/*! \warning currently, this method returns the Black-Scholes
implied volatility using analytic formulas for
European options and a finite-difference method
for American and Bermudan options. It will give
unconsistent results if the pricing was performed
with any other methods (such as jump-diffusion
models.)
\warning options with a gamma that changes sign (e.g.,
binary options) have values that are <b>not</b>
monotonic in the volatility. In these cases, the
calculation can fail and the result (if any) is
almost meaningless. Another possible source of
failure is to have a target value that is not
attainable with any volatility, e.g., a target
value lower than the intrinsic value in the case
of American options.
*/
//public double impliedVolatility(double price, GeneralizedBlackScholesProcess process,
// double accuracy = 1.0e-4, int maxEvaluations = 100, double minVol = 1.0e-7, double maxVol = 4.0) {
public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process,
double accuracy, int maxEvaluations, double minVol, double maxVol) {
if(isExpired()) throw new ApplicationException("option expired");
SimpleQuote volQuote = new SimpleQuote();
GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);
// engines are built-in for the time being
IPricingEngine engine;
switch (exercise_.type()) {
case Exercise.Type.European:
engine = new AnalyticEuropeanEngine(newProcess);
break;
case Exercise.Type.American:
engine = new FDAmericanEngine(newProcess);
break;
case Exercise.Type.Bermudan:
engine = new FDBermudanEngine(newProcess);
break;
default:
throw new ArgumentException("unknown exercise type");
}
return ImpliedVolatilityHelper.calculate(this, engine, volQuote, targetValue, accuracy,
maxEvaluations, minVol, maxVol);
}
public void testFdValues()
{
//("Testing finite-difference engine for American options...");
Date today = Date.Today;
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
double tolerance = 8.0e-2;
for (int i = 0; i < juValues.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(juValues[i].type, juValues[i].strike);
Date exDate = today + Convert.ToInt32(juValues[i].t * 360 + 0.5);
Exercise exercise = new AmericanExercise(today, exDate);
spot.setValue(juValues[i].s);
qRate.setValue(juValues[i].q);
rRate.setValue(juValues[i].r);
vol.setValue(juValues[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new FDAmericanEngine(stochProcess, 100, 100);
VanillaOption option = new VanillaOption(payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - juValues[i].result);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, juValues[i].s, juValues[i].q,
juValues[i].r, today, juValues[i].v, juValues[i].result,
calculated, error, tolerance);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FDAmericanEngine 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(FDAmericanEngine obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
