public void BarrierFacts()
{
var t = 1.0;
var k = 100;
var b = 0.0;
var f = 100;
var vol = 0.32;
var rf = 0.05;
var cp = OptionType.C;
//zero barrier knock-in down is worthless
var PV = BlackFunctions.BarrierOptionPV(f, k, rf, t, vol, cp, b, BarrierType.KI, BarrierSide.Down);
Assert.Equal(0.0, PV, 10);
//zero barrier knock-in up is worth vanilla
var vanillaPV = BlackFunctions.BlackPV(f, k, rf, t, vol, cp);
PV = BlackFunctions.BarrierOptionPV(f, k, rf, t, vol, cp, b, BarrierType.KI, BarrierSide.Up);
Assert.Equal(vanillaPV, PV, 10);
//ki forward is worth same as fwd
b = 100;
k = 110;
var PVc = BlackFunctions.BarrierOptionPV(f, k, rf, t, vol, OptionType.C, b, BarrierType.KI, BarrierSide.Down);
var PVp = BlackFunctions.BarrierOptionPV(f, k, rf, t, vol, OptionType.P, b, BarrierType.KI, BarrierSide.Down);
var df = Exp(-rf * t);
var fwdPV = (f - k) * df;
Assert.Equal(fwdPV, PVc - PVp, 10);
}
