public void TestImpliedVol2()
{
var stock = TestDataHelper.GetStock("ANZ");
Assert.AreEqual("ANZ", stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("29-10-2009"), 3676);
Strike str = new Strike(3650, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 3650 && (fwdExp.ExpiryDate == DateTime.Parse("29-10-2009")))
{
stockObject.Spot = 3676;
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, true, "A", 224.5, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "C", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 224.5, 0.01);
}
}
}
}
/// <summary>
/// Loads the stock.
/// </summary>
/// <param name="name">The name.</param>
/// <returns></returns>
private static IStock LoadStock(String name)
{
var stock = TestDataHelper.GetStock(name);
Assert.AreEqual(name, stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
return(stockObject);
}
public void TestHistoricalExtrapolate()
{
IStock stockASXParent = LoadStock("AGK");
IVolatilitySurface stockASXChild = CreateNullVolSurface();
IVolatilitySurface targetChild = CreateNullVolSurface();
IStock stockSDParent = LoadStock("AGK");
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 28), 1208));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 29), 1221));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 30), 1218));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 31), 1207));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 9, 1), 1250));
RateCurve rateCurve = CreateRateCurve();
List <Dividend> divCurve = CreateDividends();
IStock nullASXChild = new Stock(new DateTime(2009, 9, 9), 200.0M, "ZZZ", "ZZZ", rateCurve, divCurve);
nullASXChild.VolatilitySurface = stockASXChild;
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 12), 208));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 13), 221));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 14), 218));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 15), 207));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 16), 201));
ExtrapolationHelper extrap = new ExtrapolationHelper();
decimal histvol1 = extrap.DoHistVolCalc(stockASXParent);
decimal histvol2 = extrap.DoHistVolCalc(nullASXChild);
Assert.AreEqual(0.375846, Convert.ToDouble(histvol1), 0.0001);
Assert.AreEqual(0.770018, Convert.ToDouble(histvol2), 0.0001);
extrap.PopulateHistoricalVols(stockASXParent, nullASXChild, targetChild);
double scalFactor = Convert.ToDouble(extrap.GetHistoricalScalFactor(stockASXParent, nullASXChild));
Assert.AreEqual(scalFactor, 2.0487573, 0.0001);
//Spreadsheet fit SD parent to (5d, 1.000 * F) point, flatline endpoints.
decimal SDParentVol0 = 0.296175M;
// Spreadsheet fit SD parent to (7d,0.867 * F) point
decimal SDParentVol1 = 0.320240M;
// Spreadsheet fit SD parent to (21d,1.00 * F) point
decimal SDParentVol2 = 0.287656M;
double childExtrapVol0 = scalFactor * Convert.ToDouble(SDParentVol0);
double childExtrapVol1 = scalFactor * Convert.ToDouble(SDParentVol1);
double childExtrapVol2 = scalFactor * Convert.ToDouble(SDParentVol2);
Assert.AreEqual(Convert.ToDouble(SDParentVol0 * histvol2 / histvol1), childExtrapVol0, 0.001);
Assert.AreEqual(Convert.ToDouble(SDParentVol1 * histvol2 / histvol1), childExtrapVol1, 0.001);
Assert.AreEqual(Convert.ToDouble(SDParentVol2 * histvol2 / histvol1), childExtrapVol2, 0.001);
}
public void TestFitter()
{
var stock = TestDataHelper.GetStock("AGK");
Assert.AreEqual("AGK", stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
stockObject.VolatilitySurface.Calibrate();
decimal spot = stockObject.Spot;
