public void testFSpreaded()
{
// Testing consistency of forward-spreaded term structure
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Quote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(new Handle <YieldTermStructure>(vars.termStructure), mh);
Date testDate = vars.termStructure.referenceDate() + new Period(5, TimeUnit.Years);
DayCounter tsdc = vars.termStructure.dayCounter();
DayCounter sprdc = spreaded.dayCounter();
double forward = vars.termStructure.forwardRate(testDate, testDate, tsdc, Compounding.Continuous,
Frequency.NoFrequency).rate();
double spreadedForward = spreaded.forwardRate(testDate, testDate, sprdc, Compounding.Continuous,
Frequency.NoFrequency).rate();
if (Math.Abs(forward - (spreadedForward - me.value())) > tolerance)
{
QAssert.Fail("unable to reproduce forward from spreaded curve\n"
+ " calculated: "
+ (spreadedForward - me.value()) + "\n"
+ " expected: " + forward);
}
}
public void testZSpreaded()
{
// Testing consistency of zero-spreaded term structure
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Quote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
YieldTermStructure spreaded = new ZeroSpreadedTermStructure(new Handle <YieldTermStructure>(vars.termStructure), mh);
Date testDate = vars.termStructure.referenceDate() + new Period(5, TimeUnit.Years);
DayCounter rfdc = vars.termStructure.dayCounter();
double zero = vars.termStructure.zeroRate(testDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
double spreadedZero = spreaded.zeroRate(testDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
if (Math.Abs(zero - (spreadedZero - me.value())) > tolerance)
{
QAssert.Fail("unable to reproduce zero yield from spreaded curve\n"
+ " calculated: " + (spreadedZero - me.value()) + "\n"
+ " expected: " + zero);
}
}
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);
}
}
public void testLinearInterpolationMultipleSpreads()
{
// Testing linear interpolation with more than two spreaded dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.02);
SimpleQuote spread3 = new SimpleQuote(0.035);
SimpleQuote spread4 = new SimpleQuote(0.04);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
spreads.Add(new Handle <Quote>(spread3));
spreads.Add(new Handle <Quote>(spread4));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 90, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 30, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 40, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testBackwardFlatInterpolation()
{
// Testing backward flat interpolation between two dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
SimpleQuote spread3 = new SimpleQuote(0.04);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
spreads.Add(new Handle <Quote>(spread3));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 200, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 300, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 110, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <BackwardFlat>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread2.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testDerived()
{
// Testing derived quotes
Func <double, double>[] f = { add10, mul10, sub10 };
Quote me = new SimpleQuote(17.0);
Handle <Quote> h = new Handle <Quote>(me);
for (int i = 0; i < 3; i++)
{
DerivedQuote derived = new DerivedQuote(h, f[i]);
double x = derived.value(),
y = f[i](me.value());
if (Math.Abs(x - y) > 1.0e-10)
{
QAssert.Fail("derived quote yields " + x + "function result is " + y);
}
}
}
public void testComposite()
{
// Testing composite quotes
Func <double, double, double>[] f = { add, mul, sub };
Quote me1 = new SimpleQuote(12.0),
me2 = new SimpleQuote(13.0);
Handle <Quote> h1 = new Handle <Quote>(me1),
h2 = new Handle <Quote>(me2);
for (int i = 0; i < 3; i++)
{
CompositeQuote composite = new CompositeQuote(h1, h2, f[i]);
double x = composite.value(),
y = f[i](me1.value(), me2.value());
if (Math.Abs(x - y) > 1.0e-10)
{
QAssert.Fail("composite quote yields " + x + "function result is " + y);
}
}
}
public void testVannaVolgaDoubleBarrierValues()
{
// Testing double-barrier FX options against Vanna/Volga values
SavedSettings backup = new SavedSettings();
DoubleBarrierFxOptionData[] values =
{
// BarrierType, barr.1, barr.2, rebate, type, strike, s, q, r, t, vol25Put, volAtm,vol25Call, vol, result, tol
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.14413, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.07456, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02710, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.00569, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.00013, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.00017, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.00353, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02221, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.06049, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.11103, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.19981, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.10389, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03555, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.00634, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.00436, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03173, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.09346, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.17704, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = new Date(05, Month.Mar, 2013);
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol25Put = new SimpleQuote(0.0);
SimpleQuote volAtm = new SimpleQuote(0.0);
SimpleQuote vol25Call = new SimpleQuote(0.0);
for (int i = 0; i < values.Length; i++)
{
for (int j = 0; j <= 1; j++)
{
DoubleBarrier.Type barrierType = (DoubleBarrier.Type)j;
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol25Put.setValue(values[i].vol25Put);
volAtm.setValue(values[i].volAtm);
vol25Call.setValue(values[i].vol25Call);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + (int)(values[i].t * 365 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Handle <DeltaVolQuote> volAtmQuote = new Handle <DeltaVolQuote>(
new DeltaVolQuote(new Handle <Quote>(volAtm), DeltaVolQuote.DeltaType.Fwd, values[i].t,
DeltaVolQuote.AtmType.AtmDeltaNeutral));
//always delta neutral atm
Handle <DeltaVolQuote> vol25PutQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(-0.25,
new Handle <Quote>(vol25Put), values[i].t, DeltaVolQuote.DeltaType.Fwd));
Handle <DeltaVolQuote> vol25CallQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(0.25,
new Handle <Quote>(vol25Call), values[i].t, DeltaVolQuote.DeltaType.Fwd));
DoubleBarrierOption doubleBarrierOption = new DoubleBarrierOption(barrierType,
values[i].barrier1, values[i].barrier2, values[i].rebate, payoff, exercise);
double bsVanillaPrice = Utils.blackFormula(values[i].type, values[i].strike,
spot.value() * qTS.discount(values[i].t) / rTS.discount(values[i].t),
values[i].v * Math.Sqrt(values[i].t), rTS.discount(values[i].t));
IPricingEngine vannaVolgaEngine;
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new WulinYongDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
double expected = 0;
if (barrierType == DoubleBarrier.Type.KnockOut)
{
expected = values[i].result;
}
else if (barrierType == DoubleBarrier.Type.KnockIn)
{
expected = (bsVanillaPrice - values[i].result);
}
double calculated = doubleBarrierOption.NPV();
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new AnalyticDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
calculated = doubleBarrierOption.NPV();
error = Math.Abs(calculated - expected);
double maxtol = 5.0e-3; // different engines have somewhat different results
if (error > maxtol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
}
public void testPutCallParity()
{
// Testing put-call parity for deltas
// Test for put call parity between put and call deltas.
