// Reference pg. 253 - Hull - Options, Futures, and Other Derivatives 5th ed
// Exercise 12.8
// Doesn't quite work. Need to deal with date conventions
private void testEuropeanKnownValue()
{
// Testing dividend European option values with known value...
using (SavedSettings backup = new SavedSettings())
{
double tolerance = 1.0e-2;
double expected = 3.67;
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
Date exDate = today + new Period(6, TimeUnit.Months);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
dividendDates.Add(today + new Period(2, TimeUnit.Months));
dividends.Add(0.50);
dividendDates.Add(today + new Period(5, TimeUnit.Months));
dividends.Add(0.50);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 40.0);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
double u = 40.0;
double q = 0.0, r = 0.09;
double v = 0.30;
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double calculated = option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value start limit",
payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
public void testFdImpliedVol()
{
var settlementDate = new Date(26, 2, 2015);
Settings.setEvaluationDate(settlementDate);
var calendar = new TARGET();
var dayCounter = new Actual365Fixed();
const double volatility = 0.5;
var underlyingQuote = new Handle <Quote>(new SimpleQuote(3227));
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, 0.05, dayCounter));
var flatDividendYield = new Handle <YieldTermStructure>(new FlatForward(settlementDate, 0, dayCounter));
var flatVolatility = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
var process = new BlackScholesMertonProcess(underlyingQuote, flatDividendYield, flatTermStructure, flatVolatility);
var exercise = new AmericanExercise(new Date(1, 12, 2015));
var pricingEngine = new FDDividendAmericanEngine(process);
var payoff = new PlainVanillaPayoff(Option.Type.Put, 3200);
var dividendDates = new[] { new Date(1, 3, 2015) };
var dividendAmounts = new[] { 10d };
var option = new DividendVanillaOption(payoff, exercise, dividendDates.ToList(), dividendAmounts.ToList());
option.setPricingEngine(pricingEngine);
var npv = option.NPV();
var impliedVol = option.impliedVolatility(npv, process);
const double tolerance = 3.0e-3;
if (Math.Abs(impliedVol - volatility) > tolerance)
{
QAssert.Fail(string.Format("Implied volatility calculation failed. Expected {0}. Actual {1}", volatility, impliedVol));
}
}
public void testFdmHestonEuropeanWithDividends()
{
//Testing FDM with European option with dividends in Heston model...
using (SavedSettings backup = new SavedSettings())
{
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100.0));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.05, new Actual365Fixed()));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, new Actual365Fixed()));
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, s0, 0.04, 2.5, 0.04, 0.66, -0.8);
Settings.Instance.setEvaluationDate(new Date(28, 3, 2004));
Date exerciseDate = new Date(28, 3, 2005);
Exercise exercise = new AmericanExercise(exerciseDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, 100);
List <double> dividends = new InitializedList <double>(1, 5);
List <Date> dividendDates = new InitializedList <Date>(1, new Date(28, 9, 2004));
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
IPricingEngine engine = new FdHestonVanillaEngine(new HestonModel(hestonProcess), 50, 100, 50);
option.setPricingEngine(engine);
double tol = 0.01;
double gammaTol = 0.001;
double npvExpected = 7.365075;
double deltaExpected = -0.396678;
double gammaExpected = 0.027681;
if (Math.Abs(option.NPV() - npvExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected npv"
+ "\n calculated: " + option.NPV()
+ "\n expected: " + npvExpected
+ "\n tolerance: " + tol);
}
if (Math.Abs(option.delta() - deltaExpected) > tol)
{
QAssert.Fail("Failed to reproduce expected delta"
+ "\n calculated: " + option.delta()
+ "\n expected: " + deltaExpected
+ "\n tolerance: " + tol);
}
if (Math.Abs(option.gamma() - gammaExpected) > gammaTol)
{
QAssert.Fail("Failed to reproduce expected gamma"
+ "\n calculated: " + option.gamma()
+ "\n expected: " + gammaExpected
+ "\n tolerance: " + tol);
}
}
}
public void testFDDividendAmericanEngine()
{
/*
* Valuation date: 20 July 2018
* Maturity date: 17 Aug 2018
* Type: Call
* Spot: 2900
* Strike: 2800
* Volatility: 20 %
* Interest rate: 0 %
*
* Dividend(paid one day before expiry)
* Date: 16 Aug 2018
* Value: 40
*
* NPV = 124.37658
*/
var result = 124.37658;
var settlementDate = new Date(20, 7, 2018);
Settings.setEvaluationDate(settlementDate);
var calendar = new TARGET();
var dayCounter = new Actual365Fixed();
var spot = new Handle <Quote>(new SimpleQuote(2900));
var qRate = new Handle <Quote>(new SimpleQuote(0.0));
var rRate = new Handle <Quote>(new SimpleQuote(0.0));
var vol = new Handle <Quote>(new SimpleQuote(0.2));
var flatDividendYield = new Handle <YieldTermStructure>(new FlatForward(settlementDate, qRate, dayCounter));
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, rRate, dayCounter));
var flatVolatility = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, vol, dayCounter));
var process = new BlackScholesMertonProcess(spot, flatDividendYield, flatTermStructure, flatVolatility);
var exercise = new AmericanExercise(new Date(17, 8, 2018));