var fwdexp = ForwardExpiryHelper.FindExpiry(new DateTime(2016, 9, 9), stockObject.VolatilitySurface.NodalExpiries.ToList());
int i = -1;
var str = StrikeHelper.FindStrikeWithPrice(1404, new List <Strike>(fwdexp.Strikes), out i);
Assert.AreNotEqual(i, -1);
double fwd = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.AtmForward, 7);
double cc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.CallCurve, 7);
double vc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.CurrentVol, 7);
double dc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.DnCutoff, 7);
double dsr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Dsr, 7);
double pc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.PutCurve, 7);
double reffwd = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.RefFwd, 7);
double refvol = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.RefVol, 7);
double scr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Scr, 7);
double sr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.SlopeRef, 7);
double ssr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Ssr, 7);
double uc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.UpCutoff, 7);
double usr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Usr, 7);
double vcr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Vcr, 7);
Assert.AreNotEqual(spot, 0);
Assert.AreEqual(fwd, 1682);
Assert.AreEqual(cc, 0.0705147);
Assert.AreEqual(vc, 0.2933592);
Assert.AreEqual(dc, Math.Round(-0.5 - Math.Log(Convert.ToDouble(fwdexp.FwdPrice / spot))), 7);
Assert.AreEqual(uc, Math.Round(0.5 - Math.Log(Convert.ToDouble(fwdexp.FwdPrice / spot))), 7);
Assert.AreEqual(dsr, 0.20);
Assert.AreEqual(pc, 0.0025281);
Assert.AreEqual(reffwd, 1682);
Assert.AreEqual(refvol, vc);
Assert.AreEqual(scr, 0);
Assert.AreEqual(sr, -0.0565697);
Assert.AreEqual(ssr, 100);
Assert.AreEqual(usr, 0.20);
Assert.AreEqual(vcr, 0.0);
}
public static Stock CreateStock(Orion.EquityVolCalcTestData.Stock stock)
{
DateTime today = XmlGetDate(stock.Date);
decimal spot = Convert.ToDecimal(stock.Spot);
DateTime baseDate = XmlGetDate(stock.RateCurve.BaseDate);
DateTime[] rateDates = XmlGetDateArray(stock.RateCurve.DateArray);
//Load rate curve
String tp = stock.RateCurve.RateType;
var rc = new RateCurve(stock.RateCurve.Ccy, tp, baseDate, rateDates, stock.RateCurve.RateArray);
// Load dividends
var divs = (from div in stock.Dividends let exDate = XmlGetDate(div.ExDate) select new Dividend(exDate, Convert.ToDecimal(div.Amount))).ToList();
//Load stock object
var stock0 = new Stock(today, spot, stock.AssetId, stock.Name, rc, divs);
var vol0 = new VolatilitySurface(stock.AssetId, spot, today);
//Load vols
stock0.VolatilitySurface = vol0;
foreach (StockVolatilitySurfaceForwardExpiry exp in stock.VolatilitySurface.Expiries)
{
DateTime expDate = XmlGetDate(exp.ExpiryDate);
Decimal fwd = Convert.ToDecimal(exp.FwdPrice);
var exp0 = new ForwardExpiry(expDate, fwd);
// exp0.NodalPoint = System.Convert.ToBoolean(exp.NodalPoint);
vol0.AddExpiry(exp0);
foreach (StockVolatilitySurfaceForwardExpiryStrike str in exp.Strikes)
{
var call = new OptionPosition();
var put = new OptionPosition();
double strikeprice0 = Convert.ToDouble(str.StrikePrice);
var str0 = new Strike(strikeprice0, call, put, Units.Cents)
{
Moneyness = Convert.ToDouble(str.Moneyness)
};
exp0.AddStrike(str0, true);
var vp = new VolatilityPoint();
decimal vol = Convert.ToDecimal(str.Volatility.Value);
vp.SetVolatility(vol, VolatilityState.Default());
str0.SetVolatility(vp);
}
}
return(stock0);
}
public void TestImpliedVol4()