SavedSettings backup = new SavedSettings();
/* The data below are from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
* pag 11-16
*/
EuropeanOptionData[] values =
{
// pag 2-8
// type, strike, spot, q, r, t, vol, value, tol
new EuropeanOptionData(Option.Type.Call, 65.00, 60.00, 0.00, 0.08, 0.25, 0.30, 2.1334, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 95.00, 100.00, 0.05, 0.10, 0.50, 0.20, 2.4648, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 19.00, 19.00, 0.10, 0.10, 0.75, 0.28, 1.7011, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 19.00, 19.00, 0.10, 0.10, 0.75, 0.28, 1.7011, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 1.60, 1.56, 0.08, 0.06, 0.50, 0.12, 0.0291, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 70.00, 75.00, 0.05, 0.10, 0.50, 0.35, 4.0870, 1.0e-4),
// pag 24
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.15, 0.0205, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15, 1.8734, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 9.9413, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.25, 0.3150, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25, 3.1217, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 10.3556, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.35, 0.9474, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35, 4.3693, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 11.1381, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.15, 0.8069, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15, 4.0232, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 10.5769, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.25, 2.7026, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25, 6.6997, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 12.7857, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.35, 4.9329, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35, 9.3679, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 15.3086, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.15, 9.9210, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15, 1.8734, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 0.0408, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.25, 10.2155, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25, 3.1217, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 0.4551, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.35, 10.8479, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35, 4.3693, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 1.2376, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.15, 10.3192, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15, 4.0232, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 1.0646, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.25, 12.2149, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25, 6.6997, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 3.2734, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.35, 14.4452, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35, 9.3679, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 5.7963, 1.0e-4),
// pag 27
new EuropeanOptionData(Option.Type.Call, 40.00, 42.00, 0.08, 0.04, 0.75, 0.35, 5.0975, 1.0e-4)
};
DayCounter dc = new Actual360();
Calendar calendar = new TARGET();
Date today = Date.Today;
double discFor = 0.0;
double discDom = 0.0;
double implVol = 0.0;
double deltaCall = 0.0;
double deltaPut = 0.0;
double expectedDiff = 0.0;
double calculatedDiff = 0.0;
double error = 0.0;
double forward = 0.0;
SimpleQuote spotQuote = new SimpleQuote(0.0);
SimpleQuote qQuote = new SimpleQuote(0.0);
Handle <Quote> qHandle = new Handle <Quote>(qQuote);
YieldTermStructure qTS = new FlatForward(today, qHandle, dc);
SimpleQuote rQuote = new SimpleQuote(0.0);
Handle <Quote> rHandle = new Handle <Quote>(qQuote);
YieldTermStructure rTS = new FlatForward(today, rHandle, dc);
SimpleQuote volQuote = new SimpleQuote(0.0);
Handle <Quote> volHandle = new Handle <Quote>(volQuote);
BlackVolTermStructure volTS = new BlackConstantVol(today, calendar, volHandle, dc);
StrikedTypePayoff payoff;
Date exDate;
Exercise exercise;
double tolerance = 1.0e-10;
for (int i = 0; i < values.Length; ++i)
{
payoff = new PlainVanillaPayoff(Option.Type.Call, values[i].strike);
exDate = today + timeToDays(values[i].t);
exercise = new EuropeanExercise(exDate);
spotQuote.setValue(values[i].s);
volQuote.setValue(values[i].v);
rQuote.setValue(values[i].r);
qQuote.setValue(values[i].q);
discDom = rTS.discount(exDate);
discFor = qTS.discount(exDate);
implVol = Math.Sqrt(volTS.blackVariance(exDate, 0.0));
forward = spotQuote.value() * discFor / discDom;
BlackDeltaCalculator myCalc = new BlackDeltaCalculator(Option.Type.Call, DeltaVolQuote.DeltaType.Spot,
spotQuote.value(), discDom, discFor, implVol);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = discFor;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for spot delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.Fwd);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = 1.0;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for forward delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaSpot);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = discFor * values[i].strike / forward;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for premium-adjusted spot delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaFwd);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = values[i].strike / forward;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for premium-adjusted forward delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
}
}
public void testDeltaPriceConsistency()
{
// Testing premium-adjusted delta price consistency
// This function tests for price consistencies with the standard
// Black Scholes calculator, since premium adjusted deltas can be calculated
// from spot deltas by adding/subtracting the premium.
