public void Test_DataRetrieval()
{
var ds = DataSourceFromBars.New("tiingo:msft");
ds.LoadData(DateTime.Parse("01/01/2019"), DateTime.Parse("01/12/2019"));
Assert.IsTrue(ds.Info[TuringTrader.Simulator.DataSourceParam.name].ToLower().Contains("microsoft"));
Assert.IsTrue(((DateTime)ds.FirstTime).Date == DateTime.Parse("03/13/1986"));
//Assert.IsTrue(((DateTime)ds.LastTime).Date == DateTime.Parse("01/11/2019"));
Assert.IsTrue(ds.Data.Count() == 8);
Assert.IsTrue(Math.Abs(ds.Data.Last().Close / ds.Data.First().Open - 102.36056 / 99.12445) < 1e-3);
}
public void Test_DataRetrieval()
{
var ds = DataSourceFromBars.New("fred:GDPC1");
ds.LoadData(DateTime.Parse("09/30/2018"), DateTime.Parse("01/03/2019"));
Assert.IsTrue(ds.Info[TuringTrader.Simulator.DataSourceParam.name].ToLower().Contains("real gross domestic product"));
Assert.IsTrue(((DateTime)ds.FirstTime).Date == DateTime.Parse("01/01/1947"));
//Assert.IsTrue(((DateTime)ds.LastTime).Date == DateTime.Parse("01/11/2019"));
Assert.IsTrue(ds.Data.Count() == 64);
Assert.IsTrue(Math.Abs(ds.Data.First().Open - 18765.256) < 1e-2);
Assert.IsTrue(Math.Abs(ds.Data.Last().Close - 18912.326) < 1e-2);
}
public void Test_MarkowitzCLA()
{
// the instruments serves no function, other than as a key
Dictionary <Instrument, int> instruments = Enumerable.Range(0, 10)
.ToDictionary(i =>
{
Dictionary <DataSourceParam, string> info = new Dictionary <DataSourceParam, string>
{
{ DataSourceParam.name, string.Format("X{0}", i) },
{ DataSourceParam.nickName, string.Format("X{0}", i) },
};
var dataSource = new DataSourceFromBars(null, info);
return(new Instrument(null, dataSource));
},
i => i);
#region test vector #1 (William F. Sharpe)
{
// taken from https://web.stanford.edu/~wfsharpe/mia/opt/mia_opt3.htm
double[] mean =
{
2.8000,
6.3000,
10.8000
};
/*double[] sd =
* { // from source above, translated to covar matrix
* 1.0000,
* 7.4000,
* 15.4000,
* };
*
* double[,] corr =
* { // from source above, translated to covar matrix
* { 1.0000, 0.4000, 0.1500 },
* { 0.4000, 1.0000, 0.3500 },
* { 0.1500, 0.3500, 1.0000 },
* };*/
double[,] covar =
{ // from lequant40, should equal sd and corr above
{ 1, 2.96, 2.31 },
{ 2.96, 54.76, 39.886 },
{ 2.31, 39.886, 237.16 },
};
double[,] expectedWeights =
{ // => from source above
{ 0.2, 0.30000000000000004, 0.5 },
{ 0.2, 0.5, 0.30000000000000004 },
{ 0.22180737780348653, 0.5, 0.27819262219651353 },
{ 0.451915610952186, 0.348084389047814, 0.2 },
{ 0.5, 0.2999999999999999, 0.2 },
};
/* double[] expectedIDontKnow =
* { // from lequant40
* 20.898844444444443,
* 11.1475,
* 10.51088812347172,
* 7.55192170004087,
* 0,
* };*/
/* double[] expectedRiskTolerance =
* { // => see source above, unclear how this is calculated
* 41.80,
* 22.94,
* 22.30,
* 21.02,
* 15.10,
* 13.73,
* };*/
double[] expectedReturn =
{ // added by FUB
7.85,
6.95000000000006,
6.77554097757211,
5.61829536166734,
5.45,
};
double[] expectedRisk =
{ // added by FUB
8.77732305432584,
6.92166165021094,
6.64310912002921,
4.81952189552386,
4.56082448686638,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(3),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => 0.2,
i => 0.5);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
- expectedWeights[i, instruments[j]]) < 1e-5);
}
Assert.IsTrue(Math.Abs(turningPoint.Risk
- expectedRisk[i]) < 1e-5);
Assert.IsTrue(Math.Abs(turningPoint.Return
- expectedReturn[i]) < 1e-5);
}
}
#endregion
#region test vector #2 (H. Markowitz)
{
// Reference: Portfolio Selection, H. Markowitz example, chapter VIII "The computing procedure"
