/// <summary>
        /// Creates a test vol surface to test temporal and strike volatility interpolation
        /// </summary>
        /// <returns></returns>
        public IVolatilitySurface CreateTestVolSurface()
        {
            IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
            ForwardExpiry      expiry1    = new ForwardExpiry(DateTime.Parse("01-Jan-2010"), 4200);
            ForwardExpiry      expiry2    = new ForwardExpiry(DateTime.Parse("01-Jan-2011"), 4400);
            OptionPosition     call1      = new OptionPosition("1245", 104, PositionType.Call);
            OptionPosition     put1       = new OptionPosition("1246", 1200, PositionType.Put);
            OptionPosition     call2      = new OptionPosition("1645", 180, PositionType.Call);
            OptionPosition     put2       = new OptionPosition("1646", 1300, PositionType.Put);
            Strike             strike1    = new Strike(4200, call1, put1);
            Strike             strike2    = new Strike(4000, call2, put2);
            IVolatilityPoint   point1     = new VolatilityPoint();

            point1.SetVolatility(0.30M, VolatilityState.Default());
            put1.SetVolatility(point1);
            call1.SetVolatility(point1);
            IVolatilityPoint point2 = new VolatilityPoint();

            point2.SetVolatility(0.40M, VolatilityState.Default());
            call2.SetVolatility(point2);
            put2.SetVolatility(point2);
            expiry1.AddStrike(strike1, true);
            expiry2.AddStrike(strike2, true);
            volSurface.AddExpiry(expiry1);
            volSurface.AddExpiry(expiry2);
            return(volSurface);
        }
        /// <summary>
        /// Creates the one point child.
        /// </summary>
        /// <returns></returns>
        public IVolatilitySurface CreateOnePointChild()
        {
            IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
            ForwardExpiry      expiry0    = new ForwardExpiry(DateTime.Parse("10-9-2009"), 4700);
            OptionPosition     call0      = new OptionPosition("1145", 104, PositionType.Call);
            OptionPosition     put0       = new OptionPosition("1146", 1200, PositionType.Put);
            Strike             strike0    = new Strike(0.20, 4599, call0, put0);

            expiry0.AddStrike(strike0, true);
            volSurface.AddExpiry(expiry0);
            return(volSurface);
        }
        /// <summary>
        /// Creates a null volatility surface to be used in extrapolation tests that utilise
        /// the historical volatility ratio
        /// </summary>
        /// <returns></returns>
        public IVolatilitySurface CreateNullVolSurface()
        {
            IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
            ForwardExpiry      expiry0    = new ForwardExpiry(DateTime.Parse("14-9-2009"), 4700);
            ForwardExpiry      expiry1    = new ForwardExpiry(DateTime.Parse("16-9-2009"), 4700);
            ForwardExpiry      expiry2    = new ForwardExpiry(DateTime.Parse("30-9-2009"), 4750);
            OptionPosition     call0      = new OptionPosition("1145", 104, PositionType.Call);
            OptionPosition     put0       = new OptionPosition("1146", 1200, PositionType.Put);
            OptionPosition     call1      = new OptionPosition("1245", 104, PositionType.Call);
            OptionPosition     put1       = new OptionPosition("1246", 1200, PositionType.Put);
            OptionPosition     call2      = new OptionPosition("1645", 180, PositionType.Call);
            OptionPosition     put2       = new OptionPosition("1646", 1300, PositionType.Put);
            Strike             strike0    = new Strike(1.00, 4599, call0, put0);
            Strike             strike1    = new Strike(0.867, 4700, call1, put1);
            Strike             strike2    = new Strike(1.00, 4750, call2, put2);
            Strike             strike3    = new Strike(1.2, 4750, call2, put2);
            Strike             strike4    = new Strike(0.30, 4750, call2, put2);
            IVolatilityPoint   point0     = new VolatilityPoint();

            point0.SetVolatility(0.00M, VolatilityState.Default());
            put0.SetVolatility(point0);
            call0.SetVolatility(point0);
            strike0.SetVolatility(point0);
            IVolatilityPoint point1 = new VolatilityPoint();

            point1.SetVolatility(0.00M, VolatilityState.Default());
            put1.SetVolatility(point1);
            call1.SetVolatility(point1);
            strike1.SetVolatility(point1);
            IVolatilityPoint point2 = new VolatilityPoint();

            point2.SetVolatility(0.00M, VolatilityState.Default());
            strike2.SetVolatility(point2);
            call2.SetVolatility(point2);
            put2.SetVolatility(point2);
            IVolatilityPoint point3 = new VolatilityPoint();

            point3.SetVolatility(0.00M, VolatilityState.Default());
            strike3.SetVolatility(point3);
            IVolatilityPoint point4 = new VolatilityPoint();

            point4.SetVolatility(0.00M, VolatilityState.Default());
            strike4.SetVolatility(point4);
            expiry0.AddStrike(strike0, true);
            expiry1.AddStrike(strike1, true);
            expiry2.AddStrike(strike2, true);
            expiry2.AddStrike(strike3, true);
            expiry2.AddStrike(strike4, true);
            volSurface.AddExpiry(expiry0);
            volSurface.AddExpiry(expiry1);
            volSurface.AddExpiry(expiry2);
            return(volSurface);
        }
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        /// <summary>
        /// Fits this instance.
        /// </summary>
        public void Fit(VolatilitySurface surface, double strike, DateTime expiry)
        {
            // fit in expiry direction
            double y = strike;
            double x = (expiry.Subtract(surface.Date)).Days / 365.0;
            ExtendedInterpolatedSurface interpCurve = surface.InterpCurve;
            IPoint point = new Point2D(x, y);

            interpCurve.Value(point);
            IInterpolation model = interpCurve.GetYAxisInterpolatingFunction();
            var            sabr  = (SABRModelInterpolation)model;