SavedSettings backup = new SavedSettings();
// actually, value and tol won't be needed for testing
EuropeanOptionData[] values =
{
// type, strike, spot, rd, rf, t, vol, value, tol
new EuropeanOptionData(Option.Type.Call, 0.9123, 1.2212, 0.0231, 0.0000, 0.25, 0.301, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 0.9234, 1.2212, 0.0231, 0.0000, 0.35, 0.111, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 0.9783, 1.2212, 0.0231, 0.0000, 0.45, 0.071, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.0000, 1.2212, 0.0231, 0.0000, 0.55, 0.082, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.1230, 1.2212, 0.0231, 0.0000, 0.65, 0.012, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.2212, 1.2212, 0.0231, 0.0000, 0.75, 0.129, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3212, 1.2212, 0.0231, 0.0000, 0.85, 0.034, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3923, 1.2212, 0.0131, 0.2344, 0.95, 0.001, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3455, 1.2212, 0.0000, 0.0000, 1.00, 0.127, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9123, 1.2212, 0.0231, 0.0000, 0.25, 0.301, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9234, 1.2212, 0.0231, 0.0000, 0.35, 0.111, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9783, 1.2212, 0.0231, 0.0000, 0.45, 0.071, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.0000, 1.2212, 0.0231, 0.0000, 0.55, 0.082, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.1230, 1.2212, 0.0231, 0.0000, 0.65, 0.012, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.2212, 1.2212, 0.0231, 0.0000, 0.75, 0.129, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3212, 1.2212, 0.0231, 0.0000, 0.85, 0.034, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3923, 1.2212, 0.0131, 0.2344, 0.95, 0.001, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3455, 1.2212, 0.0000, 0.0000, 1.00, 0.127, 0.0, 0.0),
// extreme case: zero vol
new EuropeanOptionData(Option.Type.Put, 1.3455, 1.2212, 0.0000, 0.0000, 0.50, 0.000, 0.0, 0.0),
// extreme case: zero strike
new EuropeanOptionData(Option.Type.Put, 0.0000, 1.2212, 0.0000, 0.0000, 1.50, 0.133, 0.0, 0.0),
// extreme case: zero strike+zero vol
new EuropeanOptionData(Option.Type.Put, 0.0000, 1.2212, 0.0000, 0.0000, 1.00, 0.133, 0.0, 0.0),
};
DayCounter dc = new Actual360();
Calendar calendar = new TARGET();
Date today = Date.Today;
// Start setup of market data
double discFor = 0.0;
double discDom = 0.0;
double implVol = 0.0;
double expectedVal = 0.0;
double calculatedVal = 0.0;
double error = 0.0;
SimpleQuote spotQuote = new SimpleQuote(0.0);
Handle <Quote> spotHandle = new Handle <Quote>(spotQuote);
SimpleQuote qQuote = new SimpleQuote(0.0);
Handle <Quote> qHandle = new Handle <Quote>(qQuote);
YieldTermStructure qTS = new FlatForward(today, qHandle, dc);
SimpleQuote rQuote = new SimpleQuote(0.0);
Handle <Quote> rHandle = new Handle <Quote>(qQuote);
YieldTermStructure rTS = new FlatForward(today, rHandle, dc);
SimpleQuote volQuote = new SimpleQuote(0.0);
Handle <Quote> volHandle = new Handle <Quote>(volQuote);
BlackVolTermStructure volTS = new BlackConstantVol(today, calendar, volHandle, dc);
BlackScholesMertonProcess stochProcess;
IPricingEngine engine;
StrikedTypePayoff payoff;
Date exDate;
Exercise exercise;
// Setup of market data finished
double tolerance = 1.0e-10;
for (int i = 0; i < values.Length; ++i)
{
payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
exDate = today + timeToDays(values[i].t);
exercise = new EuropeanExercise(exDate);
spotQuote.setValue(values[i].s);
volQuote.setValue(values[i].v);
rQuote.setValue(values[i].r);
qQuote.setValue(values[i].q);
discDom = rTS.discount(exDate);
discFor = qTS.discount(exDate);
implVol = Math.Sqrt(volTS.blackVariance(exDate, 0.0));
BlackDeltaCalculator myCalc = new BlackDeltaCalculator(values[i].type, DeltaVolQuote.DeltaType.PaSpot,
spotQuote.value(), discDom, discFor, implVol);
stochProcess = new BlackScholesMertonProcess(spotHandle,
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
engine = new AnalyticEuropeanEngine(stochProcess);
EuropeanOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = option.delta() - option.NPV() / spotQuote.value();
error = Math.Abs(expectedVal - calculatedVal);
if (error > tolerance)
{
QAssert.Fail("\n Premium-adjusted spot delta test failed. \n"
+ "Calculated Delta: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaFwd);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = expectedVal / discFor; // Premium adjusted Fwd Delta is PA spot without discount
error = Math.Abs(expectedVal - calculatedVal);
if (error > tolerance)
{
QAssert.Fail("\n Premium-adjusted forward delta test failed. \n"
+ "Calculated Delta: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
// Test consistency with BlackScholes Calculator for Spot Delta
myCalc.setDeltaType(DeltaVolQuote.DeltaType.Spot);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = option.delta();
error = Math.Abs(calculatedVal - expectedVal);
if (error > tolerance)
{
QAssert.Fail("\n spot delta in BlackDeltaCalculator differs from delta in BlackScholesCalculator. \n"
+ "Calculated Value: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(22, Month.September, 2004);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
todaysDate = Settings.evaluationDate();
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// deposits
double d1wQuote = 0.0382;
double d1mQuote = 0.0372;
double d3mQuote = 0.0363;
double d6mQuote = 0.0353;
double d9mQuote = 0.0348;
double d1yQuote = 0.0345;
// FRAs
double fra3x6Quote = 0.037125;
double fra6x9Quote = 0.037125;
double fra6x12Quote = 0.037125;
// futures
double fut1Quote = 96.2875;
double fut2Quote = 96.7875;
double fut3Quote = 96.9875;
double fut4Quote = 96.6875;
double fut5Quote = 96.4875;
double fut6Quote = 96.3875;
double fut7Quote = 96.2875;
double fut8Quote = 96.0875;
// swaps
double s2yQuote = 0.037125;
double s3yQuote = 0.0398;
double s5yQuote = 0.0443;
double s10yQuote = 0.05165;
double s15yQuote = 0.055175;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// FRAs
Quote fra3x6Rate = new SimpleQuote(fra3x6Quote);
Quote fra6x9Rate = new SimpleQuote(fra6x9Quote);
Quote fra6x12Rate = new SimpleQuote(fra6x12Quote);
// futures
Quote fut1Price = new SimpleQuote(fut1Quote);
Quote fut2Price = new SimpleQuote(fut2Quote);
Quote fut3Price = new SimpleQuote(fut3Quote);
Quote fut4Price = new SimpleQuote(fut4Quote);