double[] mean =
{
0.062,
0.146,
0.128
};
double[,] covar =
{
{ 0.0146, 0.0187, 0.0145 },
{ 0.0187, 0.0854, 0.0104 },
{ 0.0145, 0.0104, 0.0289 },
};
double[,] expectedWeights =
{
{ 0, 1, 0 },
{ 0, 0.22496808316614988, 0.7750319168338501 },
{ 0.8414051841746248, 0, 0.15859481582537516 },
{ 0.9931034482758623, 0, 0.006896551724137813 },
};
/* double[] expectedIDontKnow =
* {
* 4.16666666666667,
* 0.1408064320019454,
* 0.03332764893133244,
* 0,
* };*/
double[] expectedReturn =
{
0.146,
0.132049425496991,
0.0724672578444748,
0.0624551724137931,
};
double[] expectedRisk =
{
0.292232783924048,
0.159085749259056,
0.122200612163491,
0.120827605888835,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(3),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => 0.0,
i => 1.0);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
- expectedWeights[i, instruments[j]]) < 1e-5);
}
Assert.IsTrue(Math.Abs(turningPoint.Risk
- expectedRisk[i]) < 1e-5);
Assert.IsTrue(Math.Abs(turningPoint.Return
- expectedReturn[i]) < 1e-5);
}
}
#endregion
#region test vector #3 (Clarence C. Kwan)
{
// Reference: A Simple Spreadsheet-Based Exposition of the Markowitz Critical Line Method for Portfolio Selection, Clarence C. Kwan
double[] mean =
{
0.05,
0.08,
0.12
};
double[,] covar =
{
{ 0.0004, 0.0004, 0.0002 },
{ 0.0004, 0.0025, 0.001 },
{ 0.0002, 0.001, 0.01 },
};
double[,] expectedWeights =
{
{ 0, 0, 1 },
{ 0, 0.6485013623978204, 0.3514986376021796 },
//{ 0.9754098360655736, 0, 0.024590163934426246 }, // FUB removed
{ 0.9799999999999999, 0, 0.02000000000000001 },
};
/* double[] expectedIDontKnow =
* {
* 0.22500000000000006,
* 0.05476839237057218,
* 0.0006557377049180337,
* 0,
* };*/
double[] expectedReturn =
{
0.12,
0.0940599455040872,
0.0514,
};
double[] expectedRisk =
{
0.1,
0.052371677991768,
0.0198997487421324,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(3),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => 0.0,
i => 1.0);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
- expectedWeights[i, instruments[j]]) < 1e-5);
}
Assert.IsTrue(Math.Abs(turningPoint.Risk
- expectedRisk[i]) < 1e-5);
Assert.IsTrue(Math.Abs(turningPoint.Return
- expectedReturn[i]) < 1e-5);
}
}
#endregion
#region test vector #4 (Clarence C. Kwan)
{
// Reference: A Simple Spreadsheet-Based Exposition of the Markowitz Critical Line Method for Portfolio Selection, Clarence C. Kwan
double[] mean =
{
0.05,
0.08,
0.12
};
double[,] covar =
{
{ 0.0004, 0.0004, 0.0002 },
{ 0.0004, 0.0025, 0.001 },
{ 0.0002, 0.001, 0.01 },
};
double[,] expectedWeights =
{
{ 0, 0.30000000000000004, 0.7 },
{ 0, 0.6485013623978203, 0.3514986376021798 },
//{ 0.7, 0.18310626702997274, 0.11689373297002724 }, // FUB removed
{ 0.7, 0.2438095238095238, 0.05619047619047619 },
};
/* double[] expectedIDontKnow =
* {
* 0.14625
* 0.05476839237057221
* 0.015934604904632152
* 0
* };*/
double[] expectedReturn =
{ // FUB
0.108,
0.094059945504087,
0.061247619047619,
};
double[] expectedRisk =
{ // FUB
0.0744647567645259,
0.0523716779917679,
0.0235764208277597,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(3),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => 0.0,
i => 0.7);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
- expectedWeights[i, instruments[j]]) < 1e-5);
}
Assert.IsTrue(Math.Abs(turningPoint.Risk
- expectedRisk[i]) < 1e-5);
Assert.IsTrue(Math.Abs(turningPoint.Return
- expectedReturn[i]) < 1e-5);
}
}
#endregion
#region test vector #5 (David H. Bailey, Marcos Lopez de Prado)
{
// Reference: An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization, David H. Bailey and Marcos Lopez de Prado
