/// <summary>
/// Creates a null volatility surface to be used in extrapolation tests that utilise
/// the historical volatility ratio
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateNullVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry0 = new ForwardExpiry(DateTime.Parse("14-9-2009"), 4700);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("16-9-2009"), 4700);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("30-9-2009"), 4750);
OptionPosition call0 = new OptionPosition("1145", 104, PositionType.Call);
OptionPosition put0 = new OptionPosition("1146", 1200, PositionType.Put);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike0 = new Strike(1.00, 4599, call0, put0);
Strike strike1 = new Strike(0.867, 4700, call1, put1);
Strike strike2 = new Strike(1.00, 4750, call2, put2);
Strike strike3 = new Strike(1.2, 4750, call2, put2);
Strike strike4 = new Strike(0.30, 4750, call2, put2);
IVolatilityPoint point0 = new VolatilityPoint();
point0.SetVolatility(0.00M, VolatilityState.Default());
put0.SetVolatility(point0);
call0.SetVolatility(point0);
strike0.SetVolatility(point0);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.00M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
strike1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.00M, VolatilityState.Default());
strike2.SetVolatility(point2);
call2.SetVolatility(point2);
put2.SetVolatility(point2);
IVolatilityPoint point3 = new VolatilityPoint();
point3.SetVolatility(0.00M, VolatilityState.Default());
strike3.SetVolatility(point3);
IVolatilityPoint point4 = new VolatilityPoint();
point4.SetVolatility(0.00M, VolatilityState.Default());
strike4.SetVolatility(point4);
expiry0.AddStrike(strike0, true);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, true);
expiry2.AddStrike(strike3, true);
expiry2.AddStrike(strike4, true);
volSurface.AddExpiry(expiry0);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
return(volSurface);
}
/// <summary>
/// Values at, overriding calibrated Wing Model with supplied parms
/// </summary>
/// <param name="stock"></param>
/// <param name="expiry">The expiry.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="parms">The parms.</param>
/// <param name="oride"></param>
/// <param name="cache">if set to <c>true</c> [cache].</param>
/// <returns></returns>
public ForwardExpiry ValueAt(Stock stock, DateTime expiry, List <Double> strikes, OrcWingParameters parms, bool oride, bool cache)
{
var fwdExpiry = new ForwardExpiry {
ExpiryDate = expiry
};
double forward = stock.GetForward(stock.Date, expiry);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
foreach (double strike in strikes)
{
double val = OrcWingVol.Value(strike, parms);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
bool node = VolatilitySurfaceHelper.IsMatch(strike, expiry, NodalExpiries);
Strike newstrike;
if (node & oride)
{
newstrike = VolatilitySurfaceHelper.GetStrike(strike, expiry, NodalExpiries);
//new data points, derefernce fitting model
newstrike.InterpModel = null;
}
else
{
//var wingModel = new WingInterp {WingParams = parms};
newstrike = new Strike {
StrikePrice = strike, InterpModel = null
};
//newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
}
newstrike.SetVolatility(vp);
}
return(fwdExpiry);
}
public void TestLargeImpliedVol()
{
var stock = TestDataHelper.GetStock("RIO");
Assert.AreEqual("RIO", stock.Name);
var stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("24-09-2009"), 5818);
Strike str = new Strike(5800, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 5800 && (fwdExp.ExpiryDate == DateTime.Parse("24-09-2009")))
{
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, false, "A", 450.0, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "P", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 450, 0.01);
}
}
}
}
public void TestImpliedVol2()
{
var stock = TestDataHelper.GetStock("ANZ");
