public void TestEquitySimulatorForwardAndVol()
{
var N = 100000;
var sharePrices = Matrix.Zeros(N, 3);
var sim = new EquitySimulator(shares, prices, vols, divYields, correlations, discountCurve,
rateForecastCurves);
sim.Reset();
var simDate = new List <Date> {
anchorDate.AddMonths(120)
};
double dt = (simDate[0] - anchorDate) / 365;
sim.SetRequiredDates(shares[0], simDate);
sim.Prepare();
for (var i = 0; i < N; i++)
{
sim.RunSimulation(i);
sharePrices[i, 0] = sim.GetIndices(shares[0], simDate)[0];
sharePrices[i, 1] = sim.GetIndices(shares[1], simDate)[0];
sharePrices[i, 2] = sim.GetIndices(shares[2], simDate)[0];
}
var mean = sharePrices.GetColumn(0).Mean();
var refValue = prices[0] * Math.Exp(-divYields[0] * dt) / discountCurve.GetDF(simDate[0]);
Assert.AreEqual(refValue, mean, 2.0);
var corr = sharePrices.Log().Correlation();
Assert.AreEqual(corr[1, 0], 0.4, 0.05);
Assert.AreEqual(corr[2, 0], 0.5, 0.05);
Assert.AreEqual(corr[2, 1], 0.6, 0.05);
}
public void TestProductWrapperEquityValuation()
{
Product product1 = new ProductWrapperEquitySample1();
Product product2 = new ProductWrapperEquitySample2();
// The model
Date anchorDate = new Date(2016, 09, 30);
Share[] shares = new Share[] { new Share("ALSI", Currency.ZAR), new Share("AAA", Currency.ZAR), new Share("BBB", Currency.ZAR) };
double[] prices = { 200, 50, 100 };
double[] vols = { 0.22, 0.52, 0.4 };
double[] divYields = { 0.03, 0.0, 0.0 };
double[,] correlations = { { 1.0, 0.5, 0.5 },
{ 0.5, 1.0, 0.5 },
{ 0.5, 0.5, 1.0 } };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, anchorDate,
new Date[] { anchorDate, anchorDate.AddMonths(36) },
new double[] { 0.07, 0.07 });
EquitySimulator sim = new EquitySimulator(shares, prices, vols, divYields, correlations, discountCurve, new IFloatingRateSource[0]);
Coordinator coordinator = new Coordinator(sim, new List <Simulator> {
}, 40000);
//Valuation
double value1 = coordinator.Value(new Product[] { product1 }, anchorDate);
double value2 = coordinator.Value(new Product[] { product2 }, anchorDate);
Assert.AreEqual(value1, value2, value1 * 0.05);
}
public void TestValuationCoordinator()
{
var exerciseDate = new Date(2017, 08, 28);
var shareCode = "AAA";
var strike = 100.0;
Product p = new EuropeanOption(new Share(shareCode, Currency.ZAR), strike, exerciseDate);
var shares = new[]
{
new Share(shareCode, Currency.ZAR)
}; // One needs to know the index that will be required by the product to simulate it.
var valueDate = new Date(2016, 08, 28);
var divYield = new[] { 0.02 };
var vol = new[] { 0.22 };
var spotPrice = new[] { 100.0 };
var correlations = new[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(120) },
new[] { 0.07, 0.07 });
var rateForecastCurves = new IFloatingRateSource[0];
var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
var coordinator = new Coordinator(sim, new List <Simulator>(), 10000);
var value = coordinator.Value(new[] { p }, valueDate);
var refValue = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365.0,
spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, value, refValue * 0.05);
}
public void TestIndexOnlyProvidedOnce()
{
var exerciseDate = new Date(2017, 08, 28);
var shareCode = "AAA";
var strike = 100.0;
Product p = new EuropeanOption(new Share(shareCode, Currency.ZAR), strike, exerciseDate);
var shares = new[]
{
new Share("AAA", Currency.ZAR)
}; // One needs to know the index that will be required by the product to simulate it.