// section 5, A Numerical Example
double[] mean =
{
1.175,
1.19,
0.396,
1.12,
0.346,
0.679,
0.089,
0.73,
0.481,
1.08
};
double[,] covar =
{
{ 0.40755159, 0.03175842, 0.05183923, 0.05663904, 0.0330226, 0.00827775, 0.02165938, 0.01332419, 0.0343476, 0.02249903 },
{ 0.03175842, 0.9063047, 0.03136385, 0.02687256, 0.01917172, 0.00934384, 0.02495043, 0.00761036, 0.02874874, 0.01336866 },
{ 0.05183923, 0.03136385, 0.19490901, 0.04408485, 0.03006772, 0.01322738, 0.03525971, 0.0115493, 0.0427563, 0.02057303 },
{ 0.05663904, 0.02687256, 0.04408485, 0.19528471, 0.02777345, 0.00526665, 0.01375808, 0.00780878, 0.02914176, 0.01640377 },
{ 0.0330226, 0.01917172, 0.03006772, 0.02777345, 0.34059105, 0.00777055, 0.02067844, 0.00736409, 0.02542657, 0.01284075 },
{ 0.00827775, 0.00934384, 0.01322738, 0.00526665, 0.00777055, 0.15983874, 0.02105575, 0.00518686, 0.01723737, 0.00723779 },
{ 0.02165938, 0.02495043, 0.03525971, 0.01375808, 0.02067844, 0.02105575, 0.68056711, 0.01377882, 0.04627027, 0.01926088 },
{ 0.01332419, 0.00761036, 0.0115493, 0.00780878, 0.00736409, 0.00518686, 0.01377882, 0.95526918, 0.0106553, 0.00760955 },
{ 0.0343476, 0.02874874, 0.0427563, 0.02914176, 0.02542657, 0.01723737, 0.04627027, 0.0106553, 0.31681584, 0.01854318 },
{ 0.02249903, 0.01336866, 0.02057303, 0.01640377, 0.01284075, 0.00723779, 0.01926088, 0.00760955, 0.01854318, 0.11079287 },
};
double[,] expectedWeights =
{
{ 0, 1, 0, 0, 0, 0, 0, 0, 0, 0 },
{ 0.6493694070931811, 0.3506305929068189, 0, 0, 0, 0, 0, 0, 0, 0 },
{ 0.4339841341086239, 0.23124750065448754, 0, 0.334768365236889, 0, 0, 0, 0, 0, 0 },
{ 0.12688785385570883, 0.07234334721032556, 0, 0.28125374926334057, 0, 0, 0, 0, 0, 0.5195150496706249 },
{ 0.12320100405906734, 0.07044407130753655, 0, 0.2789935668090118, 0, 0, 0, 0.006435564362887149, 0, 0.5209257934614971 },
{ 0.0869215492990579, 0.050451042268558385, 0, 0.22359401742288823, 0, 0.17383161507156486, 0, 0.03017301555135618, 0, 0.4350287603865743 },
{ 0.0846709411996219, 0.049253858741118525, 0, 0.21963390336360733, 0, 0.18003923464176064, 0, 0.03102980185535347, 0.006485702415438152, 0.42888655778310003 },
{ 0.07378925302280315, 0.043828660769718863, 0, 0.19897560805881487, 0.026158159857441972, 0.19815187227970524, 0, 0.03341958639919798, 0.027902966026643668, 0.3977738935856743 },
{ 0.06834400480527462, 0.041387026820649334, 0.015215259551836627, 0.18813443107045838, 0.03416248599274816, 0.20231943214747125, 0, 0.0339293235595669, 0.03363264959172938, 0.38287538646026537 },
{ 0.03696858147921504, 0.02690083780081047, 0.0949424305647986, 0.1257759521946726, 0.0767460810325476, 0.21935567131616898, 0.029987096882220312, 0.035963284621386274, 0.06134983772972688, 0.29201022637845325 },
};
/* double[] expectedIDontKnow =
* {
* 58.30308533333371
* 4.1742728458857385
* 1.9455661414558894
* 0.16458117494477595
* 0.1473887508934171
* 0.056172204002751545
* 0.05204819067458028
* 0.03652161374727064
* 0.030971168861678777
* 0
* };*/
double[] expectedReturn =
{ // Table 2
1.18999999999995,
1.1802594588936,
1.16005645242179,
1.11126226427996,
1.10836023837479,
1.02248388944319,
1.01530592052246,
0.972720434034985,
0.949936815755027,
0.803215359876534,
};
double[] expectedRisk =
{ // Table 2
0.952000367646947,
0.545656874268239,
0.41725565037332,
0.266719614211323,
0.265016995301471,
0.229680073596095,
0.22798274842085,
0.219554880082679,
0.216024571686891,
0.205237619813865,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(10),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => 0.0,