            //Assign params;
            SABRParams = sabr.CalibrationEngine.GetSABRParameters;
        }
Esempio n. 5
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        public void TestPricevsORCExample()
        {
            DateTime[] rtDates = { DateTime.Parse("17-Aug-2010"),
                                   DateTime.Parse("17-Sep-2010"),
                                   DateTime.Parse("18-Oct-2010"),
                                   DateTime.Parse("17-Nov-2010"),
                                   DateTime.Parse("10-Dec-2010") };

            double[]  rates = { 0.045507232,
                                0.046609656,
                                0.047336042,
                                0.047655159,
                                0.047737236 };
            RateCurve rc = new RateCurve("AUD", "Semi-Annual", DateTime.Parse("16-Aug-2010"), rtDates, rates);
            //Dividend d1 = new Dividend(DateTime.Parse("16-8-2010"),  11.745786M);
            Dividend        d2       = new Dividend(DateTime.Parse("17-8-2010"), 0.893295M);
            Dividend        d3       = new Dividend(DateTime.Parse("23-8-2010"), 7.856689M);
            Dividend        d4       = new Dividend(DateTime.Parse("24-8-2010"), 2.898251M);
            Dividend        d5       = new Dividend(DateTime.Parse("25-8-2010"), 3.344721M);
            Dividend        d6       = new Dividend(DateTime.Parse("26-8-2010"), 0.485070M);
            Dividend        d7       = new Dividend(DateTime.Parse("27-8-2010"), 0.835305M);
            Dividend        d8       = new Dividend(DateTime.Parse("30-8-2010"), 3.952976M);
            Dividend        d9       = new Dividend(DateTime.Parse("31-8-2010"), 0.884255M);
            Dividend        d10      = new Dividend(DateTime.Parse("1-9-2010"), 2.013798M);
            Dividend        d11      = new Dividend(DateTime.Parse("2-9-2010"), 1.241407M);
            Dividend        d12      = new Dividend(DateTime.Parse("3-9-2010"), 0.613699M);
            Dividend        d13      = new Dividend(DateTime.Parse("6-9-2010"), 11.712946M);
            Dividend        d14      = new Dividend(DateTime.Parse("7-9-2010"), 3.775104M);
            Dividend        d15      = new Dividend(DateTime.Parse("8-9-2010"), 0.606597M);
            Dividend        d16      = new Dividend(DateTime.Parse("9-9-2010"), 0.268093M);
            Dividend        d17      = new Dividend(DateTime.Parse("10-9-2010"), 0.144851M);
            Dividend        d18      = new Dividend(DateTime.Parse("13-9-2010"), 1.600975M);
            Dividend        d19      = new Dividend(DateTime.Parse("14-9-2010"), 1.499946M);
            Dividend        d20      = new Dividend(DateTime.Parse("15-9-2010"), 0.238824M);
            Dividend        d21      = new Dividend(DateTime.Parse("16-9-2010"), 0.117931M);
            List <Dividend> divCurve = new List <Dividend>()
            {
                d2, d3, d4, d5, d6, d7, d8, d9, d10,
                d11, d12, d13, d14, d15, d16, d17, d18, d19, d20, d21
            };
            DateTime date0 = new DateTime(2010, 08, 16);
            DateTime exp   = new DateTime(2010, 9, 16);
            double   spot  = 4447.62;
            //double future = 4420;
            double strike      = 4200;
            string stockId     = "XJO_Spot";
            Stock  stock       = new Stock(date0, Convert.ToDecimal(spot), stockId, "XJO", rc, divCurve);
            double fwd         = stock.GetForward(date0, exp);
            var    wingParams1 = new OrcWingParameters
            {
                CurrentVol = 0.234828,
                RefVol     = 0.234828,
                SlopeRef   = -0.109109,
                PutCurve   = 1.235556,
                CallCurve  = 0.60895,
                DnCutoff   = -0.493791,
                UpCutoff   = 0.506209,
                RefFwd     = 4420.092383,
                AtmForward = 4420.092383,
                Vcr        = 0,
                Scr        = 0,
                Ssr        = 100,
                Dsr        = 0.2,
                Usr        = 0.2,
            };
            VolatilitySurface vs      = new VolatilitySurface(stockId, Convert.ToDecimal(spot), date0);
            ForwardExpiry     expiry  = new ForwardExpiry(exp, Convert.ToDecimal(fwd));
            OptionPosition    op      = new OptionPosition("XJO_Vanilla_ETO_Sep10_4200.000_Put", 30.237108, PositionType.Put);
            Strike            strike0 = new Strike(strike, null, op);

            expiry.AddStrike(strike0, true);
            List <double> strikes1 = new List <double> {
                4200
            };
            ForwardExpiry forwardexpiry = vs.ValueAt(stock, exp, strikes1, wingParams1, true, false);
            double        vol           = Convert.ToDouble(forwardexpiry.Strikes[0].Volatility.Value);
            var           utils         = new AmOptionAnalytics(date0, exp, spot, strike, vol, "European", "Put", rc, divCurve, 120);
            double        pr            = Math.Round(utils.Price(), 7);
        }