var valueDate = new Date(2016, 08, 28);
var divYield = new[] { 0.02 };
var vol = new[] { 0.22 };
var spotPrice = new[] { 100.0 };
var correlations = new[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(120) },
new[] { 0.07, 0.07 });
var rateForecastCurves = new IFloatingRateSource[0];
var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
var coordinator = new Coordinator(sim, new List <Simulator> {
sim
}, 1000);
var value = coordinator.Value(new[] { p }, valueDate);
}
public void TestDynamicCallFromFile()
{
Stopwatch watch;
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromScript(@"ScriptEuropeanOption.txt");
// Setup an appropriate simulation
var shares = new[]
{
new Share("AAA", TestHelpers.ZAR)
}; // One needs to know the index that will be required by the product to simulate it.
var valueDate = new Date(2016, 08, 28);
var divYield = new[] { 0.02 };
var vol = new[] { 0.22 };
var spotPrice = new[] { 100.0 };
var correlations = new[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(120) },
new[] { 0.07, 0.07 });
var rateForecastCurves = new IFloatingRateSource[0];
var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
// Value the runtime product
Coordinator coordinator;
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
watch = Stopwatch.StartNew();
var valueRuntime = coordinator.Value(new[] { runtimeProduct }, valueDate);
watch.Stop();
var timeRuntime = watch.ElapsedMilliseconds;
// Setup the same product statically
var exerciseDate = new Date(2017, 08, 28);
var strike = 100.0;
Product staticProduct = new EuropeanOption(new Share("AAA", TestHelpers.ZAR), strike, exerciseDate);
// Value the static product
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
watch = Stopwatch.StartNew();
var valueStatic = coordinator.Value(new[] { staticProduct }, valueDate);
watch.Stop();
var timeStatic = watch.ElapsedMilliseconds;
var refValue = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
Assert.AreEqual(refValue, valueStatic, refValue * 0.03);
}
public void EquitySimualtor_CanCloneViaSerialize()
{
var share = new Share("ABC", TestHelpers.ZAR);
var model = new EquitySimulator(new[] { share }, new[] { 100.0 }, new[] { 0.2 }, new[] { 0.0 },
new[, ] {
{ 1.0 }
}, TestHelpers.FlatDiscountCurve(), null);
var newModel = (EquitySimulator)Cloner.Clone(model);
}
public void TestEquitySimulatorProductWithRateForecast()
{
Product product = new ProductWithDiviAndFwd();
// The model
var sim = new EquitySimulator(shares, prices, vols, divYields, correlations, discountCurve,
rateForecastCurves);
var coordinator = new Coordinator(sim, new List <Simulator>(), 10000);
var value = coordinator.Value(new[] { product }, anchorDate);
Assert.AreEqual(31.6, value, 1.0);
}
public void TestEquitySimulatorMultiAssetCall()
{
// The model
var sim = new EquitySimulator(shares, prices, vols, divYields, correlations, discountCurve,
new IFloatingRateSource[0]);
var coordinator = new Coordinator(sim, new List <Simulator>(), 10000);
// Products
var exerciseDate = new Date(2017, 08, 28);
int p;
double strike;
// ALSI
p = 0;
strike = prices[p] * 1.05;
Product call0 = new EuropeanOption(shares[p], strike, exerciseDate);
var value0 = coordinator.Value(new[] { call0 }, anchorDate);
var refValue0 = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - anchorDate) / 365.0,
prices[p],
vols[p], 0.07, divYields[p]);
Assert.AreEqual(refValue0, value0, refValue0 * 0.05);
// AAA
p = 1;
strike = prices[p] * 1.05;
Product call1 = new EuropeanOption(shares[p], strike, exerciseDate);