{
DateTime today = new DateTime(2010, 07, 14);
RateCurve rc = new RateCurve("AUD", "Continuous", DateTime.Parse("14-Jul-2010"), new[] { DateTime.Parse("14-Jul-2010"), DateTime.Parse("28-Jun-2012") }, new[] { 0.045507, 0.050645 });
Dividend d1 = new Dividend(DateTime.Parse("6-9-2010"), 49.90M);
Dividend d2 = new Dividend(DateTime.Parse("28-2-2011"), 54.43M);
Dividend d3 = new Dividend(DateTime.Parse("5-9-2011"), 58.97M);
Dividend d4 = new Dividend(DateTime.Parse("27-2-2012"), 61.24M);
Dividend d5 = new Dividend(DateTime.Parse("3-9-2012"), 65.78M);
Dividend d6 = new Dividend(DateTime.Parse("25-2-2013"), 68.05M);
Dividend d7 = new Dividend(DateTime.Parse("2-9-2013"), 72.58M);
Dividend d8 = new Dividend(DateTime.Parse("2-9-2013"), 72.58M);
Dividend d9 = new Dividend(DateTime.Parse("24-2-2014"), 73.72M);
Dividend d10 = new Dividend(DateTime.Parse("1-9-2014"), 75.99M);
List <Dividend> divCurve = new List <Dividend>()
{
d1, d2, d3, d4, d5, d6, d7, d8, d9, d10
};
var stockObject0 = new Stock(today, 3840, "BHP12JUN4100P.WY", "BHP_Vanilla_ETO_Jun12_41.00_Put", rc, divCurve);
double vol = OptionHelper.GetImpliedVol(stockObject0, DateTime.Parse("28-Jun-2012"), 4100, false, "American", 719, 120);
}
public void TestImpliedVolPut()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "P";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics amInstr = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
double am = amInstr.Price();
double eu = euInstr.Price();
AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
double avol0 = amInstr0.OptSolveVol(am, 100);
double evol0 = euInstr0.OptSolveVol(eu, 100);
Stock stock = new Stock(date0, 100, "dummy", "BHP", rc, divs);
double vol1 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "A", am, 120);
double vol11 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "American", am, 120);
double vol0 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "E", eu, 120);
double vol00 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "European", eu, 120);
Assert.AreEqual(avol0, 0.50, 0.001);
Assert.AreEqual(evol0, 1.00, 0.001);
Assert.AreEqual(vol1, avol0, 0.001);
Assert.AreEqual(vol11, avol0, 0.001);
Assert.AreEqual(vol0, evol0, 0.001);
Assert.AreEqual(vol00, evol0, 0.001);
}
public void TestPricevsORCExample()
{
DateTime[] rtDates = { DateTime.Parse("17-Aug-2010"),
DateTime.Parse("17-Sep-2010"),
DateTime.Parse("18-Oct-2010"),
DateTime.Parse("17-Nov-2010"),
DateTime.Parse("10-Dec-2010") };
double[] rates = { 0.045507232,
0.046609656,
0.047336042,
0.047655159,
0.047737236 };
RateCurve rc = new RateCurve("AUD", "Semi-Annual", DateTime.Parse("16-Aug-2010"), rtDates, rates);
//Dividend d1 = new Dividend(DateTime.Parse("16-8-2010"), 11.745786M);
Dividend d2 = new Dividend(DateTime.Parse("17-8-2010"), 0.893295M);
Dividend d3 = new Dividend(DateTime.Parse("23-8-2010"), 7.856689M);
Dividend d4 = new Dividend(DateTime.Parse("24-8-2010"), 2.898251M);
Dividend d5 = new Dividend(DateTime.Parse("25-8-2010"), 3.344721M);
Dividend d6 = new Dividend(DateTime.Parse("26-8-2010"), 0.485070M);
Dividend d7 = new Dividend(DateTime.Parse("27-8-2010"), 0.835305M);
Dividend d8 = new Dividend(DateTime.Parse("30-8-2010"), 3.952976M);
Dividend d9 = new Dividend(DateTime.Parse("31-8-2010"), 0.884255M);
Dividend d10 = new Dividend(DateTime.Parse("1-9-2010"), 2.013798M);
Dividend d11 = new Dividend(DateTime.Parse("2-9-2010"), 1.241407M);
Dividend d12 = new Dividend(DateTime.Parse("3-9-2010"), 0.613699M);
Dividend d13 = new Dividend(DateTime.Parse("6-9-2010"), 11.712946M);
