|
public static flatRate ( Date today, |
||
| today | Date | |
| forward | ||
| dc | DayCounter | |
| return | QLNet.YieldTermStructure | |
// setup
public CommonVars()
{
calendar = new TARGET();
today = calendar.adjust(Date.Today);
Settings.Instance.setEvaluationDate(today);
dayCounter = new Actual360();
frequency = Frequency.Annual;
settlementDays = 3;
issueDate = calendar.advance(today, 2, TimeUnit.Days);
maturityDate = calendar.advance(issueDate, 10, TimeUnit.Years);
// reset to avoid inconsistencies as the schedule is backwards
issueDate = calendar.advance(maturityDate, -10, TimeUnit.Years);
underlying.linkTo(new SimpleQuote(50.0));
dividendYield.linkTo(Utilities.flatRate(today, 0.02, dayCounter));
riskFreeRate.linkTo(Utilities.flatRate(today, 0.05, dayCounter));
volatility.linkTo(Utilities.flatVol(today, 0.15, dayCounter));
process = new BlackScholesMertonProcess(underlying, dividendYield, riskFreeRate, volatility);
creditSpread.linkTo(new SimpleQuote(0.005));
// it fails with 1000000
// faceAmount = 1000000.0;
faceAmount = 100.0;
redemption = 100.0;
conversionRatio = redemption / underlying.link.value();
}
// Reference pg. 253 - Hull - Options, Futures, and Other Derivatives 5th ed
// Exercise 12.8
// Doesn't quite work. Need to deal with date conventions
private void testEuropeanKnownValue()
{
// Testing dividend European option values with known value...
using (SavedSettings backup = new SavedSettings())
{
double tolerance = 1.0e-2;
double expected = 3.67;
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
Date exDate = today + new Period(6, TimeUnit.Months);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
dividendDates.Add(today + new Period(2, TimeUnit.Months));
dividends.Add(0.50);
dividendDates.Add(today + new Period(5, TimeUnit.Months));
dividends.Add(0.50);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 40.0);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
double u = 40.0;
double q = 0.0, r = 0.09;
double v = 0.30;
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double calculated = option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value start limit",
payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
public void testCachedValue()
{
// Testing vanilla-swap calculation against cached value
CommonVars vars = new CommonVars();
vars.today = new Date(17, Month.June, 2002);
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement, 0.05, new Actual365Fixed()));
VanillaSwap swap = vars.makeSwap(10, 0.06, 0.001);
#if QL_USE_INDEXED_COUPON
double cachedNPV = -5.872342992212;
#else
double cachedNPV = -5.872863313209;
#endif
if (Math.Abs(swap.NPV() - cachedNPV) > 1.0e-11)
{
QAssert.Fail("failed to reproduce cached swap value:\n"
+ " calculated: " + swap.NPV() + "\n"
+ " expected: " + cachedNPV);
}
}
public void testPerformanceValues()
{
// Testing forward performance option values...
/* The data below are the performance equivalent of the
* forward options tested above and taken from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
*/
ForwardOptionData[] values =
{
// type, moneyness, spot, div, rate,start, maturity, vol, result, tol
new ForwardOptionData(Option.Type.Call, 1.1, 60.0, 0.04, 0.08, 0.25, 1.0, 0.30, 4.4064 / 60 * Math.Exp(-0.04 * 0.25), 1.0e-4),
new ForwardOptionData(Option.Type.Put, 1.1, 60.0, 0.04, 0.08, 0.25, 1.0, 0.30, 8.2971 / 60 * Math.Exp(-0.04 * 0.25), 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS), new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new ForwardPerformanceVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)); // AnalyticEuropeanEngine
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, 0.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Date reset = today + Convert.ToInt32(values[i].start * 360 + 0.5);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
ForwardVanillaOption option = new ForwardVanillaOption(values[i].moneyness, reset, payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - values[i].result);
double tolerance = 1e-4;
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s,
values[i].q, values[i].r, today,
values[i].v, values[i].moneyness, reset,
values[i].result, calculated,
error, tolerance);
}
}
}
public void testCachedValue()
{
//"Testing swaption value against cached value...");
CommonVars vars = new CommonVars();
vars.today = new Date(13, 3, 2002);
vars.settlement = new Date(15, 3, 2002);
Settings.setEvaluationDate(vars.today);
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement, 0.05, new Actual365Fixed()));
Date exerciseDate = vars.calendar.advance(vars.settlement, new Period(5, TimeUnit.Years));
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
VanillaSwap swap =
new MakeVanillaSwap(new Period(10, TimeUnit.Years), vars.index, 0.06)
.withEffectiveDate(startDate);
Swaption swaption =
vars.makeSwaption(swap, exerciseDate, 0.20);
//#if QL_USE_INDEXED_COUPON
double cachedNPV = 0.036418158579;
//#else
// double cachedNPV = 0.036421429684;
//#endif
// FLOATING_POINT_EXCEPTION
if (Math.Abs(swaption.NPV() - cachedNPV) > 1.0e-12)
{
Assert.Fail("failed to reproduce cached swaption value:\n" +
//QL_FIXED + std::setprecision(12) +
"\ncalculated: " + swaption.NPV() +
"\nexpected: " + cachedNPV);
}
}
public void testPathGenerator()
{
//"Testing 1-D path generation against cached values...");
//SavedSettings backup;
Settings.setEvaluationDate(new Date(26, 4, 2005));
Handle <Quote> x0 = new Handle <Quote> (new SimpleQuote(100.0));
Handle <YieldTermStructure> r = new Handle <YieldTermStructure> (Utilities.flatRate(0.05, new Actual360()));
Handle <YieldTermStructure> q = new Handle <YieldTermStructure> (Utilities.flatRate(0.02, new Actual360()));
