public void CommodityBinaryEuropeanOptionTest()
{
var goldOption = new BinaryOption(
new Date(2015, 03, 20),
new Date(2015, 06, 16),
OptionExercise.European,
OptionType.Put,
231.733,
InstrumentType.Futures,
BinaryOptionPayoffType.CashOrNothing,
10.0,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { new Date(2015, 06, 16) },
new[] { new Date(2015, 06, 16) },
5.5
);
var market = GetMarket();
IMarketCondition marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>("Fr007").YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>("Fr007").YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", 240.6 }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", market.GetData <VolSurfMktData>("goldVolSurf").ToImpliedVolSurface(market.ReferenceDate) }
}
);
var engine = new AnalyticalBinaryEuropeanOptionEngine();
var result = engine.Calculate(goldOption, marketCondition, PricingRequest.All);
Assert.AreEqual(0.615985804, result.Pv, 1e-8);
Assert.AreEqual(-0.409184000310747, result.Delta, 1e-8);
Assert.AreEqual(0.239395655872165, result.Gamma, 1e-8);
Assert.AreEqual(0.265082040475919, result.Vega, 1e-8);
Assert.AreEqual(-8.43816170E-07, result.Rho, 1e-8);
var engine2 = new AnalyticalBinaryEuropeanOptionReplicationEngine(2.0, BinaryOptionReplicationStrategy.Up);
result = engine2.Calculate(goldOption, marketCondition, PricingRequest.All);
Assert.AreEqual(1.25655313, result.Pv, 1e-8);
Assert.AreEqual(-0.745647330608376, result.Delta, 1e-8);
Assert.AreEqual(0.377738685022888, result.Gamma, 1e-8);
Assert.AreEqual(0.417379971819684, result.Vega, 1e-8);
Assert.AreEqual(-1.72130447839702E-06, result.Rho, 1e-8);
}
public void CommodityJinTaoBinaryEuropeanOptionTest()
{
var strike = 3100.0;
var spot = 2900;
var expiry = new Date(2017, 12, 17);
var valuationDay = "2017-12-01";
var option = new BinaryOption(
new Date(2017, 12, 1),
expiry,
OptionExercise.European,
OptionType.Call,
strike,
InstrumentType.CommodityFutures,
BinaryOptionPayoffType.CashOrNothing,
2,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { expiry },
new[] { expiry },
notional: 1
);
var optionInfo = new BinaryOptionInfo(
tradeId: "",
valuationParameter: new OptionValuationParameters("Fr007", "diviCurve", "volSurf", "000300.SH"),
underlyingTicker: "000300.SH",
strike: strike,
underlyingInstrumentType: "CommodityFutures",
optionType: "Call",
notional: 1,
startDate: "2017-12-01",
exerciseDates: "2017-12-17"
)
{
CashOrNothingAmount = 2,
BinaryOptionPayoffType = "CashOrNothing",
BinaryOptionReplicationStrategy = "Down",
ReplicationShiftSize = 2,
};
var curveName = "Fr007";
var volName = "volSurf";
var diviCurveName = "diviCurve";
var market = GetMarketJinTao(valuationDay, rate: 0.04, vol: 0.4, dividendRate: 0, curveName: curveName, volName: volName, diviCurveName: diviCurveName, spot: spot);
var volsurf = market.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate);
IMarketCondition marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spot }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volsurf }
}
);
var engine = new AnalyticalBinaryEuropeanOptionEngine();
var result = engine.Calculate(option, marketCondition, PricingRequest.All);
Assert.AreEqual(0.401208951727572, result.Pv, 1e-8);
Assert.AreEqual(0.00230806033816866, result.Delta, 1e-8);
Assert.AreEqual(7.16979364767667E-06, result.Gamma, 1e-8);
Assert.AreEqual(0.0105751548032081, result.Vega, 1e-8);
Assert.AreEqual(-0.0149236357909549, result.Theta, 1e-8);
Assert.AreEqual(-1.75872031726865E-06, result.Rho, 1e-8);
var engine2 = new AnalyticalBinaryEuropeanOptionReplicationEngine(2.0, BinaryOptionReplicationStrategy.Down);
var result2 = engine2.Calculate(option, marketCondition, PricingRequest.All);
Assert.AreEqual(0.403373182249897, result2.Pv, 1e-7);
Assert.AreEqual(0.00231550673674974, result2.Delta, 1e-7);
Assert.AreEqual(7.16340764483903E-06, result2.Gamma, 1e-7);
Assert.AreEqual(0.0105550810113932, result2.Vega, 1e-7);
Assert.AreEqual(-0.0149004654797067, result2.Theta, 1e-7);
Assert.AreEqual(-1.74927811613657E-06, result2.Rho, 1e-7);
var vfResult = new BinaryOptionVf(optionInfo).ValueTrade(market, PricingRequest.Pv);
Assert.AreEqual(vfResult.Pv, result2.Pv, 1e-7);
Assert.AreEqual(result2.Pv > result.Pv, true);
}
public void CommodityBinaryOptionGreekTest(double vol, double spot, double strike, Boolean isCall = true, Boolean isCashOrNothing = true,
string t0 = "2017-12-01", string t1 = "2017-12-02", double volMove = 0.10, double mktMove = 1e-4, double toleranceInPct = 2)
{
var T0 = DateFromStr(t0);
var T1 = DateFromStr(t1);
var spotNew = spot + spot * mktMove;
var volNew = vol + volMove;
var expiry = new Date(2017, 12, 17);
var valuationDay = t0;
var valuationDayNew = t1;
var option = new BinaryOption(
T0,
expiry,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
strike,
InstrumentType.CommodityFutures,
isCashOrNothing ? BinaryOptionPayoffType.CashOrNothing : BinaryOptionPayoffType.AssetOrNothing,
2,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { expiry },
