105.0
};
double t = 1.0;
double[] volatilities = new double[1] {
0.05
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
double[] trends = new double[1] {
0.05
};
double nbTimeStep = 1;
double price;
double ic;
API1.PriceBasketAnyTime(
maturity,
optionSize,
strike,
payoffCoefficients,
nbSamples,
past,
nbRows,
t,
currents,
volatilities,
interestRate,
correlations,
trends,
nbTimeStep,
&price,
&ic);
//price et ics contiennent prix et intervalle de couverture selon le pricer
double realPrice = TestsCall.RealPrice(maturity,
strike,
currents,
volatilities,
interestRate,
correlations,
t);
//assure que prix formule fermée et prix simulé en tout t<T dans un intervalle de confiance de largeur 2%
Assert.IsTrue(Math.Abs((realPrice - price) / price) < 0.05);
}