public void PVFacts()
{
var t = 1.0;
var t2 = 2.0;
var k = 0;
var f = 100;
var vol = 0.32;
var rf = 0.05;
var cp = OptionType.P;
//expired is worthless
var PV = TurnbullWakeman.PV(f, 0, vol, 0, t, 0, rf, OptionType.P);
Assert.Equal(0, PV, 10);
PV = TurnbullWakeman.PV(f, 0, vol, 0, t, 0, rf, OptionType.C);
Assert.Equal(0, PV, 10);
//zero strike put is worthless
PV = TurnbullWakeman.PV(f, 0, vol, 0, t, t2, rf, cp);
Assert.Equal(0, PV, 10);
PV = TurnbullWakeman.PV(f, 50, vol, 0, -0.1, t2, rf, cp);
Assert.Equal(0, PV, 10);
//zero strike call is worth discounted fwd
cp = OptionType.C;
PV = TurnbullWakeman.PV(f, 0, vol, 0, t, t2, rf, cp);
Assert.Equal(System.Math.Exp(-rf * t2) * f, PV, 2);
//OTM option with zero vol is worthless
vol = 0.0;
k = f + 1;
PV = TurnbullWakeman.PV(f, k, vol, 0, t, t2, rf, cp);
Assert.Equal(0, PV, 10);
//put-call parity at f==k
k = f;
vol = 0.32;
var PVcall = TurnbullWakeman.PV(f, 0, vol, k, t, t2, rf, OptionType.C);
var PVput = TurnbullWakeman.PV(f, 0, vol, k, t, t2, rf, OptionType.P);
Assert.Equal(PVcall, PVput, 2);
//independent fwds version
var valDate = new DateTime(2019, 10, 24);
var fixingStartDate = new DateTime(2019, 10, 01);
var fixingEndDate = new DateTime(2019, 10, 25);
var fixingDates = DateExtensions.BusinessDaysInPeriod(fixingStartDate, fixingEndDate, TestProviderHelper.CalendarProvider.Collection["NYC"]).ToArray();
var fwds = fixingDates.Select(x => 100.0).ToArray();
var sigmas = fixingDates.Select(x => 0.32).ToArray();
PV = TurnbullWakeman.PV(fwds, fixingDates, valDate, fixingEndDate, sigmas, 1, 0.0, OptionType.C, true);
var blackPV = BlackFunctions.BlackPV(100.0, 1, 0.0, 1 / 365.0, 0.32, OptionType.C);
Assert.Equal(blackPV, PV, 4);
}