Quote fut5Price = new SimpleQuote(fut5Quote);
Quote fut6Price = new SimpleQuote(fut6Quote);
Quote fut7Price = new SimpleQuote(fut7Quote);
Quote fut8Price = new SimpleQuote(fut8Quote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(new Handle <Quote>(d1wRate), new Period(1, TimeUnit.Weeks),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(new Handle <Quote>(d1mRate), new Period(1, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(new Handle <Quote>(d3mRate), new Period(3, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(new Handle <Quote>(d6mRate), new Period(6, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(new Handle <Quote>(d9mRate), new Period(9, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(new Handle <Quote>(d1yRate), new Period(1, TimeUnit.Years),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup FRAs
RateHelper fra3x6 = new FraRateHelper(new Handle <Quote>(fra3x6Rate), 3, 6, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x9 = new FraRateHelper(new Handle <Quote>(fra6x9Rate), 6, 9, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x12 = new FraRateHelper(new Handle <Quote>(fra6x12Rate), 6, 12, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup futures
// Handle<Quote> convexityAdjustment = new Handle<Quote>(new SimpleQuote(0.0));
int futMonths = 3;
Date imm = IMM.nextDate(settlementDate);
RateHelper fut1 = new FuturesRateHelper(new Handle <Quote>(fut1Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut2 = new FuturesRateHelper(new Handle <Quote>(fut2Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut3 = new FuturesRateHelper(new Handle <Quote>(fut3Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut4 = new FuturesRateHelper(new Handle <Quote>(fut4Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut5 = new FuturesRateHelper(new Handle <Quote>(fut5Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut6 = new FuturesRateHelper(new Handle <Quote>(fut6Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut7 = new FuturesRateHelper(new Handle <Quote>(fut7Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut8 = new FuturesRateHelper(new Handle <Quote>(fut8Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
RateHelper s2y = new SwapRateHelper(new Handle <Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s3y = new SwapRateHelper(new Handle <Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s5y = new SwapRateHelper(new Handle <Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s10y = new SwapRateHelper(new Handle <Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s15y = new SwapRateHelper(new Handle <Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-swap curve
List <RateHelper> depoSwapInstruments = new List <RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoSwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// A depo-futures-swap curve
List <RateHelper> depoFutSwapInstruments = new List <RateHelper>();
depoFutSwapInstruments.Add(d1w);
depoFutSwapInstruments.Add(d1m);
depoFutSwapInstruments.Add(fut1);
depoFutSwapInstruments.Add(fut2);
depoFutSwapInstruments.Add(fut3);
depoFutSwapInstruments.Add(fut4);
depoFutSwapInstruments.Add(fut5);
depoFutSwapInstruments.Add(fut6);
depoFutSwapInstruments.Add(fut7);
depoFutSwapInstruments.Add(fut8);
depoFutSwapInstruments.Add(s3y);
depoFutSwapInstruments.Add(s5y);
depoFutSwapInstruments.Add(s10y);
depoFutSwapInstruments.Add(s15y);
YieldTermStructure depoFutSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoFutSwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// A depo-FRA-swap curve
List <RateHelper> depoFRASwapInstruments = new List <RateHelper>();
depoFRASwapInstruments.Add(d1w);
depoFRASwapInstruments.Add(d1m);
depoFRASwapInstruments.Add(d3m);
depoFRASwapInstruments.Add(fra3x6);
depoFRASwapInstruments.Add(fra6x9);
depoFRASwapInstruments.Add(fra6x12);
depoFRASwapInstruments.Add(s2y);
depoFRASwapInstruments.Add(s3y);
depoFRASwapInstruments.Add(s5y);
depoFRASwapInstruments.Add(s10y);
depoFRASwapInstruments.Add(s15y);
YieldTermStructure depoFRASwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoFRASwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle <YieldTermStructure> discountingTermStructure = new RelinkableHandle <YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle <YieldTermStructure> forecastingTermStructure = new RelinkableHandle <YieldTermStructure>();
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
DayCounter floatingLegDayCounter = new Actual360();
// floating leg
Frequency floatingLegFrequency = Frequency.Semiannual;
IborIndex euriborIndex = new Euribor6M(forecastingTermStructure);
double spread = 0.0;
int lenghtInYears = 5;
VanillaSwap.Type swapType = VanillaSwap.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInYears, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(settlementDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap spot5YearSwap = new VanillaSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread, floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, TimeUnit.Years);
Date fwdMaturity = fwdStart + new Period(lenghtInYears, TimeUnit.Years);
Schedule fwdFixedSchedule = new Schedule(fwdStart, fwdMaturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule fwdFloatSchedule = new Schedule(fwdStart, fwdMaturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap oneYearForward5YearSwap = new VanillaSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
List <string> headers = new List <string>();
headers.Add("term structure");
headers.Add("net present value");
headers.Add("fair spread");
headers.Add("fair fixed rate");
string separator = " | ";
int width = headers[0].Length + separator.Length
+ headers[1].Length + separator.Length
+ headers[2].Length + separator.Length
+ headers[3].Length + separator.Length - 1;
string rule = string.Format("").PadLeft(width, '-'), dblrule = string.Format("").PadLeft(width, '=');
string tab = string.Format("").PadLeft(8, ' ');
// calculations
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
double NPV;
double fairRate;
double fairSpread;
IPricingEngine swapEngine = new DiscountingSwapEngine(discountingTermStructure);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// let's check that the 5 years swap has been correctly re-priced
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
Console.WriteLine(rule);
// now let's price the 1Y forward 5Y swap
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
