public void testBSMOperatorConsistency()
{
//("Testing consistency of BSM operators...");
Vector grid = new Vector(10);
double price = 20.0;
double factor = 1.1;
for (int i = 0; i < grid.size(); i++)
{
grid[i] = price;
price *= factor;
}
double dx = Math.Log(factor);
double r = 0.05;
double q = 0.01;
double sigma = 0.5;
BSMOperator refer = new BSMOperator(grid.size(), dx, r, q, sigma);
DayCounter dc = new Actual360();
Date today = Date.Today;
Date exercise = today + new Period(2, TimeUnit.Years);
double residualTime = dc.yearFraction(today, exercise);
SimpleQuote spot = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, q, dc);
YieldTermStructure rTS = Utilities.flatRate(today, r, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, sigma, dc);
GeneralizedBlackScholesProcess stochProcess = new GeneralizedBlackScholesProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
BSMOperator op1 = new BSMOperator(grid, stochProcess, residualTime);
PdeOperator <PdeBSM> op2 = new PdeOperator <PdeBSM>(grid, stochProcess, residualTime);
double tolerance = 1.0e-6;
Vector lderror = refer.lowerDiagonal() - op1.lowerDiagonal();
Vector derror = refer.diagonal() - op1.diagonal();
Vector uderror = refer.upperDiagonal() - op1.upperDiagonal();
for (int i = 2; i < grid.size() - 2; i++)
{
if (Math.Abs(lderror[i]) > tolerance ||
Math.Abs(derror[i]) > tolerance ||
Math.Abs(uderror[i]) > tolerance)
{
Assert.Fail("inconsistency between BSM operators:\n"
+ i + " row:\n"
+ "expected: "
+ refer.lowerDiagonal()[i] + ", "
+ refer.diagonal()[i] + ", "
+ refer.upperDiagonal()[i] + "\n"
+ "calculated: "
+ op1.lowerDiagonal()[i] + ", "
+ op1.diagonal()[i] + ", "
+ op1.upperDiagonal()[i]);
}
}
lderror = refer.lowerDiagonal() - op2.lowerDiagonal();
derror = refer.diagonal() - op2.diagonal();
uderror = refer.upperDiagonal() - op2.upperDiagonal();
for (int i = 2; i < grid.size() - 2; i++)
{
if (Math.Abs(lderror[i]) > tolerance ||
Math.Abs(derror[i]) > tolerance ||
Math.Abs(uderror[i]) > tolerance)
{
Assert.Fail("inconsistency between BSM operators:\n"
+ i + " row:\n"
+ "expected: "
+ refer.lowerDiagonal()[i] + ", "
+ refer.diagonal()[i] + ", "
+ refer.upperDiagonal()[i] + "\n"
+ "calculated: "
+ op2.lowerDiagonal()[i] + ", "
+ op2.diagonal()[i] + ", "
+ op2.upperDiagonal()[i]);
}
}
}
public void testBSMOperatorConsistency()
{
//("Testing consistency of BSM operators...");
Vector grid = new Vector(10);
double price = 20.0;
double factor = 1.1;
for (int i = 0; i < grid.size(); i++)
{
grid[i] = price;
price *= factor;
}
double dx = Math.Log(factor);
double r = 0.05;
double q = 0.01;
double sigma = 0.5;
BSMOperator refer = new BSMOperator(grid.size(), dx, r, q, sigma);
DayCounter dc = new Actual360();
Date today = Date.Today;
Date exercise = today + new Period(2, TimeUnit.Years);
double residualTime = dc.yearFraction(today, exercise);
SimpleQuote spot = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, q, dc);
YieldTermStructure rTS = Utilities.flatRate(today, r, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, sigma, dc);
GeneralizedBlackScholesProcess stochProcess = new GeneralizedBlackScholesProcess(
new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
BSMOperator op1 = new BSMOperator(grid, stochProcess, residualTime);
PdeOperator<PdeBSM> op2 = new PdeOperator<PdeBSM>(grid, stochProcess, residualTime);
double tolerance = 1.0e-6;
Vector lderror = refer.lowerDiagonal() - op1.lowerDiagonal();
Vector derror = refer.diagonal() - op1.diagonal();
Vector uderror = refer.upperDiagonal() - op1.upperDiagonal();
for (int i = 2; i < grid.size() - 2; i++)
{
if (Math.Abs(lderror[i]) > tolerance ||
Math.Abs(derror[i]) > tolerance ||
Math.Abs(uderror[i]) > tolerance)
{
Assert.Fail("inconsistency between BSM operators:\n"
+ i + " row:\n"
+ "expected: "
+ refer.lowerDiagonal()[i] + ", "
+ refer.diagonal()[i] + ", "
+ refer.upperDiagonal()[i] + "\n"
+ "calculated: "
+ op1.lowerDiagonal()[i] + ", "
+ op1.diagonal()[i] + ", "
+ op1.upperDiagonal()[i]);
}
}
lderror = refer.lowerDiagonal() - op2.lowerDiagonal();
derror = refer.diagonal() - op2.diagonal();
uderror = refer.upperDiagonal() - op2.upperDiagonal();
for (int i = 2; i < grid.size() - 2; i++)
{
if (Math.Abs(lderror[i]) > tolerance ||
Math.Abs(derror[i]) > tolerance ||
Math.Abs(uderror[i]) > tolerance)
{
Assert.Fail("inconsistency between BSM operators:\n"
+ i + " row:\n"
+ "expected: "
+ refer.lowerDiagonal()[i] + ", "
+ refer.diagonal()[i] + ", "
+ refer.upperDiagonal()[i] + "\n"
+ "calculated: "
+ op2.lowerDiagonal()[i] + ", "
+ op2.diagonal()[i] + ", "
+ op2.upperDiagonal()[i]);
}
}
}
