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));
}
}
private void Button_Click_1(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.January, 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 Inoprice = Convert.ToDouble(Resultam.Text);
double vol1 = americanOption1.impliedVolatility(Inoprice, stochasticProcess, .0001);
vol1 = Math.Round(vol1, 4) * 100;
double delta1 = Math.Round(americanOption2.delta(), 2);
double gamma1 = Math.Round(americanOption2.gamma(), 2);
double theta1 = Math.Round(europeanOption.theta() / 365, 2);
double vega1 = Math.Round(europeanOption.vega() / 100, 2);
//Resultam.Text = opprice4.ToString();
Resultam_Delta.Text = delta1.ToString();
Resultam_Gamma.Text = gamma1.ToString();
Resultam_Theta.Text = theta1.ToString();
Resultam_Vega.Text = vega1.ToString();
Resultvol.Text = vol1.ToString();
}