var pricingEngine = new FDDividendAmericanEngine(process);
var payoff = new PlainVanillaPayoff(Option.Type.Call, 2800);
var dividendDates = new[] { new Date(16, 8, 2018) };
var dividendAmounts = new[] { 40d };
var option = new DividendVanillaOption(payoff, exercise, dividendDates.ToList(), dividendAmounts.ToList());
option.setPricingEngine(pricingEngine);
var npv = option.NPV();
const double tolerance = 1.0e-5;
if (Math.Abs(npv - result) > tolerance)
{
QAssert.Fail(string.Format("NPV calculation failed. Expected {0}. Actual {1}", result, npv));
}
}
void testFdDegenerate <Engine>(Date today, Exercise exercise) where Engine : IFDEngine, new()
{
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(54.625);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.052706, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, dc));
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(0.282922, dc));
BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
int timeSteps = 300;
int gridPoints = 300;
IPricingEngine engine = new Engine().factory(process, timeSteps, gridPoints);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 55.0);
double tolerance = 3.0e-3;
List <double> dividends = new List <double>();
List <Date> dividendDates = new List <Date>();
DividendVanillaOption option1 = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option1.setPricingEngine(engine);
// FLOATING_POINT_EXCEPTION
double refValue = option1.NPV();
for (int i = 0; i <= 6; i++)
{
dividends.Add(0.0);
dividendDates.Add(today + i);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
double value = option.NPV();
if (Math.Abs(refValue - value) > tolerance)
{
Assert.Fail("NPV changed by null dividend :\n"
+ " previous value: " + value + "\n"
+ " current value: " + refValue + "\n"
+ " change: " + (value - refValue));
}
}
}
private void Button_Click(object sender, RoutedEventArgs e)
{
Option.Type optionType;
if (CallorPut.Text == "Call")
{
optionType = Option.Type.Call;
}
else
{
optionType = Option.Type.Put;
}
double underlyingPrice = Convert.ToDouble(Stockprice.Text);
double strikePrice = Convert.ToDouble(Strikeprice.Text);
double dividendYield = 0.0;
double riskFreeRate = Convert.ToDouble(Intrate.Text);
double volatility = Convert.ToDouble(Resultvol.Text) / 100;
Date todaydate = Date.todaysDate();
string expd = Datepick.Text;
Date maturityDate = new Date();
if (expd[1].ToString() is "/")
{
expd = '0' + expd;
}
if (expd[4].ToString() is "/")
{
expd = expd.Substring(0, 3) + '0' + expd.Substring(3);
}
maturityDate = DateParser.parseFormatted(expd, "%m/%d/%Y");
Settings.instance().setEvaluationDate(todaydate);
Date settlementDate = new Date();
settlementDate = todaydate;
QuantLib.Calendar calendar = new TARGET();
AmericanExercise americanExercise =
new AmericanExercise(settlementDate, maturityDate);
EuropeanExercise europeanExercise =
new EuropeanExercise(maturityDate);
DayCounter dayCounter = new Actual365Fixed();
YieldTermStructureHandle flatRateTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, riskFreeRate,
dayCounter));
YieldTermStructureHandle flatDividendTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, dividendYield,
dayCounter));
BlackVolTermStructureHandle flatVolTSH =
new BlackVolTermStructureHandle(
new BlackConstantVol(settlementDate, calendar,
volatility, dayCounter));
QuoteHandle underlyingQuoteH =
new QuoteHandle(new SimpleQuote(underlyingPrice));
BlackScholesMertonProcess stochasticProcess =
new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH,
flatRateTSH,
flatVolTSH);
PlainVanillaPayoff payoff =
new PlainVanillaPayoff(optionType, strikePrice);
VanillaOption americanOption =
new VanillaOption(payoff, americanExercise);
VanillaOption americanOption2 =
new VanillaOption(payoff, americanExercise);
VanillaOption europeanOption =
new VanillaOption(payoff, europeanExercise);
//americanOption.setPricingEngine(
// new BaroneAdesiWhaleyEngine(stochasticProcess));
//americanOption2.setPricingEngine(
// new BinomialVanillaEngine(stochasticProcess, "coxrossrubinstein",1000));
europeanOption.setPricingEngine(
new AnalyticEuropeanEngine(stochasticProcess));
//double opprice = Math.Round(americanOption2.NPV(),3);
Date divdate1 = new Date(14, Month.December, 2019);
DoubleVector divpay = new DoubleVector();
DateVector divDates = new DateVector();
//divpay.Add(.0001);
//divDates.Add(divdate1);
DividendVanillaOption americanOption1 = new DividendVanillaOption(payoff, americanExercise, divDates, divpay);
FDDividendAmericanEngine engine = new FDDividendAmericanEngine(stochasticProcess);
americanOption1.setPricingEngine(engine);
double opprice4 = americanOption1.NPV();
//double vol1 = americanOption1.impliedVolatility(opprice4, stochasticProcess, .001);
double delta1 = Math.Round(americanOption1.delta(), 2);
double gamma1 = Math.Round(americanOption1.gamma(), 2);
double theta1 = Math.Round(europeanOption.theta() / 365, 2);
double vega1 = Math.Round(europeanOption.vega() / 100, 2);
double oppricedisplay = Math.Round(opprice4, 3);
Resultam.Text = oppricedisplay.ToString();
Resultam_Delta.Text = delta1.ToString();
Resultam_Gamma.Text = gamma1.ToString();
Resultam_Theta.Text = theta1.ToString();
Resultam_Vega.Text = vega1.ToString();
}
public void testFdEuropeanValues()
{
// Testing finite-difference dividend European option values...
