public void TestBondOptionPrice()
{
var settleDate = new Date(2008, 1, 17); // Option related
var maturityDate = new Date(2009, 8, 1); // Bond related
var forwardDate = new Date(2008, 4, 17); // Forward related
var notional = 1000000.0; //
var annualCouponRate = 0.13; // According to JSE Bond Pricer for R153
var couponMonth1 = 2; //
var couponDay1 = 28; //
var couponMonth2 = 8; //
var couponDay2 = 31; //
var booksCloseDateDays = 10; //
var zaCalendar = new Calendar("Test"); //
var bondOptionR153 = new JSEBondOption(forwardDate, maturityDate, PutOrCall.Call, settleDate); //
var bondForwardR153 = new JSEBondForward(forwardDate, maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0930; //
var repo = 0.1075; // See example
var strike = 0.09; //
var vol = 0.07; //
var results = JSEBondOptionEx.BlackOption(bondOptionR153, strike, vol, repo, bondForwardR153, ytm);
Assert.AreEqual(103.8547113436135, (double)results.GetScalar(JSEBondOptionEx.Keys.BlackOption), 1e-8);
}
/// <summary>
///
/// </summary>
/// <param name="bondforward"></param>
/// <param name="settleDate"></param>
/// <param name="ytm"></param>
/// <param name="repo"></param>
/// <returns></returns>
public static ResultStore ForwardPrice(this JSEBondForward bondforward, Date settleDate, double ytm, double repo)
{
var N = 100.0;
var couponamount = N * bondforward.underlyingBond.annualCouponRate / 2;
var forwardDate = bondforward.forwardDate;
if (settleDate > forwardDate)
{
throw new ArgumentException("settlement date must be before forward date.");
}
// get all-in price of underlying bond
var results = bondforward.underlyingBond.GetSpotMeasures(settleDate, ytm);
var AIP = (double)results.GetScalar(BesaJseBondEx.Keys.RoundedAip);
// calculate Unadjusted Forward Price
var dt = (double)(forwardDate - settleDate) / 365;
var ForwardPrice = AIP * (1 + repo * dt);
// get coupon dates between settlement and forward date and calculate equivalent value function
var CouponDates = GetCouponDates(bondforward.underlyingBond, settleDate, forwardDate);
// adjust forward price for any coupons the counterparty might receive
var EV = new List <double>();
double AdjustedForwardPrice = 0;
if (CouponDates.Any())
{
foreach (var date in CouponDates)
{
if (date <= forwardDate)
{
EV.Add(1 + repo * (forwardDate - date) / 365);
}
else
{
EV.Add(Math.Pow(1 + repo * (date - forwardDate) / 365, -1));
}
}
AdjustedForwardPrice = ForwardPrice - couponamount * EV.Sum();
}
else
{
AdjustedForwardPrice = ForwardPrice;
}
var resultStore = new ResultStore();
resultStore.Add(Keys.ForwardPrice, AdjustedForwardPrice);
return(resultStore);
}
public static double BesaJseForwardPrice(
[ExcelArgument(Description = "The underlying bond.")]
JSEBondForward bondforward,
[ExcelArgument(Description = "The settlement date of the bond.")]
Date settleDate,
[ExcelArgument(Description = "The yield to maturity of the bond.")]
double ytm,
[ExcelArgument(Description = "The repo rate of the bond.")]
double repo)
{
var result = (double)bondforward.ForwardPrice(settleDate, ytm, repo).GetScalar(JSEBondForwardEx.Keys.ForwardPrice);
return(result);
}
// HelpTopic = "http://www.quantsa.org/")] // TODO:
public static double FormulaBondOption([ExcelArgument(Description = "The underlying bond option.")]
JSEBondOption bondOptionR153,
[ExcelArgument(Description = "The strike/struck rate of the option.")]
double strike,
[ExcelArgument(Description = "Annualized volatility.")]
double vol,
[ExcelArgument(Description = "The repo rate of the deal.")]
double repo,
[ExcelArgument(Description = "The yield to maturity of the bond.")]
double ytm,
[ExcelArgument(Description = "The underlying bond forward from which the forward price is derived.")]
JSEBondForward bondForward)
{
var bondOptionPrice = (double)JSEBondOptionEx.BlackOption(bondOptionR153, strike, vol, repo, bondForward, ytm).GetScalar(JSEBondOptionEx.Keys.BlackOption);
return(bondOptionPrice);
}
public void TestSettlementDateGreaterThanForwardDate_ReturnArgumentException()
{
var settleDate = new Date(2006, 6, 20);
var forwardDate = new Date(2006, 6, 19);
var maturityDate = new Date(2026, 12, 21);
var notional = 1000000.0;
var annualCouponRate = 0.105;
var couponMonth1 = 6;
var couponDay1 = 21;
var couponMonth2 = 12;
var couponDay2 = 21;
var booksCloseDateDays = 10;
var zaCalendar = new Calendar("Test");
var bondForward = new JSEBondForward(forwardDate, maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0715;
var repo = 0.065;
Assert.ThrowsException <ArgumentException>(() => bondForward.ForwardPrice(settleDate, ytm, repo));
}
public void TestBondForwardPrice()
{
var settleDate = new Date(2008, 1, 17);
var forwardDate = new Date(2008, 4, 17);
var maturityDate = new Date(2009, 8, 1);
var notional = 1000000.0;
var annualCouponRate = 0.13;
var couponMonth1 = 2;
var couponDay1 = 28;
var couponMonth2 = 8;
var couponDay2 = 31;
var booksCloseDateDays = 10;
var zaCalendar = new Calendar("Test");
var bondForward = new JSEBondForward(forwardDate, maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0930;
var repo = 0.1075;
var results = bondForward.ForwardPrice(settleDate, ytm, repo);
Assert.AreEqual(106.76579546732876, (double)results.GetScalar(JSEBondForwardEx.Keys.ForwardPrice), 1e-8);
}
// No books close date that lies in between settlement and forward date
public void TestForwardPriceCase3()
{
var settleDate = new Date(2006, 6, 1);
var forwardDate = new Date(2006, 6, 8);
var maturityDate = new Date(2026, 12, 21);
var notional = 1000000.0;
var annualCouponRate = 0.105;
var couponMonth1 = 6;
var couponDay1 = 21;
var couponMonth2 = 12;
var couponDay2 = 21;
var booksCloseDateDays = 10;
var zaCalendar = new Calendar("Test");
var bondForward = new JSEBondForward(forwardDate, maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0715;
var repo = 0.065;
var results = bondForward.ForwardPrice(settleDate, ytm, repo);
Assert.AreEqual(140.63595504, (double)results.GetScalar(JSEBondForwardEx.Keys.ForwardPrice), 1e-8);
}
public static ResultStore BlackOption(JSEBondOption bondoption, double strike, double vol, double repo, JSEBondForward bond, double yieldToMaturity)
{
var settleDate = bondoption.settleDate;
var timeToMaturity = bondoption.timeToMaturity;
var ytm = yieldToMaturity;
var bondforwardprice1 = (double)bond.ForwardPrice(settleDate, ytm, repo).GetScalar(JSEBondForwardEx.Keys.ForwardPrice);
var discountFactor = Math.Exp(-repo * timeToMaturity);
var optionPrice = BlackEtc.Black(PutOrCall.Call, strike, timeToMaturity, bondforwardprice1, vol, discountFactor);
var resultStore = new ResultStore();
resultStore.Add(Keys.BlackOption, optionPrice);
return(resultStore);
}