Handle <BlackVolTermStructure> sigma = new Handle <BlackVolTermStructure>(Utilities.flatVol(0.20, new Actual360()));
// commented values must be used when Halley's correction is enabled
testSingle(new BlackScholesMertonProcess(x0, q, r, sigma),
"Black-Scholes", false, 26.13784357783, 467.2928561411);
// 26.13784357783, 467.2928562519);
//Error make the borwnian bridge test first
testSingle(new BlackScholesMertonProcess(x0, q, r, sigma),
"Black-Scholes", true, 60.28215549393, 202.6143139999);
// 60.28215551021, 202.6143139437);
testSingle(new GeometricBrownianMotionProcess(100.0, 0.03, 0.20),
"geometric Brownian", false, 27.62223714065, 483.6026514084);
// 27.62223714065, 483.602651493);
testSingle(new OrnsteinUhlenbeckProcess(0.1, 0.20),
"Ornstein-Uhlenbeck", false, -0.8372003433557, 0.8372003433557);
testSingle(new SquareRootProcess(0.1, 0.1, 0.20, 10.0),
"square-root", false, 1.70608664108, 6.024200546031);
}
public void testBjerksundStenslandValues()
{
// ("Testing Bjerksund and Stensland approximation for American options...");
AmericanOptionData[] values = new AmericanOptionData[] {
// type, strike, spot, q, r, t, vol, value, tol
// from "Option pricing formulas", Haug, McGraw-Hill 1998, pag 27
new AmericanOptionData(Option.Type.Call, 40.00, 42.00, 0.08, 0.04, 0.75, 0.35, 5.2704),
// from "Option pricing formulas", Haug, McGraw-Hill 1998, VBA code
new AmericanOptionData(Option.Type.Put, 40.00, 36.00, 0.00, 0.06, 1.00, 0.20, 4.4531)
};
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 = 3.0e-3;
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new AmericanExercise(today, exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[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 BjerksundStenslandApproximationEngine(stochProcess);
VanillaOption option = new VanillaOption(payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s, values[i].q,
values[i].r, today, values[i].v, values[i].result,
calculated, error, tolerance);
}
}
}
public void testCashOrNothingEuropeanValues()
{
// Testing European cash-or-nothing digital option
DigitalOptionData[] values =
{
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 88
// type, strike, spot, q, r, t, vol, value, tol
new DigitalOptionData(Option.Type.Put, 80.00, 100.0, 0.06, 0.06, 0.75, 0.35, 2.6710, 1e-4, true)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
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);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, 10.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[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 AnalyticEuropeanEngine(stochProcess);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s, values[i].q,
values[i].r, today, values[i].v, values[i].result,
calculated, error, values[i].tol, values[i].knockin);
}
}
}
public void testFdmHestonEuropeanWithDividends()
{
//Testing FDM with European option with dividends in Heston model...
using (SavedSettings backup = new SavedSettings())
{
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100.0));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.05, new Actual365Fixed()));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, new Actual365Fixed()));
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, s0, 0.04, 2.5, 0.04, 0.66, -0.8);
Settings.Instance.setEvaluationDate(new Date(28, 3, 2004));
Date exerciseDate = new Date(28, 3, 2005);
Exercise exercise = new AmericanExercise(exerciseDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, 100);
List <double> dividends = new InitializedList <double>(1, 5);
List <Date> dividendDates = new InitializedList <Date>(1, new Date(28, 9, 2004));
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
IPricingEngine engine = new FdHestonVanillaEngine(new HestonModel(hestonProcess), 50, 100, 50);
option.setPricingEngine(engine);
double tol = 0.01;
double gammaTol = 0.001;
double npvExpected = 7.365075;
double deltaExpected = -0.396678;
double gammaExpected = 0.027681;
if (Math.Abs(option.NPV() - npvExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected npv"
+ "\n calculated: " + option.NPV()
+ "\n expected: " + npvExpected
+ "\n tolerance: " + tol);
}
if (Math.Abs(option.delta() - deltaExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected delta"
+ "\n calculated: " + option.delta()
+ "\n expected: " + deltaExpected
+ "\n tolerance: " + tol);
}
if (Math.Abs(option.gamma() - gammaExpected) > gammaTol)
{
QAssert.Fail("Failed to reproduce expected gamma"
+ "\n calculated: " + option.gamma()
+ "\n expected: " + gammaExpected
+ "\n tolerance: " + tol);
}
}
}
public void testValues()
{
// Testing Cliquet option values
Date today = Date.Today;
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(60.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.08);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.30);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
BlackScholesMertonProcess process = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticCliquetEngine(process);
List <Date> reset = new List <Date>();
reset.Add(today + 90);
Date maturity = today + 360;
Option.Type type = Option.Type.Call;
double moneyness = 1.1;
PercentageStrikePayoff payoff = new PercentageStrikePayoff(type, moneyness);
EuropeanExercise exercise = new EuropeanExercise(maturity);
CliquetOption option = new CliquetOption(payoff, exercise, reset);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = 4.4064; // Haug, p.37
double error = Math.Abs(calculated - expected);
double tolerance = 1e-4;
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated,
error, tolerance);
}
}
public void testFdmHestonBarrier()
{
//Testing FDM with barrier option for Heston model vs Black-Scholes model...