SimpleQuote fiveYearsRate = s5yRate as SimpleQuote;
fiveYearsRate.setValue(0.0460);
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
// now get the updated results
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
Console.WriteLine(rule);
// the 1Y forward 5Y swap changes as well
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
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);
}
}
}
}
}
}
}
}
}
}
}
}
void testFdGreeks <Engine>(Date today, Exercise exercise) where Engine : IFDEngine, new()
{
Dictionary <string, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance.Add("delta", 5.0e-3);
tolerance.Add("gamma", 7.0e-3);
// tolerance["theta"] = 1.0e-2;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.20 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.05, 0.20, 0.50 };
DayCounter dc = new Actual360();
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));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new Engine().factory(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
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);
// FLOATING_POINT_EXCEPTION
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
// calculated["theta"] = option.theta();
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 date and get theta
/*
* Time dT = dc.yearFraction(today-1, today+1);
* Settings::instance().evaluationDate() = today-1;
* value_m = option.NPV();
* Settings::instance().evaluationDate() = today+1;
* value_p = option.NPV();
* Settings::instance().evaluationDate() = today;
* expected["theta"] = (value_p - value_m)/dT;
*/
// compare
foreach (string greek in calculated.Keys)
{
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance[greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
/// <summary>
/// Evaluates the specified option contract to compute a theoretical price, IV and greeks
/// </summary>
/// <param name="security">The option security object</param>
/// <param name="slice">The current data slice. This can be used to access other information
/// available to the algorithm</param>
/// <param name="contract">The option contract to evaluate</param>
/// <returns>An instance of <see cref="OptionPriceModelResult"/> containing the theoretical
/// price of the specified option contract</returns>
public OptionPriceModelResult Evaluate(Security security, Slice slice, OptionContract contract)
{
try
{
// setting up option pricing parameters
var calendar = new UnitedStates();
var dayCounter = new Actual365Fixed();
var optionSecurity = (Option)security;
var settlementDate = contract.Time.Date.AddDays(Option.DefaultSettlementDays);
var maturityDate = contract.Expiry.Date.AddDays(Option.DefaultSettlementDays);
var underlyingQuoteValue = new SimpleQuote((double)optionSecurity.Underlying.Price);
var dividendYieldValue = new SimpleQuote(_dividendYieldEstimator.Estimate(security, slice, contract));
var dividendYield = new Handle <YieldTermStructure>(new FlatForward(0, calendar, dividendYieldValue, dayCounter));
var riskFreeRateValue = new SimpleQuote(_riskFreeRateEstimator.Estimate(security, slice, contract));
var riskFreeRate = new Handle <YieldTermStructure>(new FlatForward(0, calendar, riskFreeRateValue, dayCounter));
var underlyingVolValue = new SimpleQuote(_underlyingVolEstimator.Estimate(security, slice, contract));
var underlyingVol = new Handle <BlackVolTermStructure>(new BlackConstantVol(0, calendar, new Handle <Quote>(underlyingVolValue), dayCounter));
// preparing stochastic process and payoff functions
var stochasticProcess = new BlackScholesMertonProcess(new Handle <Quote>(underlyingQuoteValue), dividendYield, riskFreeRate, underlyingVol);
var payoff = new PlainVanillaPayoff(contract.Right == OptionRight.Call ? QLNet.Option.Type.Call : QLNet.Option.Type.Put, (double)contract.Strike);
// creating option QL object
var option = contract.Symbol.ID.OptionStyle == OptionStyle.American ?
new VanillaOption(payoff, new AmericanExercise(settlementDate, maturityDate)) :
new VanillaOption(payoff, new EuropeanExercise(maturityDate));
Settings.setEvaluationDate(settlementDate);
// preparing pricing engine QL object
option.setPricingEngine(_pricingEngineFunc(contract.Symbol, stochasticProcess));
// running calculations
var npv = EvaluateOption(option);
// function extracts QL greeks catching exception if greek is not generated by the pricing engine and reevaluates option to get numerical estimate of the seisitivity
Func <Func <double>, Func <double>, decimal> tryGetGreekOrReevaluate = (greek, reevalFunc) =>
{
try
{
return((decimal)greek());
}
catch (Exception)
{
return(EnableGreekApproximation ? (decimal)reevalFunc() : 0.0m);
}
};
// function extracts QL greeks catching exception if greek is not generated by the pricing engine
Func <Func <double>, decimal> tryGetGreek = greek => tryGetGreekOrReevaluate(greek, () => 0.0);
// function extracts QL IV catching exception if IV is not generated by the pricing engine
Func <decimal> tryGetImpliedVol = () =>
{
try
{
return((decimal)option.impliedVolatility((double)optionSecurity.Price, stochasticProcess));
}
catch (Exception err)
{
Log.Debug("tryGetImpliedVol() error: " + err.Message);
return(0m);
}
};
Func <Tuple <decimal, decimal> > evalDeltaGamma = () =>
{
try
{
return(Tuple.Create((decimal)option.delta(), (decimal)option.gamma()));
}
catch (Exception)
{
if (EnableGreekApproximation)
{
var step = 0.01;
var initial = underlyingQuoteValue.value();
underlyingQuoteValue.setValue(initial - step);
var npvMinus = EvaluateOption(option);
underlyingQuoteValue.setValue(initial + step);
var npvPlus = EvaluateOption(option);
underlyingQuoteValue.setValue(initial);
return(Tuple.Create((decimal)((npvPlus - npvMinus) / (2 * step)),
(decimal)((npvPlus - 2 * npv + npvMinus) / (step * step))));
}
else
{
return(Tuple.Create(0.0m, 0.0m));
}
}
};
Func <double> reevalVega = () =>
{
var step = 0.001;
var initial = underlyingVolValue.value();
underlyingVolValue.setValue(initial + step);
var npvPlus = EvaluateOption(option);
underlyingVolValue.setValue(initial);
return((npvPlus - npv) / step);
};
Func <double> reevalTheta = () =>
{
var step = 1.0 / 365.0;
Settings.setEvaluationDate(settlementDate.AddDays(-1));
var npvMinus = EvaluateOption(option);
Settings.setEvaluationDate(settlementDate);
return((npv - npvMinus) / step);
};
Func <double> reevalRho = () =>
{
var step = 0.001;
var initial = riskFreeRateValue.value();
riskFreeRateValue.setValue(initial + step);