Dividend d14 = new Dividend(DateTime.Parse("7-9-2010"), 3.775104M);
Dividend d15 = new Dividend(DateTime.Parse("8-9-2010"), 0.606597M);
Dividend d16 = new Dividend(DateTime.Parse("9-9-2010"), 0.268093M);
Dividend d17 = new Dividend(DateTime.Parse("10-9-2010"), 0.144851M);
Dividend d18 = new Dividend(DateTime.Parse("13-9-2010"), 1.600975M);
Dividend d19 = new Dividend(DateTime.Parse("14-9-2010"), 1.499946M);
Dividend d20 = new Dividend(DateTime.Parse("15-9-2010"), 0.238824M);
Dividend d21 = new Dividend(DateTime.Parse("16-9-2010"), 0.117931M);
List <Dividend> divCurve = new List <Dividend>()
{
d2, d3, d4, d5, d6, d7, d8, d9, d10,
d11, d12, d13, d14, d15, d16, d17, d18, d19, d20, d21
};
DateTime date0 = new DateTime(2010, 08, 16);
DateTime exp = new DateTime(2010, 9, 16);
double spot = 4447.62;
//double future = 4420;
double strike = 4200;
string stockId = "XJO_Spot";
Stock stock = new Stock(date0, Convert.ToDecimal(spot), stockId, "XJO", rc, divCurve);
double fwd = stock.GetForward(date0, exp);
var wingParams1 = new OrcWingParameters
{
CurrentVol = 0.234828,
RefVol = 0.234828,
SlopeRef = -0.109109,
PutCurve = 1.235556,
CallCurve = 0.60895,
DnCutoff = -0.493791,
UpCutoff = 0.506209,
RefFwd = 4420.092383,
AtmForward = 4420.092383,
Vcr = 0,
Scr = 0,
Ssr = 100,
Dsr = 0.2,
Usr = 0.2,
};
VolatilitySurface vs = new VolatilitySurface(stockId, Convert.ToDecimal(spot), date0);
ForwardExpiry expiry = new ForwardExpiry(exp, Convert.ToDecimal(fwd));
OptionPosition op = new OptionPosition("XJO_Vanilla_ETO_Sep10_4200.000_Put", 30.237108, PositionType.Put);
Strike strike0 = new Strike(strike, null, op);
expiry.AddStrike(strike0, true);
List <double> strikes1 = new List <double> {
4200
};
ForwardExpiry forwardexpiry = vs.ValueAt(stock, exp, strikes1, wingParams1, true, false);
double vol = Convert.ToDouble(forwardexpiry.Strikes[0].Volatility.Value);
var utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, "European", "Put", rc, divCurve, 120);
double pr = Math.Round(utils.Price(), 7);
}
public void TestImpliedVolCall()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "C";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics amInstr = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
double am = amInstr.Price();
double eu = euInstr.Price();
AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
double avol0 = amInstr0.OptSolveVol(am, 100);
double evol0 = euInstr0.OptSolveVol(eu, 100);
var stock = new Stock(date0, 100, "dummy", "BHP", rc, divs);
DateTime start = DateTime.Now;
double vol1 = OptionHelper.GetImpliedVol(stock, exp, 0.3, strike, true, "A", am, 120);
DateTime end = DateTime.Now;
double x1 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol11 = OptionHelper.GetImpliedVol(stock, exp, 0.2, strike, true, "American", am, 120);
end = DateTime.Now;
double x2 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol0 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "E", eu, 120);
end = DateTime.Now;
double x3 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol00 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "European", eu, 120);
end = DateTime.Now;
double x4 = end.Subtract(start).Milliseconds;
Assert.AreEqual(avol0, 0.50, 0.001);
Assert.AreEqual(evol0, 1.00, 0.001);
Assert.AreEqual(vol1, avol0, 0.001);
Assert.AreEqual(vol11, avol0, 0.001);
Assert.AreEqual(vol0, evol0, 0.001);
Assert.AreEqual(vol00, evol0, 0.001);
Debug.Print("Time 1 : " + x1);
Debug.Print("Time 2 : " + x2);
Debug.Print("Time 3 : " + x3);
Debug.Print("Time 4 : " + x4);
}