i => 1.0);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
- expectedWeights[i, instruments[j]]) < 1e-5);
}
Assert.IsTrue(Math.Abs(turningPoint.Risk
- expectedRisk[i]) < 1e-5);
Assert.IsTrue(Math.Abs(turningPoint.Return
- expectedReturn[i]) < 1e-5);
}
}
#endregion
#region vector #6 (FUB, MarkowitzCLA: aborted after 201 iterations)
{
double[] mean =
{
1.924775229385712E-001,
3.047470098437341E-002,
3.600448981380029E-002,
1.771499702814230E-002
};
double[,] covar =
{
{ 5.173614384902067E-003, 5.563709795663105E-003, 6.879256076222439E-005, 1.046411951839147E-006, },
{ 5.563709795663105E-003, 1.192747981284741E-002, -2.159113135212455E-004, 8.210747330824326E-006, },
{ 6.879256076222439E-005, -2.159113135212455E-004, 3.263193293253446E-004, 8.122710323505884E-006, },
{ 1.046411951839147E-006, 8.210747330824326E-006, 8.122710323505884E-006, 8.273639320440565E-007, },
};
double[] lbound =
{
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
};
double[] ubound =
{
7.500000000000000E-001,
3.000000000000000E-001,
1.000000000000000E+000,
1.000000000000000E+000,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(mean.Count()),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => lbound[instruments[i]],
i => ubound[instruments[i]]);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
//Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
// - expectedWeights[i, instruments[j]]) < 1e-5);
}
//Assert.IsTrue(Math.Abs(turningPoint.Risk
// - expectedRisk[i]) < 1e-5);
//Assert.IsTrue(Math.Abs(turningPoint.Return
// - expectedReturn[i]) < 1e-5);
}
}
#endregion
#region vector #6 (FUB, MarkowitzCLA: aborted after 601 iterations)
{
double[] mean =
{
-1.452452351127411E+000,
-1.790134620283237E+000,
-1.748238206213537E+000,
2.763028800375313E-001,
1.219050250899282E-001,
-2.371535989891006E+000,
-2.362385628920209E+000,
-4.345226550223316E-001,
-1.917733811334479E+000,
-1.886615646689930E+000,
-1.016593945085099E+000,
-2.180839753535210E+000,
};
double[,] covar =
{
{ 4.107667557689510E-001, 3.532770338212708E-001, 3.920114515455653E-001, -6.397854059553235E-002, -2.342593174622205E-002, 6.235865058863653E-001, 5.103235914057721E-001, 5.769579319939092E-002, 4.637175699581909E-001, 2.234971094290169E-001, 3.931823752513509E-001, 4.236514050136496E-001, },
{ 3.532770338212708E-001, 3.304477192804682E-001, 3.452738727085928E-001, -6.222848366575079E-002, -2.751843965308908E-002, 5.748535972479941E-001, 4.692451254532845E-001, 3.967304767223456E-002, 4.054424818170270E-001, 1.997384020454393E-001, 3.323921922263131E-001, 3.411631700478977E-001, },
{ 3.920114515455653E-001, 3.452738727085928E-001, 4.317189033893861E-001, -7.400102899188042E-002, -2.850117040169742E-002, 6.039546143920506E-001, 5.630294416931898E-001, 2.936752803539871E-002, 4.389400300421475E-001, 1.982114609578972E-001, 3.294655288657495E-001, 4.162231314394415E-001, },
{ -6.397854059553235E-002, -6.222848366575079E-002, -7.400102899188042E-002, 4.770878570857436E-002, 2.335142331965847E-002, -1.189553139504919E-001, -1.106745510298056E-001, -1.269822420551352E-002, -7.111001726644241E-002, -3.499608798785736E-002, -5.336890446270736E-002, -6.281607416760732E-002, },
{ -2.342593174622205E-002, -2.751843965308908E-002, -2.850117040169742E-002, 2.335142331965847E-002, 1.452926950496856E-002, -5.995475036431692E-002, -4.293730406468507E-002, -8.729972561009053E-003, -2.665821670530143E-002, -1.524705100923784E-002, -1.997829761215913E-002, -2.015972460232533E-002, },