new[] { expiry },
notional: 1
);
var curveName = "Fr007";
var volName = "volSurf";
var diviCurveName = "diviCurve";
var market = GetMarketJinTao(valuationDay, rate: 0.04, vol: vol, dividendRate: 0, curveName: curveName, volName: volName, diviCurveName: diviCurveName);
IMarketCondition marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spot }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", market.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate) }
}
);
var marketNew = GetMarketJinTao(valuationDayNew, rate: 0.04, vol: volNew, dividendRate: 0, curveName: curveName, volName: volName, diviCurveName: diviCurveName);
IMarketCondition marketConditionNew = new MarketCondition(
x => x.ValuationDate.Value = marketNew.ReferenceDate,
x => x.DiscountCurve.Value = marketNew.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", marketNew.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spotNew }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", marketNew.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate) }
}
);
IMarketCondition marketConditionPI = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spotNew }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", market.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate) }
}
);
var marketVI = GetMarketJinTao(valuationDay, rate: 0.04, vol: volNew, dividendRate: 0, curveName: curveName, volName: volName, diviCurveName: diviCurveName);
IMarketCondition marketConditionVI = new MarketCondition(
x => x.ValuationDate.Value = marketVI.ReferenceDate,
x => x.DiscountCurve.Value = marketVI.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", marketVI.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spot }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", marketVI.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate) }
}
);
var marketPVC = GetMarketJinTao(valuationDay, rate: 0.04, vol: volNew, dividendRate: 0, curveName: curveName, volName: volName, diviCurveName: diviCurveName);
IMarketCondition marketConditionPVC = new MarketCondition(
x => x.ValuationDate.Value = marketPVC.ReferenceDate,
x => x.DiscountCurve.Value = marketPVC.GetData <CurveData>(curveName).YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", marketPVC.GetData <CurveData>(diviCurveName).YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spotNew }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", marketPVC.GetData <VolSurfMktData>(volName).ToImpliedVolSurface(market.ReferenceDate) }
}
);
var engine = new AnalyticalBinaryEuropeanOptionEngine();
var result = engine.Calculate(option, marketCondition, PricingRequest.All);
var resultNew = engine.Calculate(option, marketConditionNew, PricingRequest.All);
var resultPI = engine.Calculate(option, marketConditionPI, PricingRequest.All);
var resultVI = engine.Calculate(option, marketConditionVI, PricingRequest.All);
var resultPVC = engine.Calculate(option, marketConditionPVC, PricingRequest.All);
var actualPL = resultNew.Pv - result.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv = result.Pv;
var PI = resultPI.Pv - basePv;
var thetapl = result.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI = resultVI.Pv - basePv;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC = resultPVC.Pv - basePv - PI - VI;
var newEstimate = PI + VI + PVC + thetapl;
var newUnexplained = actualPL - newEstimate;
//Time impact
//TI = PV(t, all OldInfo) - Pv(t-1)
//TODO:
//Time/ price cross Impact
//TPC = PV(t, priceNew) - pv(t-1) - (TI +PI)
//Time/vol cross impact
//TVC = PV(t, volNew) - pv(t-1) -(TI+VI)
//TODO:
//in case of big move ( vol and spot), we need high order risk to explain pnl
//var diff = actualPL - esimstatedPL;
//Assert.AreEqual(true, Math.Abs(diff / actualPL) * 100.0 < toleranceInPct); //pnl well explained in not too extreme moves
Assert.AreEqual(true, Math.Abs(newUnexplained / actualPL) * 100.0 < toleranceInPct);
var engine2 = new AnalyticalBinaryEuropeanOptionReplicationEngine(2.0, BinaryOptionReplicationStrategy.Up);
var result2 = engine2.Calculate(option, marketCondition, PricingRequest.All);
var resultNew2 = engine2.Calculate(option, marketConditionNew, PricingRequest.All);
var resultPI2 = engine2.Calculate(option, marketConditionPI, PricingRequest.All);
var resultVI2 = engine2.Calculate(option, marketConditionVI, PricingRequest.All);
var resultPVC2 = engine2.Calculate(option, marketConditionPVC, PricingRequest.All);
var actualPL2 = resultNew2.Pv - result2.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv2 = result2.Pv;
var PI2 = resultPI2.Pv - basePv2;
var thetapl2 = result2.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI2 = resultVI2.Pv - basePv2;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC2 = resultPVC2.Pv - basePv2 - PI2 - VI2;
var newEstimate2 = PI2 + VI2 + PVC2 + thetapl2;
var newUnexplained2 = actualPL2 - newEstimate2;
Assert.AreEqual(true, Math.Abs(newUnexplained2 / actualPL2) * 100.0 < toleranceInPct);
}