var npvPlus = EvaluateOption(option);
riskFreeRateValue.setValue(initial);
return((npvPlus - npv) / step);
};
// producing output with lazy calculations of IV and greeks
return(new OptionPriceModelResult((decimal)npv,
tryGetImpliedVol,
() => new Greeks(evalDeltaGamma,
() => tryGetGreekOrReevaluate(() => option.vega(), reevalVega),
() => tryGetGreekOrReevaluate(() => option.theta(), reevalTheta),
() => tryGetGreekOrReevaluate(() => option.rho(), reevalRho),
() => tryGetGreek(() => option.elasticity()))));
}
catch (Exception err)
{
Log.Debug("QLOptionPriceModel.Evaluate() error: " + err.Message);
return(new OptionPriceModelResult(0m, new Greeks()));
}
}
private void testForwardGreeks(Type engine_type)
{
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 };
int[] startMonths = { 6, 9 };
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 stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
IPricingEngine engine = engine_type == typeof(ForwardVanillaEngine) ? new ForwardVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)) :
new ForwardPerformanceVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process));
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 h = 0; h < startMonths.Length; h++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
Date reset = today + new Period(startMonths[h], TimeUnit.Months);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], 0.0);
ForwardVanillaOption option = new ForwardVanillaOption(moneyness[j], reset, payoff, exercise);
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
//std::map<std::string,double>::iterator it;
foreach (KeyValuePair <string, double> 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, exercise,
u, q, r, today, v,
moneyness[j], reset,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
}
public void testCompareBsmHWandHestonHW()
{
// Comparing European option pricing for a BSM process with one-factor Hull-White model
DayCounter dc = new Actual365Fixed();
Date today = Date.Today;
Settings.Instance.setEvaluationDate(today);
Handle <Quote> spot = new Handle <Quote>(new SimpleQuote(100.0));
List <Date> dates = new List <Date>();
List <double> rates = new List <double>(), divRates = new List <double>();
for (int i = 0; i <= 40; ++i)
{
dates.Add(today + new Period(i, TimeUnit.Years));
// FLOATING_POINT_EXCEPTION
rates.Add(0.01 + 0.0002 * Math.Exp(Math.Sin(i / 4.0)));
divRates.Add(0.02 + 0.0001 * Math.Exp(Math.Sin(i / 5.0)));
}
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(
new InterpolatedZeroCurve <Linear>(dates, rates, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(
new InterpolatedZeroCurve <Linear>(dates, divRates, dc));
SimpleQuote vol = new SimpleQuote(0.25);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(spot, qTS, rTS, volTS);
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, spot,
vol.value() * vol.value(), 1.0, vol.value() * vol.value(), 1e-4, 0.0);
HestonModel hestonModel = new HestonModel(hestonProcess);
HullWhite hullWhiteModel = new HullWhite(new Handle <YieldTermStructure>(rTS), 0.01, 0.01);
IPricingEngine bsmhwEngine = new AnalyticBSMHullWhiteEngine(0.0, bsmProcess, hullWhiteModel);
IPricingEngine hestonHwEngine = new AnalyticHestonHullWhiteEngine(hestonModel, hullWhiteModel, 128);
double tol = 1e-5;
double[] strike = { 0.25, 0.5, 0.75, 0.8, 0.9, 1.0, 1.1, 1.2, 1.5, 2.0, 4.0 };
int[] maturity = { 1, 2, 3, 5, 10, 15, 20, 25, 30 };
Option.Type[] types = { Option.Type.Put, Option.Type.Call };
for (int i = 0; i < types.Length; ++i)
{
for (int j = 0; j < strike.Length; ++j)
{
for (int l = 0; l < maturity.Length; ++l)
{
Date maturityDate = today + new Period(maturity[l], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(maturityDate);
double fwd = strike[j] * spot.link.value()
* qTS.link.discount(maturityDate) / rTS.link.discount(maturityDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], fwd);
EuropeanOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(bsmhwEngine);
double calculated = option.NPV();
option.setPricingEngine(hestonHwEngine);
double expected = option.NPV();
if (Math.Abs(calculated - expected) > calculated * tol &&
Math.Abs(calculated - expected) > tol)
{
QAssert.Fail("Failed to reproduce npvs"
+ "\n calculated: " + calculated
+ "\n expected : " + expected
+ "\n strike : " + strike[j]
+ "\n maturity : " + maturity[l]
+ "\n type : "
+ ((types[i] == QLCore.Option.Type.Put) ? "Put" : "Call"));
}
}
}
}
}
public void testSpreadedCube()
{
// Testing spreaded swaption volatility cube
CommonVars vars = new CommonVars();
List <List <Handle <Quote> > > parametersGuess =
new InitializedList <List <Handle <Quote> > >(vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count);
for (int i = 0; i < vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count; i++)
{
parametersGuess[i] = new InitializedList <Handle <Quote> >(4);
parametersGuess[i][0] = new Handle <Quote>(new SimpleQuote(0.2));
parametersGuess[i][1] = new Handle <Quote>(new SimpleQuote(0.5));
parametersGuess[i][2] = new Handle <Quote>(new SimpleQuote(0.4));
parametersGuess[i][3] = new Handle <Quote>(new SimpleQuote(0.0));
}
List <bool> isParameterFixed = new InitializedList <bool>(4, false);
Handle <SwaptionVolatilityStructure> volCube = new Handle <SwaptionVolatilityStructure>(
new SwaptionVolCube1x(vars.atmVolMatrix,
vars.cube.tenors.options,
vars.cube.tenors.swaps,
vars.cube.strikeSpreads,
vars.cube.volSpreadsHandle,
vars.swapIndexBase,
vars.shortSwapIndexBase,
vars.vegaWeighedSmileFit,
parametersGuess,
isParameterFixed,
true));
SimpleQuote spread = new SimpleQuote(0.0001);
Handle <Quote> spreadHandle = new Handle <Quote>(spread);
SwaptionVolatilityStructure spreadedVolCube = new SpreadedSwaptionVolatility(volCube, spreadHandle);
List <double> strikes = new List <double>();
for (int k = 1; k < 100; k++)
{
strikes.Add(k * .01);
}
for (int i = 0; i < vars.cube.tenors.options.Count; i++)
{
for (int j = 0; j < vars.cube.tenors.swaps.Count; j++)
{
SmileSection smileSectionByCube = volCube.link.smileSection(vars.cube.tenors.options[i],
vars.cube.tenors.swaps[j]);
SmileSection smileSectionBySpreadedCube = spreadedVolCube.smileSection(vars.cube.tenors.options[i],
vars.cube.tenors.swaps[j]);
for (int k = 0; k < strikes.Count; k++)
{
double strike = strikes[k];
double diff = spreadedVolCube.volatility(vars.cube.tenors.options[i], vars.cube.tenors.swaps[j], strike)
- volCube.link.volatility(vars.cube.tenors.options[i], vars.cube.tenors.swaps[j], strike);