{ 6.235865058863653E-001, 5.748535972479941E-001, 6.039546143920506E-001, -1.189553139504919E-001, -5.995475036431692E-002, 1.221232689432789E+000, 8.118393849671881E-001, 1.019587546988631E-001, 7.579084955172553E-001, 3.448708981352991E-001, 6.186443380390989E-001, 6.503743963305754E-001, },
{ 5.103235914057721E-001, 4.692451254532845E-001, 5.630294416931898E-001, -1.106745510298056E-001, -4.293730406468507E-002, 8.118393849671881E-001, 8.447658647509614E-001, 7.376862934900393E-002, 5.941244050822955E-001, 2.682387280553992E-001, 4.306022120966404E-001, 5.040965017479671E-001, },
{ 5.769579319939092E-002, 3.967304767223456E-002, 2.936752803539871E-002, -1.269822420551352E-002, -8.729972561009053E-003, 1.019587546988631E-001, 7.376862934900393E-002, 1.836339363503214E-001, 8.670894228186039E-002, 8.068006861263177E-002, 8.570350597393994E-002, 4.944293677683691E-002, },
{ 4.637175699581909E-001, 4.054424818170270E-001, 4.389400300421475E-001, -7.111001726644241E-002, -2.665821670530143E-002, 7.579084955172553E-001, 5.941244050822955E-001, 8.670894228186039E-002, 5.672084581519490E-001, 2.681297372418839E-001, 4.554381142124682E-001, 4.934809498023794E-001, },
{ 2.234971094290169E-001, 1.997384020454393E-001, 1.982114609578972E-001, -3.499608798785736E-002, -1.524705100923784E-002, 3.448708981352991E-001, 2.682387280553992E-001, 8.068006861263177E-002, 2.681297372418839E-001, 1.820220307339481E-001, 2.240698610401698E-001, 2.150697944198728E-001, },
{ 3.931823752513509E-001, 3.323921922263131E-001, 3.294655288657495E-001, -5.336890446270736E-002, -1.997829761215913E-002, 6.186443380390989E-001, 4.306022120966404E-001, 8.570350597393994E-002, 4.554381142124682E-001, 2.240698610401698E-001, 4.827661636654928E-001, 4.158546001993272E-001, },
{ 4.236514050136496E-001, 3.411631700478977E-001, 4.162231314394415E-001, -6.281607416760732E-002, -2.015972460232533E-002, 6.503743963305754E-001, 5.040965017479671E-001, 4.944293677683691E-002, 4.934809498023794E-001, 2.150697944198728E-001, 4.158546001993272E-001, 5.559629287257121E-001, },
};
double[] lbound =
{
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
};
double[] ubound =
{
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
3.000000000000000E-001,
1.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
0.000000000000000E+000,
};
var cla = new TuringTrader.Support.PortfolioSupport.MarkowitzCLA(
instruments.Keys.Take(mean.Count()),
i => mean[instruments[i]],
(i, j) => covar[instruments[i], instruments[j]],
i => lbound[instruments[i]],
i => ubound[instruments[i]]);
var turningPoints = cla.TurningPoints().ToList();
for (int i = 0; i < turningPoints.Count(); i++)
{
var turningPoint = turningPoints[i];
foreach (var j in turningPoint.Weights.Keys)
{
//Assert.IsTrue(Math.Abs(turningPoint.Weights[j]
// - expectedWeights[i, instruments[j]]) < 1e-5);
}
//Assert.IsTrue(Math.Abs(turningPoint.Risk
// - expectedRisk[i]) < 1e-5);
//Assert.IsTrue(Math.Abs(turningPoint.Return
// - expectedReturn[i]) < 1e-5);
}
}
#endregion
// TODO: random test, w/ target volatility or target return
/*
* var covMat =[[0.0146, 0.0187, 0.0145],
* [0.0187, 0.0854, 0.0104],
* [0.0145, 0.0104, 0.0289]];
* var returns = [0.062, 0.146, 0.128];
*/
}
public void Test_PriceAndGreeks()
{
List <TestVector> testVectors = new List <TestVector>
{
new TestVector
{
quoteDate = DateTime.Parse("10/01/2015"),
underlyingLast = 1921.42,
riskFreeRate = 0.024, dividendYield = 0.00, //0.018,
expiration = DateTime.Parse("10/16/2015"),
strike = 1845, isPut = false, bid = 85.80, ask = 90.00,
