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); } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(PercentageStrikePayoff obj) { return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr; }
private void testOptionGreeks(ForwardVanillaEngine.GetOriginalEngine getEngine) { SavedSettings backup = new SavedSettings(); Dictionary <String, double> calculated = new Dictionary <string, double>(), expected = new Dictionary <string, double>(), tolerance = new Dictionary <string, double>(); tolerance["delta"] = 1.0e-5; tolerance["gamma"] = 1.0e-5; tolerance["theta"] = 1.0e-5; tolerance["rho"] = 1.0e-5; tolerance["divRho"] = 1.0e-5; tolerance["vega"] = 1.0e-5; Option.Type[] types = { Option.Type.Call, Option.Type.Put }; double[] moneyness = { 0.9, 1.0, 1.1 }; double[] underlyings = { 100.0 }; double[] qRates = { 0.04, 0.05, 0.06 }; double[] rRates = { 0.01, 0.05, 0.15 }; int[] lengths = { 1, 2 }; Frequency[] frequencies = { Frequency.Semiannual, Frequency.Quarterly, }; double[] vols = { 0.11, 0.50, 1.20 }; 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)); BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS); for (int i = 0; i < types.Length; i++) { for (int j = 0; j < moneyness.Length; j++) { for (int k = 0; k < lengths.Length; k++) { for (int kk = 0; kk < frequencies.Length; kk++) { EuropeanExercise maturity = new EuropeanExercise(today + new Period(lengths[k], TimeUnit.Years)); PercentageStrikePayoff payoff = new PercentageStrikePayoff(types[i], moneyness[j]); List <Date> reset = new List <Date>(); for (Date d = today + new Period(frequencies[kk]); d < maturity.lastDate(); d += new Period(frequencies[kk])) { reset.Add(d); } IPricingEngine engine = getEngine(process); CliquetOption option = new CliquetOption(payoff, maturity, reset); option.setPricingEngine(engine); for (int l = 0; l < underlyings.Length; l++) { for (int m = 0; m < qRates.Length; m++) { for (int n = 0; n < rRates.Length; n++) { for (int p = 0; p < vols.Length; p++) { double u = underlyings[l]; double q = qRates[m], r = rRates[n]; double v = vols[p]; spot.setValue(u); qRate.setValue(q); rRate.setValue(r); vol.setValue(v); double value = option.NPV(); calculated["delta"] = option.delta(); calculated["gamma"] = option.gamma(); calculated["theta"] = option.theta(); calculated["rho"] = option.rho(); calculated["divRho"] = option.dividendRho(); calculated["vega"] = option.vega(); if (value > spot.value() * 1.0e-5) { // perturb spot and get delta and gamma double du = u * 1.0e-4; spot.setValue(u + du); double value_p = option.NPV(), delta_p = option.delta(); spot.setValue(u - du); double value_m = option.NPV(), delta_m = option.delta(); spot.setValue(u); expected["delta"] = (value_p - value_m) / (2 * du); expected["gamma"] = (delta_p - delta_m) / (2 * du); // perturb rates and get rho and dividend rho double dr = r * 1.0e-4; rRate.setValue(r + dr); value_p = option.NPV(); rRate.setValue(r - dr); value_m = option.NPV(); rRate.setValue(r); expected["rho"] = (value_p - value_m) / (2 * dr); double dq = q * 1.0e-4; qRate.setValue(q + dq); value_p = option.NPV(); qRate.setValue(q - dq); value_m = option.NPV(); qRate.setValue(q); expected["divRho"] = (value_p - value_m) / (2 * dq); // perturb volatility and get vega double dv = v * 1.0e-4; vol.setValue(v + dv); value_p = option.NPV(); vol.setValue(v - dv); value_m = option.NPV(); vol.setValue(v); expected["vega"] = (value_p - value_m) / (2 * dv); // perturb date and get theta double dT = dc.yearFraction(today - 1, today + 1); Settings.setEvaluationDate(today - 1); value_m = option.NPV(); Settings.setEvaluationDate(today + 1); value_p = option.NPV(); Settings.setEvaluationDate(today); expected["theta"] = (value_p - value_m) / dT; // compare foreach (var it in calculated) { String greek = it.Key; double expct = expected [greek], calcl = calculated[greek], tol = tolerance [greek]; double error = Utilities.relativeError(expct, calcl, u); if (error > tol) { REPORT_FAILURE(greek, payoff, maturity, u, q, r, today, v, expct, calcl, error, tol); } } } } } } } } } } } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(PercentageStrikePayoff obj) { return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr); }