using (SavedSettings backup = new SavedSettings())
{
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100.0));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.05, new Actual365Fixed()));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, new Actual365Fixed()));
HestonProcess hestonProcess =
new HestonProcess(rTS, qTS, s0, 0.04, 2.5, 0.04, 0.66, -0.8);
Settings.Instance.setEvaluationDate(new Date(28, 3, 2004));
Date exerciseDate = new Date(28, 3, 2005);
Exercise exercise = new EuropeanExercise(exerciseDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 100);
BarrierOption barrierOption = new BarrierOption(Barrier.Type.UpOut, 135, 0.0, payoff, exercise);
barrierOption.setPricingEngine(new FdHestonBarrierEngine(new HestonModel(hestonProcess), 50, 400, 100));
double tol = 0.01;
double npvExpected = 9.1530;
double deltaExpected = 0.5218;
double gammaExpected = -0.0354;
if (Math.Abs(barrierOption.NPV() - npvExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected npv"
+ "\n calculated: " + barrierOption.NPV()
+ "\n expected: " + npvExpected
+ "\n tolerance: " + tol);
}
if (Math.Abs(barrierOption.delta() - deltaExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected delta"
+ "\n calculated: " + barrierOption.delta()
+ "\n expected: " + deltaExpected
+ "\n tolerance: " + tol);
}
if (Math.Abs(barrierOption.gamma() - gammaExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected gamma"
+ "\n calculated: " + barrierOption.gamma()
+ "\n expected: " + gammaExpected
+ "\n tolerance: " + tol);
}
}
}
void testFdDegenerate <Engine>(Date today, Exercise exercise) where Engine : IFDEngine, new()
{
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(54.625);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.052706, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, dc));
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(0.282922, dc));
BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
int timeSteps = 300;
int gridPoints = 300;
IPricingEngine engine = new Engine().factory(process, timeSteps, gridPoints);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 55.0);
double tolerance = 3.0e-3;
List <double> dividends = new List <double>();
List <Date> dividendDates = new List <Date>();
DividendVanillaOption option1 = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option1.setPricingEngine(engine);
// FLOATING_POINT_EXCEPTION
double refValue = option1.NPV();
for (int i = 0; i <= 6; i++)
{
dividends.Add(0.0);
dividendDates.Add(today + i);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
double value = option.NPV();
if (Math.Abs(refValue - value) > tolerance)
{
Assert.Fail("NPV changed by null dividend :\n"
+ " previous value: " + value + "\n"
+ " current value: " + refValue + "\n"
+ " change: " + (value - refValue));
}
}
}
public void testFdValues()
{
//("Testing finite-difference engine 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 = 8.0e-2;
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 FDAmericanEngine(stochProcess, 100, 100);
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);
}
}
}
public void testInitialisation()
{
//"Testing caplet LMM process initialisation..."
//SavedSettings backup;
DayCounter dayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> termStructure = new RelinkableHandle <YieldTermStructure>();;
termStructure.linkTo(Utilities.flatRate(Date.Today, 0.04, dayCounter));
IborIndex index = new Euribor6M(termStructure);
OptionletVolatilityStructure capletVol = new ConstantOptionletVolatility(
termStructure.currentLink().referenceDate(),
termStructure.currentLink().calendar(),
BusinessDayConvention.Following,
0.2,
termStructure.currentLink().dayCounter());
Calendar calendar = index.fixingCalendar();
for (int daysOffset = 0; daysOffset < 1825 /* 5 year*/; daysOffset += 8)
{
Date todaysDate = calendar.adjust(Date.Today + daysOffset);
Settings.setEvaluationDate(todaysDate);
Date settlementDate =
calendar.advance(todaysDate, index.fixingDays(), TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlementDate, 0.04, dayCounter));
LiborForwardModelProcess process = new LiborForwardModelProcess(60, index);
List <double> fixings = process.fixingTimes();
for (int i = 1; i < fixings.Count - 1; ++i)
{
int ileft = process.nextIndexReset(fixings[i] - 0.000001);
int iright = process.nextIndexReset(fixings[i] + 0.000001);
int ii = process.nextIndexReset(fixings[i]);
if ((ileft != i) || (iright != i + 1) || (ii != i + 1))
{
Assert.Fail("Failed to next index resets");
}
}
}
}
public void testAccessViolation()
{
// Testing dynamic cast of coupon in Black pricer...
SavedSettings backup = new SavedSettings();
Date todaysDate = new Date(7, Month.April, 2010);
Date settlementDate = new Date(9, Month.April, 2010);
Settings.setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
Handle <YieldTermStructure> rhTermStructure = new Handle <YieldTermStructure>(
Utilities.flatRate(settlementDate, 0.04875825, new Actual365Fixed()));
double volatility = 0.10;
Handle <OptionletVolatilityStructure> vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(2,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
IborIndex index3m = new USDLibor(new Period(3, TimeUnit.Months), rhTermStructure);
Date payDate = new Date(20, Month.December, 2013);
Date startDate = new Date(20, Month.September, 2013);
Date endDate = new Date(20, Month.December, 2013);
double spread = 0.0115;
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
FloatingRateCoupon coupon = new FloatingRateCoupon(100, payDate, startDate, endDate, 2,
index3m, 1.0, spread / 100);
coupon.setPricer(pricer);
try
{
// this caused an access violation in version 1.0
coupon.amount();
}
catch (Exception)
{
// ok; proper exception thrown
}
}
public CommonVars()
{
settlementDays = 2;
nominal = 1000000.0;
fixedConvention = BusinessDayConvention.Unadjusted;
fixedFrequency = Frequency.Annual;
fixedDayCount = new Thirty360();
index = new Euribor6M(termStructure);
floatingConvention = index.businessDayConvention();
floatingTenor = index.tenor();
calendar = index.fixingCalendar();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlement, 0.05, new Actual365Fixed()));
}
public void testFdmHestonIkonenToivanen()
{
//Testing FDM Heston for Ikonen and Toivanen tests...
