Esempio n. 1
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        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);
                    }
                }
            }
        }
Esempio n. 2
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        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);
                    }
                }
            }
        }
Esempio n. 3
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        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);
                    }
                }
            }
        }
Esempio n. 4
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        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);
        }
Esempio n. 5
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        public void TestITMPrice()
        {
            DateTime date0    = DateTime.Today;
            DateTime exp      = date0.AddDays(90);
            DateTime ex       = date0.AddDays(20);
            double   spot     = 100;
            double   strike   = 50;
            double   vol      = 0.50;
            string   paystyle = "C";
            string   exercise = "A";

            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);

            Debug.Print("Price is {0}", pr);
            Assert.AreEqual(50.1333834, pr);
        }
Esempio n. 6
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        public void TestImpliedVolPut()
        {
            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 = "P";

            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 amInstr  = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
            AmOptionAnalytics euInstr  = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
            double            am       = amInstr.Price();
            double            eu       = euInstr.Price();
            AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
            AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
            double            avol0    = amInstr0.OptSolveVol(am, 100);
            double            evol0    = euInstr0.OptSolveVol(eu, 100);
            Stock             stock    = new Stock(date0, 100, "dummy", "BHP", rc, divs);
            double            vol1     = OptionHelper.GetImpliedVol(stock, exp, strike, false, "A", am, 120);
            double            vol11    = OptionHelper.GetImpliedVol(stock, exp, strike, false, "American", am, 120);
            double            vol0     = OptionHelper.GetImpliedVol(stock, exp, strike, false, "E", eu, 120);
            double            vol00    = OptionHelper.GetImpliedVol(stock, exp, strike, false, "European", eu, 120);

            Assert.AreEqual(avol0, 0.50, 0.001);
            Assert.AreEqual(evol0, 1.00, 0.001);
            Assert.AreEqual(vol1, avol0, 0.001);
            Assert.AreEqual(vol11, avol0, 0.001);
            Assert.AreEqual(vol0, evol0, 0.001);
            Assert.AreEqual(vol00, evol0, 0.001);
        }
Esempio n. 7
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        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);
        }
Esempio n. 8
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        public void TestImpliedVolCall()
        {
            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";

            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 amInstr  = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
            AmOptionAnalytics euInstr  = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
            double            am       = amInstr.Price();
            double            eu       = euInstr.Price();
            AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
            AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
            double            avol0    = amInstr0.OptSolveVol(am, 100);
            double            evol0    = euInstr0.OptSolveVol(eu, 100);
            var      stock             = new Stock(date0, 100, "dummy", "BHP", rc, divs);
            DateTime start             = DateTime.Now;
            double   vol1 = OptionHelper.GetImpliedVol(stock, exp, 0.3, strike, true, "A", am, 120);
            DateTime end  = DateTime.Now;
            double   x1   = end.Subtract(start).Milliseconds;

            start = DateTime.Now;
            double vol11 = OptionHelper.GetImpliedVol(stock, exp, 0.2, strike, true, "American", am, 120);

            end = DateTime.Now;
            double x2 = end.Subtract(start).Milliseconds;

            start = DateTime.Now;
            double vol0 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "E", eu, 120);

            end = DateTime.Now;
            double x3 = end.Subtract(start).Milliseconds;

            start = DateTime.Now;
            double vol00 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "European", eu, 120);

            end = DateTime.Now;
            double x4 = end.Subtract(start).Milliseconds;

            Assert.AreEqual(avol0, 0.50, 0.001);
            Assert.AreEqual(evol0, 1.00, 0.001);

            Assert.AreEqual(vol1, avol0, 0.001);
            Assert.AreEqual(vol11, avol0, 0.001);

            Assert.AreEqual(vol0, evol0, 0.001);
            Assert.AreEqual(vol00, evol0, 0.001);

            Debug.Print("Time 1 : " + x1);
            Debug.Print("Time 2 : " + x2);
            Debug.Print("Time 3 : " + x3);
            Debug.Print("Time 4 : " + x4);
        }