public unsafe void PriceCall()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] spots = new double[1] {
100.0
};
double[] volatilities = new double[1] {
0.05
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
double[] trends = new double[1] {
0.05
};
double price;
double ic;
API1.PriceBasket(
maturity, //maturity in years
optionSize, //optionSize
strike, //strike when applicable
payoffCoefficients, //payoffCoefficients
nbSamples, //nbSamples
spots, //spots
volatilities, //volatilities
interestRate, //interest rate
correlations, //correlations
trends, //trends (donc égaux au taux d'intérêt)
&price,
&ic);
//price et ics contiennent prix et intervalle de couverture selon le pricer
double realPrice = TestsCall.RealPrice(maturity,
strike,
spots,
volatilities,
interestRate,
correlations,
0.0);
// directive assert : Assure que le prix renvoyé par la formule fermée et celui renvoyé par la simulation sont dans un intervalle de confiance de largeur 2%.
Assert.IsTrue(Math.Abs((realPrice - price) / price) < 0.05);
}
public void TestDeltaCall_0()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] spots = new double[1] {
100.0
};
double[] volatilities = new double[1] {
0.1
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
// int timestepNumber = 1;
double[] trends = new double[1] {
0.05
};
API1.DeltasMultiCurrencyBasket(
maturity,
optionSize,
strike,
payoffCoefficients,
nbSamples,
spots,
volatilities,
interestRate,
correlations,
trends,
out IntPtr deltasPtr);
double[] deltas = new double[1];
System.Runtime.InteropServices.Marshal.Copy(deltasPtr, deltas, 0, 1); //< -deltas contient maintenant les deltas
double realDelta = PricerDll.CustomTests.TestsCall.RealDelta0(maturity,
strike,
spots,
volatilities,
interestRate,
correlations,
0.0);
//Assure que le delta calculé et simulé sont dans un intervalle de confiance de largeur inferieure à 2%.
Assert.IsTrue(Math.Abs((realDelta - deltas[0]) / deltas[0]) < 0.02);
}
public unsafe void PerformPriceTests()
{
int nbSamples;
double[] currentPrices;
double[] volatilities;
double[] interestRates;
double[] correlations;
double[] past;
int nbRows;
double t;
double price;
double ic;
nbSamples = 100000;
currentPrices = new double[11] {
100.0, 100.0, 100.0, 100.0, 100.0, 100.0,
1.0, 1.0, 1.0, 1.0, 1.0
};
volatilities = new double[11] {
0, 0, 0, 0, 0, 0,
0, 0, 0, 0, 0
};
interestRates = new double[6] {
0, 0, 0, 0, 0, 0
};
correlations = new double[11 * 11];
for (int i = 0; i < 11; i++)
{
for (int j = 0; j < 11; j++)
{
correlations[11 * i + j] = i == j ? 1 : 0;
}
}
past = currentPrices;
nbRows = 1;
t = 0;
API1.PriceMultimonde2021Quanto(
nbSamples,
past,
nbRows,
t,
currentPrices,
volatilities,
interestRates,
correlations,
&price,
&ic);
Assert.IsTrue(price == 100);
}
public unsafe void PerformPriceTestAnyTime()
{
double price;
double ic;
int nbSamples = 100000;
double[] volatilities = new double[11] {
0, 0, 0, 0, 0, 0,
0, 0, 0, 0, 0
};
double[] interestRates = new double[6] {
0, 0, 0, 0, 0, 0
};
double[] correlations = new double[11 * 11];
for (int i = 0; i < 11; i++)
{
for (int j = 0; j < 11; j++)
{
correlations[11 * i + j] = i == j ? 1 : 0;
}
}
int nbRows = 6;
double t = (371 / 365.25) * 5.999;
double[] past = new double[6 * 11]
{
100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0
};
double[] currentPrices = new double[11] {
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0
};
API1.PriceMultimonde2021Quanto(
nbSamples,
past,
nbRows,
t,
currentPrices,
volatilities,
interestRates,
correlations,
&price,
&ic);
}
public unsafe void PriceTestQuanto()
{
double maturity = 3.0;
double strike = 100.0;
int nbSamples = 1000000;
double currFXRate = 1.0;
double[] interestRates = new double[2] {
0.05, 0.05
};
double[] spots = new double[2] {
100.0, currFXRate *Math.Exp(-interestRates[1] * maturity)
};
double[] volatilities = new double[2] {
0.05, 0.00
};
double[] correlations = new double[4] {
1.0, 0.0, 0.0, 1.0
};
double price;
double ic;
API1.PriceQuanto(
maturity, //maturity in years