if (Math.Abs(diff - spread.value()) > 1e-16)
{
QAssert.Fail("\ndiff!=spread in volatility method:" +
"\nexpiry time = " + vars.cube.tenors.options[i] +
"\nswap length = " + vars.cube.tenors.swaps[j] +
"\n atm strike = " + (strike) +
"\ndiff = " + diff +
"\nspread = " + spread.value());
}
diff = smileSectionBySpreadedCube.volatility(strike) - smileSectionByCube.volatility(strike);
if (Math.Abs(diff - spread.value()) > 1e-16)
{
QAssert.Fail("\ndiff!=spread in smile section method:" +
"\nexpiry time = " + vars.cube.tenors.options[i] +
"\nswap length = " + vars.cube.tenors.swaps[j] +
"\n atm strike = " + (strike) +
"\ndiff = " + diff +
"\nspread = " + spread.value());
}
}
}
}
//testing observability
Flag f = new Flag();
spreadedVolCube.registerWith(f.update);
volCube.link.update();
if (!f.isUp())
{
QAssert.Fail("SpreadedSwaptionVolatilityStructure does not propagate notifications");
}
f.lower();
spread.setValue(.001);
if (!f.isUp())
{
QAssert.Fail("SpreadedSwaptionVolatilityStructure does not propagate notifications");
}
}
public void testFdEuropeanValues()
{
// Testing finite-difference dividend European option values...
SavedSettings backup = new SavedSettings();
double tolerance = 1.0e-2;
int gridPoints = 300;
int timeSteps = 40;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
// Rate qRates[] = { 0.00, 0.10, 0.30 };
// Analytic dividend may not be handling q correctly
double[] qRates = { 0.00 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.40 };
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));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new FDDividendEuropeanEngine(stochProcess, timeSteps, gridPoints);
IPricingEngine ref_engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
DividendVanillaOption ref_option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
ref_option.setPricingEngine(ref_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);
// FLOATING_POINT_EXCEPTION
double calculated = option.NPV();
if (calculated > spot.value() * 1.0e-5)
{
double expected = ref_option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
}
}
}
}
}
}
}
public void testEuropeanGreeks()
{
// Testing dividend European option greeks...
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["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.30 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.40 };
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));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates,
dividends);
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["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 risk-free rate and get 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);
// 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 (KeyValuePair <string, double> 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, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
public void testFdGreeks <Engine>() where Engine : IFDEngine, new()
{
using (SavedSettings backup = new SavedSettings())
{
Dictionary <string, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance.Add("delta", 7.0e-4);
tolerance.Add("gamma", 2.0e-4);
//tolerance["theta"] = 1.0e-4;
Option.Type[] types = new Option.Type[] { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] years = { 1, 2 };
double[] vols = { 0.11, 0.50, 1.20 };
Date today = Date.Today;
Settings.setEvaluationDate(today);
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < years.Length; k++)
{
Date exDate = today + new Period(years[k], TimeUnit.Years);
Exercise exercise = new AmericanExercise(today, exDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new Engine().factory(stochProcess);
VanillaOption option = new VanillaOption(payoff, exercise);
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.Add("delta", option.delta());
calculated.Add("gamma", option.gamma());
//calculated["theta"] = option.theta();
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.Add("delta", (value_p - value_m) / (2 * du));
expected.Add("gamma", (delta_p - delta_m) / (2 * du));
/*
* // perturb date and get theta
* Time dT = dc.yearFraction(today-1, today+1);
* Settings::instance().setEvaluationDate(today-1);
* value_m = option.NPV();
* Settings::instance().setEvaluationDate(today+1);
* value_p = option.NPV();
* Settings::instance().setEvaluationDate(today);
* expected["theta"] = (value_p - value_m)/dT;
*/
// compare
foreach (string greek in calculated.Keys)
{
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance[greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
calculated.Clear();
expected.Clear();
}
}
}
}
}
}
}
}
}
public void testCrankNicolsonWithDamping()
{
SavedSettings backup = new SavedSettings();
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
YieldTermStructure qTS = Utilities.flatRate(today, 0.06, dc);
YieldTermStructure rTS = Utilities.flatRate(today, 0.06, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, 0.35, dc);
StrikedTypePayoff payoff =
new CashOrNothingPayoff(Option.Type.Put, 100, 10.0);
double maturity = 0.75;
Date exDate = today + Convert.ToInt32(maturity * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
BlackScholesMertonProcess process = new
BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine =
new AnalyticEuropeanEngine(process);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double expectedPV = opt.NPV();
double expectedGamma = opt.gamma();
// fd pricing using implicit damping steps and Crank Nicolson
int csSteps = 25, dampingSteps = 3, xGrid = 400;
List <int> dim = new InitializedList <int>(1, xGrid);
FdmLinearOpLayout layout = new FdmLinearOpLayout(dim);
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(
dim[0], process, maturity, payoff.strike(),
null, null, 0.0001, 1.5,
new Pair <double?, double?>(payoff.strike(), 0.01));
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
FdmBlackScholesOp map =
new FdmBlackScholesOp(mesher, process, payoff.strike());
FdmInnerValueCalculator calculator =
new FdmLogInnerValue(payoff, mesher, 0);
object rhs = new Vector(layout.size());
Vector x = new Vector(layout.size());
FdmLinearOpIterator endIter = layout.end();
for (FdmLinearOpIterator iter = layout.begin(); iter != endIter;
++iter)
{
(rhs as Vector)[iter.index()] = calculator.avgInnerValue(iter, maturity);
x[iter.index()] = mesher.location(iter, 0);
}
FdmBackwardSolver solver = new FdmBackwardSolver(map, new FdmBoundaryConditionSet(),
