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);
}
}
}
}
public void TestVega()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "C";
string exercise = "E";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, exercise, paystyle, rc, divs, 120);
double pr = Math.Round(utils.Price(), 7);
utils.MakeVega();
double vega = Math.Round(utils.Vega, 7);
Assert.AreEqual(0.1223754, vega);
}