public void CanInterpolateFact()
{
var interp = new DummyPointInterpolator();
var point = 99.97;
interp = new DummyPointInterpolator(point);
Assert.Equal(point, interp.Interpolate(5, 25));
Assert.Equal(point, interp.Interpolate(-6, 77));
Assert.Equal(point, interp.Interpolate(0, 0));
Assert.Equal(point, interp.Interpolate(55, 25));
Assert.Equal(point, interp.Interpolate(55));
Assert.Equal(point, interp.Interpolate(-55));
Assert.Equal(point, interp.Interpolate(0));
Assert.Equal(point, interp.Interpolate(System.Math.PI));
Assert.Equal(0, interp.FirstDerivative(System.Math.PI));
Assert.Equal(0, interp.SecondDerivative(System.Math.PI));
Assert.Equal(1.0, interp.Sensitivity(System.Math.PI).First());
var i2 = interp.Bump(66, 3.0);
Assert.Equal(point + 3.0, i2.Interpolate(55));
var i3 = interp.UpdateY(66, 3.0);
Assert.Equal(3.0, i3.Interpolate(55));
}
public void ExtensionFacts()
{
var i = new DummyPointInterpolator(0.5);
var xs = new double[] { 1.0, 10.0 };
Assert.Equal(0.5, i.Average(xs));
Assert.Equal(0.5, i.MaxY(xs));
Assert.Equal(0.5, i.MinY(xs));
Assert.Equal(1.0, i.Sum(xs));
Assert.Equal(0.5, i.Many(xs)[0]);
}
public void PVFacts()
{
var t = 1.0;
var k = 0.0;
var f = 100.0;
var vol = 0.32;
var rf = 0.05;
var cp = OptionType.P;
//zero strike put is worthless
var PV = TrinomialTree.AmericanAssetOptionPV(f, k, rf, f, t, vol, cp);
Assert.Equal(0, PV, 10);
PV = BinomialTree.AmericanPV(t, f, k, rf, vol, cp, rf, 100);
Assert.Equal(0, PV, 10);
var flatInterp = new DummyPointInterpolator(new[] { 1.0 }, new[] { rf });
var flatFwdInterp = new DummyPointInterpolator(new[] { 1.0 }, new[] { f });
PV = TrinomialTree.VanillaPV(t, f, k, flatInterp, vol, cp, flatFwdInterp, 100, true);
Assert.Equal(0, PV, 10);
//zero strike call is worth fwd with no discounting
cp = OptionType.C;
PV = TrinomialTree.AmericanAssetOptionPV(f, k, rf, f, t, vol, cp);
Assert.Equal(f, PV, 10);
PV = BinomialTree.AmericanPV(t, f, k, rf, vol, cp, rf, 100);
Assert.Equal(f, PV, 10);
//OTM option with zero vol is worthless
vol = 0.0;
k = f + 1.0;
PV = BinomialTree.AmericanPV(t, f, k, rf, vol, cp, rf, 100);
Assert.Equal(0, PV, 10);
PV = TrinomialTree.AmericanAssetOptionPV(f, k, rf, f, t, vol, cp);
Assert.Equal(0, PV, 10);
//option worth >= black in all cases for same inputs
vol = 0.32;
k = f + 20;
var PVBlack = BlackFunctions.BlackPV(f, k, rf, t, vol, cp);
PV = BinomialTree.AmericanPV(t, f, k, rf, vol, cp, rf, 100);
Assert.True(PV >= PVBlack);
PV = TrinomialTree.AmericanAssetOptionPV(f, k, rf, f, t, vol, cp);
Assert.True(PV >= PVBlack);
}