var value1 = coordinator.Value(new[] { call1 }, anchorDate);
var refValue1 = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - anchorDate) / 365.0,
prices[p],
vols[p], 0.07, divYields[p]);
Assert.AreEqual(refValue1, value1, refValue1 * 0.05);
// BBB
p = 2;
strike = prices[p] * 1.05;
Product call2 = new EuropeanOption(shares[p], strike, exerciseDate);
var value2 = coordinator.Value(new[] { call2 }, anchorDate);
var refValue2 = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - anchorDate) / 365.0,
prices[p],
vols[p], 0.07, divYields[p]);
Assert.AreEqual(refValue1, value1, refValue1 * 0.05);
// All at once
var valueAll = coordinator.Value(new[] { call0, call1, call2 }, anchorDate);
var refTotal = refValue0 + refValue1 + refValue2;
Assert.AreEqual(refTotal, valueAll, refTotal * 0.05);
}
public void TestDynamicCallFromString()
{
var source =
@"Date exerciseDate = new Date(2017, 08, 28);
Share share = new Share(""AAA"", new Currency(""ZAR""));
double strike = 100.0;
public override List<Cashflow> GetCFs()
{
double amount = Math.Max(0, Get(share, exerciseDate) - strike);
return new List<Cashflow> { new Cashflow(exerciseDate, amount, share.Currency) };
}";
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Setup an approriate simulation
var shares = new[]
{
new Share("AAA", TestHelpers.ZAR)
}; // One needs to know the index that will be required by the product to simulate it.
var valueDate = new Date(2016, 08, 28);
var divYield = new[] { 0.02 };
var vol = new[] { 0.22 };
var spotPrice = new[] { 100.0 };
var correlations = new[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(120) },
new[] { 0.07, 0.07 });
var rateForecastCurves = new IFloatingRateSource[0];
var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
// Value the runtime product
Coordinator coordinator;
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
var valueRuntime = coordinator.Value(new[] { runtimeProduct }, valueDate);
var exerciseDate = new Date(2017, 08, 28);
var strike = 100.0;
var refValue = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
}
public void TestEquitySimulatorDivis()
{
EquitySimulator sim = new EquitySimulator(shares, prices, vols, divYields, correlations, discountCurve, rateForecastCurves);
List <Date> dates = new List <Date> {
anchorDate, anchorDate.AddMonths(6), anchorDate.AddMonths(12)
};
Dividend divi = new Dividend(shares[0]);
sim.Reset();
sim.SetRequiredDates(divi, dates);
sim.SetRequiredDates(shares[0], dates);
sim.Prepare();
sim.RunSimulation(0);
double[] divs = sim.GetIndices(divi, dates);
double[] shareprices = sim.GetIndices(shares[0], dates);
double[] fwdRates = sim.GetIndices(FloatingIndex.JIBAR3M, dates);
Assert.AreEqual(shareprices[1] * 184.0 / 365 * 0.03, divs[2], 0.01);
Assert.AreEqual(rateForecastCurves[0].GetForwardRate(dates[1]), fwdRates[1], 0.0001);
}
public void TestEquitySimulatorDivis()
{
var sim = new EquitySimulator(_shares, _prices, _vols, _divYields, _correlations, _discountCurve,
_rateForecastCurves);
var dates = new List <Date> {
_anchorDate, _anchorDate.AddMonths(6), _anchorDate.AddMonths(12)
};
var divi = new Dividend(_shares[0]);
sim.Reset();
sim.SetRequiredDates(divi, dates);
sim.SetRequiredDates(_shares[0], dates);
sim.Prepare(_anchorDate);
sim.RunSimulation(0);
var divs = sim.GetIndices(divi, dates);
var shareprices = sim.GetIndices(_shares[0], dates);
var fwdRates = sim.GetIndices(TestHelpers.Jibar3M, dates);
Assert.AreEqual(shareprices[1] * 184.0 / 365 * 0.03, divs[2], 0.01);
Assert.AreEqual(_rateForecastCurves[0].GetForwardRate(dates[1]), fwdRates[1], 0.0001);
}