/* check prices of american puts as given in:
* From Efficient numerical methods for pricing American options under
* stochastic volatility, Samuli Ikonen, Jari Toivanen,
* http://users.jyu.fi/~tene/papers/reportB12-05.pdf
*/
using (SavedSettings backup = new SavedSettings())
{
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.10, new Actual360()));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, new Actual360()));
Settings.Instance.setEvaluationDate(new Date(28, 3, 2004));
Date exerciseDate = new Date(26, 6, 2004);
Exercise exercise = new AmericanExercise(exerciseDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, 10);
VanillaOption option = new VanillaOption(payoff, exercise);
double[] strikes = new double[] { 8, 9, 10, 11, 12 };
double[] expected = new double[] { 2.00000, 1.10763, 0.520038, 0.213681, 0.082046 };
double tol = 0.001;
for (int i = 0; i < strikes.Length; ++i)
{
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(strikes[i]));
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, s0, 0.0625, 5, 0.16, 0.9, 0.1);
IPricingEngine engine = new FdHestonVanillaEngine(new HestonModel(hestonProcess), 100, 400);
option.setPricingEngine(engine);
double calculated = option.NPV();
if (Math.Abs(calculated - expected[i]) > tol)
{
QAssert.Fail("Failed to reproduce expected npv"
+ "\n strike: " + strikes[i]
+ "\n calculated: " + calculated
+ "\n expected: " + expected[i]
+ "\n tolerance: " + tol);
}
}
}
}
// setup
public CommonVars()
{
termStructure = new RelinkableHandle <YieldTermStructure>();
backup = new SavedSettings();
length = 20; //years
volatility = 0.20;
nominal = 100.0;
nominals = new InitializedList <double>(length, nominal);
frequency = Frequency.Annual;
index = new Euribor1Y(termStructure);
calendar = index.fixingCalendar();
convention = BusinessDayConvention.ModifiedFollowing;
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
settlementDays = 2;
fixingDays = 2;
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
startDate = settlement;
termStructure.linkTo(Utilities.flatRate(settlement, 0.05, new ActualActual(ActualActual.Convention.ISDA)));
}
// setup
public CommonVars()
{
nominals = new List <double>()
{
100
};
frequency = Frequency.Semiannual;
index = (IborIndex) new Euribor6M(termStructure);
calendar = index.fixingCalendar();
convention = BusinessDayConvention.ModifiedFollowing;
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
int settlementDays = 2;
fixingDays = 2;
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlement, 0.05,
new ActualActual(ActualActual.Convention.ISDA)));
}
public CommonVars()
{
type = VanillaSwap.Type.Payer;
settlementDays = 2;
nominal = 100.0;
fixedConvention = BusinessDayConvention.Unadjusted;
floatingConvention = BusinessDayConvention.ModifiedFollowing;
fixedFrequency = Frequency.Annual;
floatingFrequency = Frequency.Semiannual;
fixedDayCount = new Thirty360();
index = new Euribor(new Period(floatingFrequency), termStructure);
calendar = index.fixingCalendar();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlement, 0.05, new Actual365Fixed()));
}
public CommonVars()
{
Settings.setEvaluationDate(new Date(16, Month.September, 2015));
conventions.setConventions();
// ATM swaptionvolmatrix
atm.setMarketData();
atmVolMatrix = new RelinkableHandle <SwaptionVolatilityStructure>(
new SwaptionVolatilityMatrix(conventions.calendar, conventions.optionBdc, atm.tenors.options,
atm.tenors.swaps, atm.volsHandle, conventions.dayCounter));
// Swaptionvolcube
cube.setMarketData();
termStructure.linkTo(Utilities.flatRate(0.05, new Actual365Fixed()));
swapIndexBase = new EuriborSwapIsdaFixA(new Period(2, TimeUnit.Years), termStructure);
shortSwapIndexBase = new EuriborSwapIsdaFixA(new Period(1, TimeUnit.Years), termStructure);
vegaWeighedSmileFit = false;
}
// setup
public CommonVars()
{
startYears = 1;
length = 5;
type = VanillaSwap.Type.Payer;
nominal = 1000.0;
settlementDays = 2;
fixedConvention = BusinessDayConvention.Unadjusted;
floatingConvention = BusinessDayConvention.ModifiedFollowing;
fixedFrequency = Frequency.Annual;
floatingFrequency = Frequency.Semiannual;
fixedDayCount = new Thirty360();
termStructure = new RelinkableHandle <YieldTermStructure>();
termStructure.linkTo(Utilities.flatRate(new Date(19, Month.February, 2002), 0.04875825, new Actual365Fixed()));
index = new Euribor6M(termStructure);
calendar = index.fixingCalendar();
today = calendar.adjust(Date.Today);
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
}
public CommonVars()
{
type = OvernightIndexedSwap.Type.Payer;
settlementDays = 2;
nominal = 100.0;
fixedEoniaConvention = BusinessDayConvention.ModifiedFollowing;
floatingEoniaConvention = BusinessDayConvention.ModifiedFollowing;
fixedEoniaPeriod = new Period(1, TimeUnit.Years);
floatingEoniaPeriod = new Period(1, TimeUnit.Years);
fixedEoniaDayCount = new Actual360();
eoniaIndex = new Eonia(eoniaTermStructure);
fixedSwapConvention = BusinessDayConvention.ModifiedFollowing;
fixedSwapFrequency = Frequency.Annual;
fixedSwapDayCount = new Thirty360();
swapIndex = (IborIndex) new Euribor3M(swapTermStructure);
calendar = eoniaIndex.fixingCalendar();
today = new Date(5, Month.February, 2009);
//today = calendar.adjust(Date::todaysDate());
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, new Period(settlementDays, TimeUnit.Days), BusinessDayConvention.Following);
eoniaTermStructure.linkTo(Utilities.flatRate(settlement, 0.05, new Actual365Fixed()));
}
public void testCachedValue()
{
CommonVars vars = new CommonVars();
Date cachedToday = new Date(14, Month.March, 2002),
cachedSettlement = new Date(18, Month.March, 2002);
Settings.setEvaluationDate(cachedToday);
vars.termStructure.linkTo(Utilities.flatRate(cachedSettlement, 0.05, new Actual360()));
Date startDate = vars.termStructure.link.referenceDate();
List <CashFlow> leg = vars.makeLeg(startDate, 20);
Instrument cap = vars.makeCapFloor(CapFloorType.Cap, leg, 0.07, 0.20);
Instrument floor = vars.makeCapFloor(CapFloorType.Floor, leg, 0.03, 0.20);
// par coupon price
