public override string ToString()
{
return(String.Format("Stock: {0}, currency:{1}, type:{2}, socktype:{3}, lastdividend: {4}, fixeddividend:{5}, parvalue:{6} ",
Symbol,
Currency,
StockType.ToString(),
LastDividend.ToString("F"),
FixedDividend.ToString("F"),
StockType.ToString("F"),
ParValue.ToString("F")
));
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FixedDividend obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FixedDividend obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
static void Main(string[] args)
{
try
{
Option.Type type = Option.Type.Put;
double underlying = 36.0;
double spreadRate = 0.005;
double dividendYield = 0.02;
double riskFreeRate = 0.06;
double volatility = 0.2;
int settlementDays = 3;
int length = 5;
double redemption = 100.0;
double conversionRatio = redemption / underlying; // at the money
// set up dates/schedules
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Date settlementDate = calendar.advance(today, settlementDays, TimeUnit.Days);
Date exerciseDate = calendar.advance(settlementDate, length, TimeUnit.Years);
Date issueDate = calendar.advance(exerciseDate, -length, TimeUnit.Years);
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
Frequency frequency = Frequency.Annual;
Schedule schedule = new Schedule(issueDate, exerciseDate,
new Period(frequency), calendar, convention, convention,
DateGeneration.Rule.Backward, false);
DividendSchedule dividends = new DividendSchedule();
CallabilitySchedule callability = new CallabilitySchedule();
List <double> coupons = new InitializedList <double>(1, 0.05);
DayCounter bondDayCount = new Thirty360();
int[] callLength = { 2, 4 }; // Call dates, years 2,4.
int[] putLength = { 3 }; // Put dates year 3.
double[] callPrices = { 101.5, 100.85 };
double[] putPrices = { 105.0 };
// Load call schedules
for (int i = 0; i < callLength.Length; i++)
{
SoftCallability s = new SoftCallability(
new Callability.Price(callPrices[i], Callability.Price.Type.Clean), schedule.date(callLength[i]),
1.20);
callability.Add(s);
}
for (int j = 0; j < putLength.Length; j++)
{
Callability s = new Callability(new Callability.Price(putPrices[j], Callability.Price.Type.Clean),
Callability.Type.Put, schedule.date(putLength[j]));
callability.Add(s);
}
// Assume dividends are paid every 6 months .
for (Date d = today + new Period(6, TimeUnit.Months); d < exerciseDate; d += new Period(6, TimeUnit.Months))
{
Dividend div = new FixedDividend(1.0, d);
dividends.Add(div);
}
DayCounter dayCounter = new Actual365Fixed();
double maturity = dayCounter.yearFraction(settlementDate, exerciseDate);
Console.WriteLine("option type = " + type);
Console.WriteLine("Time to maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Risk-free interest rate = {0:0.0%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.0%}%", dividendYield);
Console.WriteLine("Volatility = {0:0.0%}%", volatility);
Console.WriteLine("");
// write column headings
int[] widths = { 35, 14, 14 };
int totalWidth = widths[0] + widths[1] + widths[2];
string rule = new string('-', totalWidth);
string dblrule = new string('=', totalWidth);
Console.WriteLine(dblrule);
Console.WriteLine("Tsiveriotis-Fernandes method");
Console.WriteLine(dblrule);
Console.WriteLine("Tree Type European American ");
Console.WriteLine(rule);
Exercise exercise = new EuropeanExercise(exerciseDate);
Exercise amexercise = new AmericanExercise(settlementDate, exerciseDate);
Handle <Quote> underlyingH = new Handle <Quote>(new SimpleQuote(underlying));
Handle <YieldTermStructure> flatTermStructure =
new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
Handle <YieldTermStructure> flatDividendTS =
new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
Handle <BlackVolTermStructure> flatVolTS =
new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility,
dayCounter));
BlackScholesMertonProcess stochasticProcess =
new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
int timeSteps = 801;
Handle <Quote> creditSpread = new Handle <Quote>(new SimpleQuote(spreadRate));
Quote rate = new SimpleQuote(riskFreeRate);
Handle <YieldTermStructure> discountCurve =
new Handle <YieldTermStructure>(new FlatForward(today, new Handle <Quote>(rate), dayCounter));
IPricingEngine engine = new BinomialConvertibleEngine <JarrowRudd>(stochasticProcess, timeSteps);
ConvertibleFixedCouponBond europeanBond = new ConvertibleFixedCouponBond(exercise, conversionRatio,
dividends, callability, creditSpread, issueDate, settlementDays, coupons, bondDayCount, schedule,
redemption);
europeanBond.setPricingEngine(engine);
ConvertibleFixedCouponBond americanBond = new ConvertibleFixedCouponBond(amexercise, conversionRatio,
dividends, callability, creditSpread, issueDate, settlementDays, coupons, bondDayCount, schedule,
redemption);
americanBond.setPricingEngine(engine);
Console.WriteLine("Jarrow-Rudd {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein>(stochasticProcess, timeSteps));
Console.WriteLine("CoxRossRubinstein {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <AdditiveEQPBinomialTree>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <AdditiveEQPBinomialTree>(stochasticProcess, timeSteps));
Console.WriteLine("AdditiveEQPBinomialTree {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <Trigeorgis>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <Trigeorgis>(stochasticProcess, timeSteps));
Console.WriteLine("Trigeorgis {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <Tian>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <Tian>(stochasticProcess, timeSteps));
Console.WriteLine("Tian {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <LeisenReimer>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <LeisenReimer>(stochasticProcess, timeSteps));
Console.WriteLine("LeisenReimer {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <Joshi4>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <Joshi4>(stochasticProcess, timeSteps));
Console.WriteLine("Joshi4 {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
Console.WriteLine("===========================================================================");
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
Console.ReadKey();
}