// impliedVol = 0.2538, delta = 0.798, gamma = 0.0029, theta = -351.149, vega = 107.226 // from historical data
impliedVol = 0.23699109, delta = 0.81315737, gamma = 0.00291045, theta = -337.13293066, vega = 104.57753610
},
new TestVector
{
quoteDate = DateTime.Parse("10/01/2015"),
underlyingLast = 1921.42,
riskFreeRate = 0.024, dividendYield = 0.00, //0.018,
expiration = DateTime.Parse("10/16/2015"),
strike = 1980, isPut = false, bid = 6.80, ask = 8.20,
// impliedVol = 0.177, delta = 0.2018, gamma = 0.0042, theta = -242.777, vega = 107.183 // from historical data
impliedVol = 0.17021597, delta = 0.20473715, gamma = 0.00428357, theta = -238.35915581, vega = 110.54824762
},
new TestVector
{
quoteDate = DateTime.Parse("10/01/2015"),
underlyingLast = 1921.42,
riskFreeRate = 0.024, dividendYield = 0.00, //0.018,
expiration = DateTime.Parse("10/16/2015"),
strike = 1845, isPut = true, bid = 9.40, ask = 11.60,
// impliedVol = 0.2472, delta = -0.1961, gamma = 0.0029, theta = -330.323, vega = 105.344 // from historical data
impliedVol = 0.24491080, delta = -0.19423270, gamma = 0.00288422, theta = -310.13506432, vega = 107.09810115
},
new TestVector
{
quoteDate = DateTime.Parse("10/01/2015"),
underlyingLast = 1921.42,
riskFreeRate = 0.024, dividendYield = 0.00, //0.018,
expiration = DateTime.Parse("10/16/2015"),
strike = 1980, isPut = true, bid = 63.20, ask = 67.90,
// impliedVol = 0.1734, delta = -0.8032, gamma = 0.0042, theta = -227.891, vega = 105.562 // from historical data
impliedVol = 0.18275260, delta = -0.77809756, gamma = 0.00418151, theta = -220.34075530, vega = 115.86234498
},
new TestVector
{
quoteDate = DateTime.Parse("01/04/2016"),
underlyingLast = 1993.680054,
riskFreeRate = 0.024, dividendYield = 0.00,
expiration = DateTime.Parse("02/26/2016"),
strike = 300, isPut = false, bid = 1695.00, ask = 1695.00,
//impliedVol = 1.9811, delta = 0.9973, gamma = 0.000004, theta = -0.064148, vega = 0.047015 // from historical data
impliedVol = 1.72686453, delta = 0.99934408, gamma = 0.00000174, theta = -17.45819022, vega = 1.73456198
},
};
foreach (var testVector in testVectors)
{
//--- create data source for underlying
Dictionary <DataSourceParam, string> underlyingInfos = new Dictionary <DataSourceParam, string>
{
{ DataSourceParam.name, "S&P 500 Index" }
};
List <Bar> underlyingBars = new List <Bar>
{
new Bar(
"SPX", testVector.quoteDate,
testVector.underlyingLast, testVector.underlyingLast, testVector.underlyingLast, testVector.underlyingLast, 100, true,
default(double), default(double), default(long), default(long), false,
default(DateTime), default(double), default(bool))
};
DataSource underlyingDataSource = new DataSourceFromBars(underlyingBars, underlyingInfos);
//--- create data source for option
Dictionary <DataSourceParam, string> optionInfos = new Dictionary <DataSourceParam, string>
{
{ DataSourceParam.name, "S&P 500 Index Options" },
{ DataSourceParam.optionUnderlying, "SPX" }
};
List <Bar> optionBars = new List <Bar>
{
new Bar(
"SPX_Option", testVector.quoteDate,
default(double), default(double), default(double), default(double), default(long), false,
testVector.bid, testVector.ask, 100, 100, true,
testVector.expiration, testVector.strike, testVector.isPut)
};
DataSource optionDataSource = new DataSourceFromBars(optionBars, optionInfos);
//--- run test
TuringTrader.Simulator.SimulatorCore callSim = new TestSimulator(
new List <DataSource> {
underlyingDataSource, optionDataSource
},
testVector.riskFreeRate, testVector.dividendYield,
testVector.impliedVol, testVector.delta, testVector.gamma, testVector.theta, testVector.vega
);
}
}