double cachedCapNPV = 6.87570026732,
cachedFloorNPV = 2.65812927959;
// index fixing price
//Real cachedCapNPV = 6.87630307745,
// cachedFloorNPV = 2.65796764715;
// test Black cap price against cached value
if (Math.Abs(cap.NPV() - cachedCapNPV) > 1.0e-11)
{
QAssert.Fail("failed to reproduce cached cap value:\n"
+ " calculated: " + cap.NPV() + "\n"
+ " expected: " + cachedCapNPV);
}
// test Black floor price against cached value
if (Math.Abs(floor.NPV() - cachedFloorNPV) > 1.0e-11)
{
QAssert.Fail("failed to reproduce cached floor value:\n"
+ " calculated: " + floor.NPV() + "\n"
+ " expected: " + cachedFloorNPV);
}
}
public void testCachedValue()
{
// Testing Eonia-swap calculation against cached value...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
double flat = 0.05;
vars.eoniaTermStructure.linkTo(Utilities.flatRate(vars.settlement, flat, new Actual360()));
double fixedRate = Math.Exp(flat) - 1;
OvernightIndexedSwap swap = vars.makeSwap(new Period(1, TimeUnit.Years), fixedRate, 0.0);
double cachedNPV = 0.001730450147;
double tolerance = 1.0e-11;
if (Math.Abs(swap.NPV() - cachedNPV) > tolerance)
{
QAssert.Fail("\nfailed to reproduce cached swap value:" +
"\ncalculated: " + swap.NPV() +
"\n expected: " + cachedNPV +
"\n tolerance:" + tolerance);
}
}
// setup
public CommonVars()
{
backup = new SavedSettings();
Calendar calendar = new TARGET();
Date referenceDate = calendar.adjust(Date.Today);
Settings.Instance.setEvaluationDate(referenceDate);
termStructure = new RelinkableHandle <YieldTermStructure>();
termStructure.linkTo(Utilities.flatRate(referenceDate, 0.05, new Actual365Fixed()));
// ATM Volatility structure
List <Period> atmOptionTenors = new List <Period>();
atmOptionTenors.Add(new Period(1, TimeUnit.Months));
atmOptionTenors.Add(new Period(6, TimeUnit.Months));
atmOptionTenors.Add(new Period(1, TimeUnit.Years));
atmOptionTenors.Add(new Period(5, TimeUnit.Years));
atmOptionTenors.Add(new Period(10, TimeUnit.Years));
atmOptionTenors.Add(new Period(30, TimeUnit.Years));
List <Period> atmSwapTenors = new List <Period>();
atmSwapTenors.Add(new Period(1, TimeUnit.Years));
atmSwapTenors.Add(new Period(5, TimeUnit.Years));
atmSwapTenors.Add(new Period(10, TimeUnit.Years));
atmSwapTenors.Add(new Period(30, TimeUnit.Years));
Matrix m = new Matrix(atmOptionTenors.Count, atmSwapTenors.Count);
m[0, 0] = 0.1300; m[0, 1] = 0.1560; m[0, 2] = 0.1390; m[0, 3] = 0.1220;
m[1, 0] = 0.1440; m[1, 1] = 0.1580; m[1, 2] = 0.1460; m[1, 3] = 0.1260;
m[2, 0] = 0.1600; m[2, 1] = 0.1590; m[2, 2] = 0.1470; m[2, 3] = 0.1290;
m[3, 0] = 0.1640; m[3, 1] = 0.1470; m[3, 2] = 0.1370; m[3, 3] = 0.1220;
m[4, 0] = 0.1400; m[4, 1] = 0.1300; m[4, 2] = 0.1250; m[4, 3] = 0.1100;
m[5, 0] = 0.1130; m[5, 1] = 0.1090; m[5, 2] = 0.1070; m[5, 3] = 0.0930;
atmVol = new Handle <SwaptionVolatilityStructure>(
new SwaptionVolatilityMatrix(calendar, BusinessDayConvention.Following, atmOptionTenors,
atmSwapTenors, m, new Actual365Fixed()));
// Vol cubes
List <Period> optionTenors = new List <Period>();
optionTenors.Add(new Period(1, TimeUnit.Years));
optionTenors.Add(new Period(10, TimeUnit.Years));
optionTenors.Add(new Period(30, TimeUnit.Years));
List <Period> swapTenors = new List <Period>();
swapTenors.Add(new Period(2, TimeUnit.Years));
swapTenors.Add(new Period(10, TimeUnit.Years));
swapTenors.Add(new Period(30, TimeUnit.Years));
List <double> strikeSpreads = new List <double>();
strikeSpreads.Add(-0.020);
strikeSpreads.Add(-0.005);
strikeSpreads.Add(+0.000);
strikeSpreads.Add(+0.005);
strikeSpreads.Add(+0.020);
int nRows = optionTenors.Count * swapTenors.Count;
int nCols = strikeSpreads.Count;
Matrix volSpreadsMatrix = new Matrix(nRows, nCols);
volSpreadsMatrix[0, 0] = 0.0599;
volSpreadsMatrix[0, 1] = 0.0049;
volSpreadsMatrix[0, 2] = 0.0000;
volSpreadsMatrix[0, 3] = -0.0001;
volSpreadsMatrix[0, 4] = 0.0127;
volSpreadsMatrix[1, 0] = 0.0729;
volSpreadsMatrix[1, 1] = 0.0086;
volSpreadsMatrix[1, 2] = 0.0000;
volSpreadsMatrix[1, 3] = -0.0024;
volSpreadsMatrix[1, 4] = 0.0098;
volSpreadsMatrix[2, 0] = 0.0738;
volSpreadsMatrix[2, 1] = 0.0102;
volSpreadsMatrix[2, 2] = 0.0000;
volSpreadsMatrix[2, 3] = -0.0039;
volSpreadsMatrix[2, 4] = 0.0065;
volSpreadsMatrix[3, 0] = 0.0465;
volSpreadsMatrix[3, 1] = 0.0063;
volSpreadsMatrix[3, 2] = 0.0000;
volSpreadsMatrix[3, 3] = -0.0032;
volSpreadsMatrix[3, 4] = -0.0010;
volSpreadsMatrix[4, 0] = 0.0558;
volSpreadsMatrix[4, 1] = 0.0084;
volSpreadsMatrix[4, 2] = 0.0000;
volSpreadsMatrix[4, 3] = -0.0050;
volSpreadsMatrix[4, 4] = -0.0057;
volSpreadsMatrix[5, 0] = 0.0576;
volSpreadsMatrix[5, 1] = 0.0083;
volSpreadsMatrix[5, 2] = 0.0000;
volSpreadsMatrix[5, 3] = -0.0043;
volSpreadsMatrix[5, 4] = -0.0014;
volSpreadsMatrix[6, 0] = 0.0437;
volSpreadsMatrix[6, 1] = 0.0059;
volSpreadsMatrix[6, 2] = 0.0000;
volSpreadsMatrix[6, 3] = -0.0030;
volSpreadsMatrix[6, 4] = -0.0006;
volSpreadsMatrix[7, 0] = 0.0533;
volSpreadsMatrix[7, 1] = 0.0078;
volSpreadsMatrix[7, 2] = 0.0000;
volSpreadsMatrix[7, 3] = -0.0045;
volSpreadsMatrix[7, 4] = -0.0046;
volSpreadsMatrix[8, 0] = 0.0545;
volSpreadsMatrix[8, 1] = 0.0079;
volSpreadsMatrix[8, 2] = 0.0000;
volSpreadsMatrix[8, 3] = -0.0042;
volSpreadsMatrix[8, 4] = -0.0020;
List <List <Handle <Quote> > > volSpreads = new InitializedList <List <Handle <Quote> > >(nRows);
for (int i = 0; i < nRows; ++i)
{
volSpreads[i] = new InitializedList <Handle <Quote> >(nCols);
for (int j = 0; j < nCols; ++j)
{
volSpreads[i][j] = new Handle <Quote>(new SimpleQuote(volSpreadsMatrix[i, j]));
}
}
iborIndex = new Euribor6M(termStructure);
SwapIndex swapIndexBase = new EuriborSwapIsdaFixA(new Period(10, TimeUnit.Years), termStructure);
SwapIndex shortSwapIndexBase = new EuriborSwapIsdaFixA(new Period(2, TimeUnit.Years), termStructure);
bool vegaWeightedSmileFit = false;
SabrVolCube2 = new Handle <SwaptionVolatilityStructure>(
new SwaptionVolCube2(atmVol,
optionTenors,
swapTenors,
strikeSpreads,
volSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit));
SabrVolCube2.link.enableExtrapolation();