strike, //strike when applicable
nbSamples, //nbSamples
spots, //spots
volatilities, //volatilities
interestRates, //interest rate
correlations, //correlations
0.0,
spots,
&price,
&ic);
double date = 0.0;
//price et ics contiennent prix et intervalle de couverture selon le pricer
double realPrice = TestsQuanto.RealPriceCallQuanto(maturity,
strike,
spots,
volatilities,
interestRates,
correlations,
date);
Assert.IsTrue((realPrice < price + 1.5 * ic / 2) || (realPrice > price - 1.5 * ic / 2));
}
public void DeltaTestAnyTime()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] volatilities = new double[1] {
0.05
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
double[] trends = new double[1] {
0.05
};
double t = 1.0;
double[] past = new double[1] {
100.00
};
int nbRows = 1;
double[] currents = new double[1] {
95.0
};
double[] deltas = new double[1];
double nbTimeStep = 1;
API1.DeltasMultiCurrencyBasketAnyTime(
maturity,
optionSize,
strike,
payoffCoefficients,
nbSamples,
past,
nbRows,
t,
currents,
volatilities,
interestRate,
correlations,
trends,
nbTimeStep,
out IntPtr deltasPtr);
System.Runtime.InteropServices.Marshal.Copy(deltasPtr, deltas, 0, 1); //< -deltas contient maintenant les deltas
double realDelta = TestsCall.RealDeltaAnyTime(maturity,
strike,
currents,
volatilities,
interestRate,
correlations,
t);
Assert.IsTrue(Math.Abs((realDelta - deltas[0]) / deltas[0]) < 0.02);
}
public void DeltaTest0()
{
double maturity = 3.0;
double strike = 100.0;
int nbSamples = 10000;
double currFXRate = 1.2;
double[] interestRates = new double[2] {
0.05, 0.03
};;
double[] spots = new double[2] {
100.0, currFXRate *Math.Exp(-interestRates[1] * maturity)
};
double[] volatilities = new double[2] {
0.01, 0.02
};
double[] correlations = new double[4] {
1.0, 0.05, 0.05, 1.0
};
//call quanto = une seule monnaie pour l'actif (un actif quoi), elle est etrangère
API1.SimulDeltasQuanto(
maturity,
strike,
nbSamples,
spots,
volatilities,
interestRates,
correlations,
0,
spots,
out IntPtr deltasAssets,
out IntPtr deltasFXRates);
double date = 0.0;
//price et ics contiennent prix et intervalle de couverture selon le pricer
double[] realDelta = TestsQuanto.RealDeltaQuanto0(maturity,
strike,
spots,
volatilities,
interestRates,
correlations,
new double[1] {
currFXRate
},
date);
double[] deltas = new double[2];
double[] tmp = new double[1];
System.Runtime.InteropServices.Marshal.Copy(deltasAssets, tmp, 0, 1);
deltas[0] = tmp[0];
System.Runtime.InteropServices.Marshal.Copy(deltasFXRates, tmp, 0, 1);
deltas[1] = tmp[0];
double realPrice = TestsQuanto.RealPriceCallQuanto(maturity, strike, spots, volatilities, interestRates, correlations, 0);
double tmpD = realPrice - realDelta[0] * spots[0] * currFXRate - realDelta[1] * Math.Exp(-interestRates[0] * maturity);
tmpD /= spots[1];
realDelta[1] = tmpD;
Assert.IsTrue(Math.Abs((realDelta[0] - deltas[0]) / deltas[0]) < 0.05);
}
public unsafe void PriceTestCallAnyTime()
{
double maturity = 3.0;
int optionSize = 1;
double strike = 100.0;
double[] payoffCoefficients = new double[1] {
1.0
};
int nbSamples = 1000000;
double[] past = new double[1] {
100.0
};
int nbRows = 1;
double[] currents = new double[1] {
105.0
};
double t = 1.0;
double[] volatilities = new double[1] {
0.05
};
double interestRate = 0.05;
double[] correlations = new double[1] {
1.0
};
double[] trends = new double[1] {
0.05
};
double nbTimeStep = 1;
double price;
double ic;
API1.PriceBasketAnyTime(
maturity,
optionSize,
strike,
payoffCoefficients,
nbSamples,
past,
nbRows,
t,
currents,
volatilities,
interestRate,
correlations,
trends,
nbTimeStep,
&price,
&ic);
//price et ics contiennent prix et intervalle de couverture selon le pricer
double realPrice = TestsCall.RealPrice(maturity,
strike,
currents,
volatilities,
interestRate,
correlations,
t);
//assure que prix formule fermée et prix simulé en tout t<T dans un intervalle de confiance de largeur 2%
Assert.IsTrue(Math.Abs((realPrice - price) / price) < 0.05);
}