SavedSettings backup = new SavedSettings();
double tolerance = 1.0e-2;
int gridPoints = 300;
int timeSteps = 40;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
// Rate qRates[] = { 0.00, 0.10, 0.30 };
// Analytic dividend may not be handling q correctly
double[] qRates = { 0.00 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.40 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new FDDividendEuropeanEngine(stochProcess, timeSteps, gridPoints);
IPricingEngine ref_engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
DividendVanillaOption ref_option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
ref_option.setPricingEngine(ref_engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
// FLOATING_POINT_EXCEPTION
double calculated = option.NPV();
if (calculated > spot.value() * 1.0e-5)
{
double expected = ref_option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
}
}
}
}
}
}
}
public void testEuropeanGreeks()
{
// Testing dividend European option greeks...
SavedSettings backup = new SavedSettings();
Dictionary <string, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance["delta"] = 1.0e-5;
tolerance["gamma"] = 1.0e-5;
tolerance["theta"] = 1.0e-5;
tolerance["rho"] = 1.0e-5;
tolerance["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.30 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.40 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates,
dividends);
option.setPricingEngine(engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
calculated["theta"] = option.theta();
calculated["rho"] = option.rho();
calculated["vega"] = option.vega();
if (value > spot.value() * 1.0e-5)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb risk-free rate and get rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = option.NPV();
rRate.setValue(r - dr);
value_m = option.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
// perturb volatility and get vega
double dv = v * 1.0e-4;
vol.setValue(v + dv);
value_p = option.NPV();
vol.setValue(v - dv);
value_m = option.NPV();
vol.setValue(v);
expected["vega"] = (value_p - value_m) / (2 * dv);
// perturb date and get theta
double dT = dc.yearFraction(today - 1, today + 1);
Settings.setEvaluationDate(today - 1);
value_m = option.NPV();
Settings.setEvaluationDate(today + 1);
value_p = option.NPV();
Settings.setEvaluationDate(today);
expected["theta"] = (value_p - value_m) / dT;
// compare
foreach (KeyValuePair <string, double> it in calculated)
{
string greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
void testFdGreeks <Engine>(Date today, Exercise exercise) where Engine : IFDEngine, new()
{
Dictionary <string, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance.Add("delta", 5.0e-3);
tolerance.Add("gamma", 7.0e-3);
// tolerance["theta"] = 1.0e-2;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.20 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.05, 0.20, 0.50 };
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new Engine().factory(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
// FLOATING_POINT_EXCEPTION
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
// calculated["theta"] = option.theta();
if (value > spot.value() * 1.0e-5)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb date and get theta
/*
* Time dT = dc.yearFraction(today-1, today+1);
* Settings::instance().evaluationDate() = today-1;
* value_m = option.NPV();
* Settings::instance().evaluationDate() = today+1;
* value_p = option.NPV();
* Settings::instance().evaluationDate() = today;
* expected["theta"] = (value_p - value_m)/dT;
*/
// compare
foreach (string greek in calculated.Keys)
{
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance[greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
public void testEuropeanStartLimit()
{
// Testing dividend European option with a dividend on today's date...
SavedSettings backup = new SavedSettings();
double tolerance = 1.0e-5;
double dividendValue = 10.0;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.30 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.70 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
dividendDates.Add(today);
dividends.Add(dividendValue);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
IPricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
VanillaOption ref_option = new VanillaOption(payoff, exercise);
ref_option.setPricingEngine(ref_engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double calculated = option.NPV();
spot.setValue(u - dividendValue);
double expected = ref_option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
}
}
}
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(DividendVanillaOption obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(DividendVanillaOption obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