List <List <Handle <Quote> > > guess = new InitializedList <List <Handle <Quote> > >(nRows);
for (int i = 0; i < nRows; ++i)
{
guess[i] = new InitializedList <Handle <Quote> >(4);
guess[i][0] = new Handle <Quote>(new SimpleQuote(0.2));
guess[i][1] = new Handle <Quote>(new SimpleQuote(0.5));
guess[i][2] = new Handle <Quote>(new SimpleQuote(0.4));
guess[i][3] = new Handle <Quote>(new SimpleQuote(0.0));
}
List <bool> isParameterFixed = new InitializedList <bool>(4, false);
isParameterFixed[1] = true;
// FIXME
bool isAtmCalibrated = false;
SabrVolCube1 = new Handle <SwaptionVolatilityStructure>(
new SwaptionVolCube1x(atmVol,
optionTenors,
swapTenors,
strikeSpreads,
volSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit,
guess,
isParameterFixed,
isAtmCalibrated));
SabrVolCube1.link.enableExtrapolation();
yieldCurveModels = new List <GFunctionFactory.YieldCurveModel>();
yieldCurveModels.Add(GFunctionFactory.YieldCurveModel.Standard);
yieldCurveModels.Add(GFunctionFactory.YieldCurveModel.ExactYield);
yieldCurveModels.Add(GFunctionFactory.YieldCurveModel.ParallelShifts);
yieldCurveModels.Add(GFunctionFactory.YieldCurveModel.NonParallelShifts);
yieldCurveModels.Add(GFunctionFactory.YieldCurveModel.NonParallelShifts); // for linear tsr model
Handle <Quote> zeroMeanRev = new Handle <Quote>(new SimpleQuote(0.0));
numericalPricers = new List <CmsCouponPricer>();
analyticPricers = new List <CmsCouponPricer>();
for (int j = 0; j < yieldCurveModels.Count; ++j)
{
if (j < yieldCurveModels.Count - 1)
{
numericalPricers.Add(new NumericHaganPricer(atmVol, yieldCurveModels[j], zeroMeanRev));
}
else
{
numericalPricers.Add(new LinearTsrPricer(atmVol, zeroMeanRev));
}
analyticPricers.Add(new AnalyticHaganPricer(atmVol, yieldCurveModels[j], zeroMeanRev));
}
}
public void testCrankNicolsonWithDamping()
{
SavedSettings backup = new SavedSettings();
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
YieldTermStructure qTS = Utilities.flatRate(today, 0.06, dc);
YieldTermStructure rTS = Utilities.flatRate(today, 0.06, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, 0.35, dc);
StrikedTypePayoff payoff =
new CashOrNothingPayoff(Option.Type.Put, 100, 10.0);
double maturity = 0.75;
Date exDate = today + Convert.ToInt32(maturity * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
BlackScholesMertonProcess process = new
BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine =
new AnalyticEuropeanEngine(process);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double expectedPV = opt.NPV();
double expectedGamma = opt.gamma();
// fd pricing using implicit damping steps and Crank Nicolson
int csSteps = 25, dampingSteps = 3, xGrid = 400;
List <int> dim = new InitializedList <int>(1, xGrid);
FdmLinearOpLayout layout = new FdmLinearOpLayout(dim);
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(
dim[0], process, maturity, payoff.strike(),
null, null, 0.0001, 1.5,
new Pair <double?, double?>(payoff.strike(), 0.01));
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
FdmBlackScholesOp map =
new FdmBlackScholesOp(mesher, process, payoff.strike());
FdmInnerValueCalculator calculator =
new FdmLogInnerValue(payoff, mesher, 0);
object rhs = new Vector(layout.size());
Vector x = new Vector(layout.size());
FdmLinearOpIterator endIter = layout.end();
for (FdmLinearOpIterator iter = layout.begin(); iter != endIter;
++iter)
{
(rhs as Vector)[iter.index()] = calculator.avgInnerValue(iter, maturity);
x[iter.index()] = mesher.location(iter, 0);
}
FdmBackwardSolver solver = new FdmBackwardSolver(map, new FdmBoundaryConditionSet(),
new FdmStepConditionComposite(),
new FdmSchemeDesc().Douglas());
solver.rollback(ref rhs, maturity, 0.0, csSteps, dampingSteps);
MonotonicCubicNaturalSpline spline = new MonotonicCubicNaturalSpline(x, x.Count, rhs as Vector);
double s = spot.value();
double calculatedPV = spline.value(Math.Log(s));
double calculatedGamma = (spline.secondDerivative(Math.Log(s))
- spline.derivative(Math.Log(s))) / (s * s);
double relTol = 2e-3;
if (Math.Abs(calculatedPV - expectedPV) > relTol * expectedPV)
{
QAssert.Fail("Error calculating the PV of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedPV +
"\n calculated: " + calculatedPV);
}
if (Math.Abs(calculatedGamma - expectedGamma) > relTol * expectedGamma)
{
QAssert.Fail("Error calculating the Gamma of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedGamma +
"\n calculated: " + calculatedGamma);
}
}
public void testVannaVolgaDoubleBarrierValues()
{
// Testing double-barrier FX options against Vanna/Volga values
SavedSettings backup = new SavedSettings();
DoubleBarrierFxOptionData[] values =
{
// BarrierType, barr.1, barr.2, rebate, type, strike, s, q, r, t, vol25Put, volAtm,vol25Call, vol, result, tol
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.14413, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.07456, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02710, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.00569, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.00013, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.00017, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.00353, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02221, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.06049, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.11103, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.19981, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.10389, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03555, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.00634, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.00436, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03173, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.09346, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.17704, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = new Date(05, Month.Mar, 2013);
Settings.setEvaluationDate(today);
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 vol25Put = new SimpleQuote(0.0);
