public void Initialize()
{
_testOption = new Library.Binominal.Option
{
K = 100,
type = 2,
T = 0.25,
r = 0.1,
sig = 0.2
};
}
public void C9_9_7_PadeApproximation()
{
var opt = new Library.Binominal.Option
{
K = 65,
type = 1,
T = 0.25,
r = 0.08,
sig = 0.3
};
double PriceWithJR(int numSteps, int type)
{
opt.type = type;
var steps = numSteps;
var S = 60;
double k = opt.T / steps;
double discounting = Math.Exp(-opt.r * k);
var binParams = new PadeJRStrategy(opt.sig, opt.r, k); // Factory
var bn = new BinomialMethod(discounting, binParams, steps);
bn.ModifyLattice(S);
// Phase III: Backward Induction and compute option price
var RHS = new Vector <double>(bn.BasePyramidVector());
var pay = opt.PayoffVector(RHS);
return(bn.GetPrice(pay));
}
double PriceWithCRR(int numSteps, int type)
{
opt.type = type;
var steps = numSteps;
var S = 60;
double k = opt.T / steps;
double discounting = Math.Exp(-opt.r * k);
var binParams = new PadeCRRStrategy(opt.sig, opt.r, k); // Factory
var bn = new BinomialMethod(discounting, binParams, steps);
bn.ModifyLattice(S);
// Phase III: Backward Induction and compute option price
var RHS = new Vector <double>(bn.BasePyramidVector());
var pay = opt.PayoffVector(RHS);
return(bn.GetPrice(pay));
}
Assert.AreEqual(PriceWithCRR(100, 1), 2.1399, 0.01);
Assert.AreEqual(PriceWithCRR(100, 2), 5.8527, 0.01);
Assert.AreEqual(PriceWithCRR(200, 1), 2.1365, 0.01);
Assert.AreEqual(PriceWithCRR(200, 2), 5.8494, 0.01);
Assert.AreEqual(PriceWithJR(100, 1), 2.1386, 0.01);
Assert.AreEqual(PriceWithJR(100, 2), 5.8516, 0.01);
Assert.AreEqual(PriceWithJR(200, 1), 2.1344, 0.01);
Assert.AreEqual(PriceWithJR(200, 2), 5.8473, 0.01);
}