Assert.AreEqual("ANZ", stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("29-10-2009"), 3676);
Strike str = new Strike(3650, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 3650 && (fwdExp.ExpiryDate == DateTime.Parse("29-10-2009")))
{
stockObject.Spot = 3676;
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, true, "A", 224.5, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "C", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 224.5, 0.01);
}
}
}
}
public void TestAmVega()
{
var stock = TestDataHelper.GetStock("ANZ");
Assert.AreEqual("ANZ", stock.Name);
var stockObject = TestHelper.CreateStock(stock);
var fwd = new ForwardExpiry(DateTime.Parse("23-12-2010"), 2220);
var str = new Strike(2100, null, null, Units.Cents);
var vp = new VolatilityPoint {
Value = 0.30M
};
str.SetVolatility(vp);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if ((strike.StrikePrice == 2100.0) && (fwdExp.ExpiryDate == DateTime.Parse("23-12-2010")))
{
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, Convert.ToDouble(strike.Volatility.Value), "A", "C", stockObject.RateCurve, stockObject.Dividends, 20);
double callprice = call.Price();
Assert.AreEqual(callprice, 338.8661, 0.5);
call.MakeVega();
Assert.AreEqual(call.Vega, 9.093, 0.02);
AmOptionAnalytics put = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, Convert.ToDouble(strike.Volatility.Value), "A", "P", stockObject.RateCurve, stockObject.Dividends, 20);
double putprice = put.Price();
Assert.AreEqual(putprice, 239.6014, 0.5);
put.MakeVega();
Assert.AreEqual(put.Vega, 9.093, 0.02);
}
}
}
}
/// <summary>
/// Creates a test vol surface to test temporal and strike volatility interpolation
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateTestVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("01-Jan-2010"), 4200);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("01-Jan-2011"), 4400);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike1 = new Strike(4200, call1, put1);
Strike strike2 = new Strike(4000, call2, put2);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.30M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.40M, VolatilityState.Default());
call2.SetVolatility(point2);
put2.SetVolatility(point2);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, true);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
return(volSurface);
}
/// <summary>
/// Creates the one point child.
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateOnePointChild()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry0 = new ForwardExpiry(DateTime.Parse("10-9-2009"), 4700);
OptionPosition call0 = new OptionPosition("1145", 104, PositionType.Call);
OptionPosition put0 = new OptionPosition("1146", 1200, PositionType.Put);
Strike strike0 = new Strike(0.20, 4599, call0, put0);
expiry0.AddStrike(strike0, true);
volSurface.AddExpiry(expiry0);
return(volSurface);
}
/// <summary>
/// Values at.
/// </summary>
/// <param name="stock"></param>
/// <param name="expiries">The expiries.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="?">Cache to vol object</param>
/// <param name="cache"></param>
/// <returns></returns>
public List <ForwardExpiry> ValueAt(Stock stock, List <DateTime> expiries, List <Double> strikes, bool cache)
{
var forwardExpiries = new List <ForwardExpiry>();
foreach (DateTime exp in expiries)
{
var fwdExpiry = new ForwardExpiry();
foreach (double str in strikes)
{
var wingModel = new WingInterp();
double forward = stock.GetForward(stock.Date, exp.Date);
double spot = Convert.ToDouble(stock.Spot);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
double y = str;
double x = (exp.Subtract(Date)).Days / 365.0;
IPoint point = new Point2D(x, y);
InterpCurve.Forward = forward;
InterpCurve.Spot = spot;
var val = InterpCurve.Value(point);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