SimpleQuote volAtm = new SimpleQuote(0.0);
SimpleQuote vol25Call = new SimpleQuote(0.0);
for (int i = 0; i < values.Length; i++)
{
for (int j = 0; j <= 1; j++)
{
DoubleBarrier.Type barrierType = (DoubleBarrier.Type)j;
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol25Put.setValue(values[i].vol25Put);
volAtm.setValue(values[i].volAtm);
vol25Call.setValue(values[i].vol25Call);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + (int)(values[i].t * 365 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Handle <DeltaVolQuote> volAtmQuote = new Handle <DeltaVolQuote>(
new DeltaVolQuote(new Handle <Quote>(volAtm), DeltaVolQuote.DeltaType.Fwd, values[i].t,
DeltaVolQuote.AtmType.AtmDeltaNeutral));
//always delta neutral atm
Handle <DeltaVolQuote> vol25PutQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(-0.25,
new Handle <Quote>(vol25Put), values[i].t, DeltaVolQuote.DeltaType.Fwd));
Handle <DeltaVolQuote> vol25CallQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(0.25,
new Handle <Quote>(vol25Call), values[i].t, DeltaVolQuote.DeltaType.Fwd));
DoubleBarrierOption doubleBarrierOption = new DoubleBarrierOption(barrierType,
values[i].barrier1, values[i].barrier2, values[i].rebate, payoff, exercise);
double bsVanillaPrice = Utils.blackFormula(values[i].type, values[i].strike,
spot.value() * qTS.discount(values[i].t) / rTS.discount(values[i].t),
values[i].v * Math.Sqrt(values[i].t), rTS.discount(values[i].t));
IPricingEngine vannaVolgaEngine;
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new WulinYongDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
double expected = 0;
if (barrierType == DoubleBarrier.Type.KnockOut)
{
expected = values[i].result;
}
else if (barrierType == DoubleBarrier.Type.KnockIn)
{
expected = (bsVanillaPrice - values[i].result);
}
double calculated = doubleBarrierOption.NPV();
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new AnalyticDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
calculated = doubleBarrierOption.NPV();
error = Math.Abs(calculated - expected);
double maxtol = 5.0e-3; // different engines have somewhat different results
if (error > maxtol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
}
public void testMultiPathGenerator()
{
//("Testing n-D path generation against cached values...");
//SavedSettings backup;
Settings.setEvaluationDate(new Date(26, 4, 2005));
Handle <Quote> x0 = new Handle <Quote> (new SimpleQuote(100.0));
Handle <YieldTermStructure> r = new Handle <YieldTermStructure> (Utilities.flatRate(0.05, new Actual360()));
Handle <YieldTermStructure> q = new Handle <YieldTermStructure> (Utilities.flatRate(0.02, new Actual360()));
Handle <BlackVolTermStructure> sigma = new Handle <BlackVolTermStructure> (Utilities.flatVol(0.20, new Actual360()));
Matrix correlation = new Matrix(3, 3);
correlation[0, 0] = 1.0; correlation[0, 1] = 0.9; correlation[0, 2] = 0.7;
correlation[1, 0] = 0.9; correlation[1, 1] = 1.0; correlation[1, 2] = 0.4;
correlation[2, 0] = 0.7; correlation[2, 1] = 0.4; correlation[2, 2] = 1.0;
List <StochasticProcess1D> processes = new List <StochasticProcess1D>(3);
StochasticProcess process;
processes.Add(new BlackScholesMertonProcess(x0, q, r, sigma));
processes.Add(new BlackScholesMertonProcess(x0, q, r, sigma));
processes.Add(new BlackScholesMertonProcess(x0, q, r, sigma));
process = new StochasticProcessArray(processes, correlation);
// commented values must be used when Halley's correction is enabled
double[] result1 =
{
188.2235868185,
270.6713069569,
113.0431145652
};
// Real result1[] = {
// 188.2235869273,
// 270.6713071508,
// 113.0431145652 };
double[] result1a =
{
64.89105742957,
45.12494404804,
108.0475146914
};
// Real result1a[] = {
// 64.89105739157,
// 45.12494401537,
// 108.0475146914 };
testMultiple(process, "Black-Scholes", result1, result1a);
processes[0] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[1] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[2] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
process = new StochasticProcessArray(processes, correlation);
double[] result2 =
{
174.8266131680,
237.2692443633,
119.1168555440
};
// Real result2[] = {
// 174.8266132344,
// 237.2692444869,
// 119.1168555605 };
double[] result2a =
{
57.69082393020,
38.50016862915,
116.4056510107
};
// Real result2a[] = {
// 57.69082387657,
// 38.50016858691,
// 116.4056510107 };
testMultiple(process, "geometric Brownian", result2, result2a);
processes[0] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[1] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[2] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
process = new StochasticProcessArray(processes, correlation);
double[] result3 =
{
0.2942058437284,
0.5525006418386,
0.02650931054575
};
double[] result3a =
{
-0.2942058437284,
-0.5525006418386,
-0.02650931054575
};
testMultiple(process, "Ornstein-Uhlenbeck", result3, result3a);
processes[0] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[1] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[2] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
process = new StochasticProcessArray(processes, correlation);
double[] result4 =
{
4.279510844897,
4.943783503533,
3.590930385958
};
double[] result4a =
{
2.763967737724,
2.226487196647,
3.503859264341
};
testMultiple(process, "square-root", result4, result4a);
}
public void testEuropeanHaugValues()
{
// Testing double barrier european options against Haug's values
Exercise.Type european = Exercise.Type.European;
NewBarrierOptionData[] values =
{
/* The data below are from
* "The complete guide to option pricing formulas 2nd Ed",E.G. Haug, McGraw-Hill, p.156 and following.
*
* Note:
* The book uses b instead of q (q=r-b)
*/