new FdmStepConditionComposite(),
new FdmSchemeDesc().Douglas());
solver.rollback(ref rhs, maturity, 0.0, csSteps, dampingSteps);
MonotonicCubicNaturalSpline spline = new MonotonicCubicNaturalSpline(x, x.Count, rhs as Vector);
double s = spot.value();
double calculatedPV = spline.value(Math.Log(s));
double calculatedGamma = (spline.secondDerivative(Math.Log(s))
- spline.derivative(Math.Log(s))) / (s * s);
double relTol = 2e-3;
if (Math.Abs(calculatedPV - expectedPV) > relTol * expectedPV)
{
QAssert.Fail("Error calculating the PV of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedPV +
"\n calculated: " + calculatedPV);
}
if (Math.Abs(calculatedGamma - expectedGamma) > relTol * expectedGamma)
{
QAssert.Fail("Error calculating the Gamma of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedGamma +
"\n calculated: " + calculatedGamma);
}
}
//void testEngineConsistency(EngineType engine, int binomialSteps, int samples, Dictionary<string,double> tolerance,
// bool testGreeks = false) {
void testEngineConsistency(EngineType engine, int binomialSteps, int samples, Dictionary <string, double> tolerance,
bool testGreeks)
{
//QL_TEST_START_TIMING
Dictionary <string, double> calculated = new Dictionary <string, double>(), expected = new Dictionary <string, double>();
// test options
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 75.0, 100.0, 125.0 };
int[] lengths = { 1 };
// test data
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.05 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + lengths[k] * 360;
Exercise exercise = new EuropeanExercise(exDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
// reference option
VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS,
EngineType.Analytic, 0, 0);
// option to check
VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS,
engine, binomialSteps, samples);
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);
expected.Clear();
calculated.Clear();
// FLOATING_POINT_EXCEPTION
expected.Add("value", refOption.NPV());
calculated.Add("value", option.NPV());
if (testGreeks && option.NPV() > spot.value() * 1.0e-5)
{
expected.Add("delta", refOption.delta());
expected.Add("gamma", refOption.gamma());
expected.Add("theta", refOption.theta());
calculated.Add("delta", option.delta());
calculated.Add("gamma", option.gamma());
calculated.Add("theta", option.theta());
}
foreach (string greek in calculated.Keys)
{
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance[greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
public void testFlatInterpolationLeft()
{
// Testing flat interpolation before the first spreaded date...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 8, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 15, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 6, TimeUnit.Months);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() + spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail("unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testFdmHestonBarrierVsBlackScholes()
{
//Testing FDM with barrier option in Heston model...
using (SavedSettings backup = new SavedSettings())
{
NewBarrierOptionData[] values = new NewBarrierOptionData[] {
/* The data below are from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag. 72
*/
// barrierType, barrier, rebate, type, strike, s, q, r, t, v
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Call, 100, 100.0, 0.00, 0.08, 1.00, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Call, 90, 100.0, 0.00, 0.08, 0.25, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Call, 90, 100.0, 0.00, 0.08, 0.25, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Call, 100, 100.0, 0.00, 0.08, 0.40, 0.25),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.15),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Call, 100, 100.0, 0.00, 0.08, 0.40, 0.35),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.15),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Call, 110, 100.0, 0.00, 0.00, 1.00, 0.20),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Call, 110, 100.0, 0.00, 0.08, 1.00, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Call, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Call, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Call, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.25),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Put, 110, 100.0, 0.00, 0.04, 1.00, 0.15),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 95.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownOut, 100.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpOut, 105.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 95.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.DownIn, 100.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 1.00, 0.15),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Put, 90, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Put, 100, 100.0, 0.04, 0.08, 0.50, 0.30),
new NewBarrierOptionData(Barrier.Type.UpIn, 105.0, 3.0, Option.Type.Put, 110, 100.0, 0.04, 0.08, 0.50, 0.30)
};
DayCounter dc = new Actual365Fixed();
Date todaysDate = new Date(28, 3, 2004);
Date exerciseDate = new Date(28, 3, 2005);
Settings.Instance.setEvaluationDate(todaysDate);
Handle <Quote> spot = new Handle <Quote>(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 bsProcess = new BlackScholesMertonProcess(spot, qTS, rTS, volTS);
IPricingEngine analyticEngine = new AnalyticBarrierEngine(bsProcess);
for (int i = 0; i < values.Length; i++)
{
Date exDate = todaysDate + Convert.ToInt32(values[i].t * 365 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
(spot.currentLink() as SimpleQuote).setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
BarrierOption barrierOption = new BarrierOption(values[i].barrierType, values[i].barrier,
values[i].rebate, payoff, exercise);
double v0 = vol.value() * vol.value();
HestonProcess hestonProcess =
new HestonProcess(rTS, qTS, spot, v0, 1.0, v0, 0.005, 0.0);
barrierOption.setPricingEngine(new FdHestonBarrierEngine(new HestonModel(hestonProcess), 200, 101, 3));
double calculatedHE = barrierOption.NPV();
barrierOption.setPricingEngine(analyticEngine);
double expected = barrierOption.NPV();
double tol = 0.0025;
if (Math.Abs(calculatedHE - expected) / expected > tol)
{
QAssert.Fail("Failed to reproduce expected Heston npv"
+ "\n calculated: " + calculatedHE
+ "\n expected: " + expected
+ "\n tolerance: " + tol);
}
}
}
}