public static object EquityImpliedVol(object mktObj, string assetName, object maturity, double strike, double price, string optionType)
{
return(FunctionRunnerUtils.Run("EquityImpliedVol", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMkt = market.AssetMarketFromName(assetName);
var pricer = BlackScholesWithDividendOption.Build(assetMkt.Spot,
assetMkt.Dividends,
assetMkt.RiskFreeDiscount,
assetMkt.Time);
double q;
switch (optionType.Trim().ToLower())
{
case "call":
q = 1.0;
break;
case "put":
q = -1.0;
break;
default:
throw new Exception(string.Format("Unknow option type : {0}", optionType));
}
var matAsDate = ObjectConverters.ConvertDate(maturity, assetMkt.RefDate);
return pricer.ImpliedVol(assetMkt.Time[matAsDate], strike, price, q);
}));
}
public override IModelDescription Calibrate(BlackScholesModelCalibDesc bsDesc, Market market)
{
AssetMarket assetMkt = market.AssetMarketFromName(bsDesc.Asset);
var volSurface = assetMkt.VolSurface();
var forwardCurve = assetMkt.Forward();
var optionPricer = BlackScholesWithDividendOption.Build(assetMkt.Spot, assetMkt.Dividends, assetMkt.RiskFreeDiscount, assetMkt.Time);
var calibMaturities = bsDesc.CalibrationMaturities.Map(d => d.ToDate(assetMkt.RefDate));
var calibStrikes = bsDesc.CalibrationStrikes;
var calibDates = assetMkt.Time[calibMaturities];
double[] targetPrices = new double[calibDates.Length];
double[] optionTypes = new double[calibDates.Length];
for (int i = 0; i < calibMaturities.Length; i++)
{
var targetVol = volSurface.Volatility(calibDates[i], calibStrikes[i]);
var optionType = (calibStrikes[i] > forwardCurve.Fwd(calibMaturities[i])) ? 1.0 : -1.0;
targetPrices[i] = optionPricer.Price(calibDates[i], calibStrikes[i], targetVol, optionType);
optionTypes[i] = optionType;
}
var calibratedVols = optionPricer.CalibrateVol(calibDates, targetPrices, bsDesc.CalibrationStrikes, optionTypes);
var sigma = new MapRawDatas <DateOrDuration, double>(bsDesc.CalibrationMaturities, calibratedVols);
return(new BlackScholesModelDescription(bsDesc.Asset, sigma, bsDesc.WithDivs));
}
public void CalibrationTest(AssetMarket assetMkt)
{
var maturities = new [] { 3 * Duration.Month, 6 * Duration.Month, Duration.Year, 2 * Duration.Year, 3 * Duration.Year, 4 * Duration.Year, 5 * Duration.Year };
var vols = new[] { 0.20, 0.15, 0.20, 0.15, 0.20, 0.18, 0.20 };
var calibDates = assetMkt.Time[maturities.Map(p => assetMkt.RefDate + p)];
var strikes = ArrayUtils.Constant(calibDates.Length, assetMkt.Spot);
var pricer = BlackScholesWithDividendOption.Build(assetMkt.Spot, assetMkt.Dividends, assetMkt.RiskFreeDiscount, assetMkt.Time);
var targetPrices = EnumerableUtils.For(0, calibDates.Length,
i => pricer.Price(calibDates[i], strikes[i], vols[i], 1.0));
var calibVols = pricer.CalibrateVol(calibDates, targetPrices, assetMkt.Spot, 1.0);
}
public void SampleStrike(AssetMarket assetMkt)
{
DateTime maturity = assetMkt.RefDate + 3 * Duration.Year;
var fwd = assetMkt.Forward().Fwd(maturity);
double t = assetMkt.Time[maturity];
var pricer = BlackScholesWithDividendOption.Build(assetMkt.Spot, assetMkt.Dividends, assetMkt.RiskFreeDiscount, assetMkt.Time);
var vols = GridUtils.RegularGrid(0.05, 1.0, 50);
var moneynesses = GridUtils.RegularGrid(-10.0, 10.0, 51);
foreach (double vol in vols)
{
var stdDev = vol * Math.Sqrt(t);
foreach (double m in moneynesses)
{
var strike = fwd * Math.Exp(stdDev * m);
var price = pricer.Price(t, strike, vol, m > 0 ? 1 : -1);
var impliedVol = pricer.ImpliedVol(t, strike, price, m > 0 ? 1 : -1);
var errRelative = (impliedVol - vol) / vol;
Assert.IsTrue(Math.Abs(errRelative) < 5.0e-13);
}
}
}