// BarrierType, barr.lo, barr.hi, type, exercise,strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3515, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 6.1644, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 7.0373, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.9853, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 7.9336, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 6.5088, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3505, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 5.8500, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.7726, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.8082, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 6.3383, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 4.3841, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3139, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 4.8293, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 3.7765, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 5.9697, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.0004, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 2.2563, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 3.7516, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 2.6387, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 1.4903, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 3.5805, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.5098, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.5635, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.2055, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.3098, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 0.0477, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.5537, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 0.0441, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.0011, 1.0e-4),
// BarrierType, barr.lo, barr.hi, type, exercise,strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7855, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.7191, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1374, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.7033, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 7.1683, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7845, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.6060, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1374, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.6236, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 6.1062, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7014, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 4.6472, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1325, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 3.8944, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 3.5868, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8600, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 2.6866, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 2.0719, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 1.8883, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.7851, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.8244, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.9473, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.3449, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 0.0578, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.4555, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 0.0491, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.0013, 1.0e-4),
// BarrierType, barr.lo, barr.hi, type, strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0000, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.0900, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 1.1537, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.0292, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.6487, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 5.7321, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0010, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.4045, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 2.4184, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.2062, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 3.2439, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 7.8569, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0376, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 1.4252, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 4.4145, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 1.0447, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 5.5818, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 9.9846, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.5999, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.6158, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 6.7007, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 3.4340, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 8.0724, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 11.6774, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 3.1460, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 5.9447, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 8.1432, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.4608, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 9.5382, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 12.2398, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
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);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + (int)(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
DoubleBarrierOption opt = new DoubleBarrierOption(values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, 0, // no rebate
payoff, exercise);
// Ikeda/Kunitomo engine
IPricingEngine engine = new AnalyticDoubleBarrierEngine(stochProcess);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE("Ikeda/Kunitomo value", values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
expected, calculated, error, values[i].tol);
}
// Wulin Suo/Yong Wang engine
engine = new WulinYongDoubleBarrierEngine(stochProcess);
opt.setPricingEngine(engine);
calculated = opt.NPV();
expected = values[i].result;
error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE("Wulin/Yong value", values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