fwdExpiry.ExpiryDate = exp;
bool node = VolatilitySurfaceHelper.IsMatch(str, exp, NodalExpiries);
// copy model used to return ForwardExpiry object
var newstrike = new Strike {
StrikePrice = str
};
var wing = (WingModelInterpolation)InterpCurve.GetYAxisInterpolatingFunction();
//SABRModelInterpolation wing = (SABRModelInterpolation)_interpCurve.GetYAxisInterpolatingFunction();
wingModel.WingParams = wing.WingParameters;
newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
newstrike.SetVolatility(vp);
}
forwardExpiries.Add(fwdExpiry);
}
return(forwardExpiries);
}
public void TestPricevsORCExample()
{
DateTime[] rtDates = { DateTime.Parse("17-Aug-2010"),
DateTime.Parse("17-Sep-2010"),
DateTime.Parse("18-Oct-2010"),
DateTime.Parse("17-Nov-2010"),
DateTime.Parse("10-Dec-2010") };
double[] rates = { 0.045507232,
0.046609656,
0.047336042,
0.047655159,
0.047737236 };
RateCurve rc = new RateCurve("AUD", "Semi-Annual", DateTime.Parse("16-Aug-2010"), rtDates, rates);
//Dividend d1 = new Dividend(DateTime.Parse("16-8-2010"), 11.745786M);
Dividend d2 = new Dividend(DateTime.Parse("17-8-2010"), 0.893295M);
Dividend d3 = new Dividend(DateTime.Parse("23-8-2010"), 7.856689M);
Dividend d4 = new Dividend(DateTime.Parse("24-8-2010"), 2.898251M);
Dividend d5 = new Dividend(DateTime.Parse("25-8-2010"), 3.344721M);
Dividend d6 = new Dividend(DateTime.Parse("26-8-2010"), 0.485070M);
Dividend d7 = new Dividend(DateTime.Parse("27-8-2010"), 0.835305M);
Dividend d8 = new Dividend(DateTime.Parse("30-8-2010"), 3.952976M);
Dividend d9 = new Dividend(DateTime.Parse("31-8-2010"), 0.884255M);
Dividend d10 = new Dividend(DateTime.Parse("1-9-2010"), 2.013798M);
Dividend d11 = new Dividend(DateTime.Parse("2-9-2010"), 1.241407M);
Dividend d12 = new Dividend(DateTime.Parse("3-9-2010"), 0.613699M);
Dividend d13 = new Dividend(DateTime.Parse("6-9-2010"), 11.712946M);
Dividend d14 = new Dividend(DateTime.Parse("7-9-2010"), 3.775104M);
Dividend d15 = new Dividend(DateTime.Parse("8-9-2010"), 0.606597M);
Dividend d16 = new Dividend(DateTime.Parse("9-9-2010"), 0.268093M);
Dividend d17 = new Dividend(DateTime.Parse("10-9-2010"), 0.144851M);
Dividend d18 = new Dividend(DateTime.Parse("13-9-2010"), 1.600975M);
Dividend d19 = new Dividend(DateTime.Parse("14-9-2010"), 1.499946M);
Dividend d20 = new Dividend(DateTime.Parse("15-9-2010"), 0.238824M);
Dividend d21 = new Dividend(DateTime.Parse("16-9-2010"), 0.117931M);
List <Dividend> divCurve = new List <Dividend>()
{
d2, d3, d4, d5, d6, d7, d8, d9, d10,
d11, d12, d13, d14, d15, d16, d17, d18, d19, d20, d21
};
DateTime date0 = new DateTime(2010, 08, 16);
DateTime exp = new DateTime(2010, 9, 16);
double spot = 4447.62;
//double future = 4420;
double strike = 4200;
string stockId = "XJO_Spot";
Stock stock = new Stock(date0, Convert.ToDecimal(spot), stockId, "XJO", rc, divCurve);
double fwd = stock.GetForward(date0, exp);
var wingParams1 = new OrcWingParameters
{
CurrentVol = 0.234828,
RefVol = 0.234828,
SlopeRef = -0.109109,
PutCurve = 1.235556,
CallCurve = 0.60895,
DnCutoff = -0.493791,
UpCutoff = 0.506209,
RefFwd = 4420.092383,
AtmForward = 4420.092383,
Vcr = 0,
Scr = 0,
Ssr = 100,
Dsr = 0.2,
Usr = 0.2,
};
VolatilitySurface vs = new VolatilitySurface(stockId, Convert.ToDecimal(spot), date0);
ForwardExpiry expiry = new ForwardExpiry(exp, Convert.ToDecimal(fwd));
OptionPosition op = new OptionPosition("XJO_Vanilla_ETO_Sep10_4200.000_Put", 30.237108, PositionType.Put);
Strike strike0 = new Strike(strike, null, op);
expiry.AddStrike(strike0, true);
List <double> strikes1 = new List <double> {
4200
};
ForwardExpiry forwardexpiry = vs.ValueAt(stock, exp, strikes1, wingParams1, true, false);
double vol = Convert.ToDouble(forwardexpiry.Strikes[0].Volatility.Value);
var utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, "European", "Put", rc, divCurve, 120);
double pr = Math.Round(utils.Price(), 7);
}