public void testPerformanceValues()
{
// Testing forward performance option values...
/* The data below are the performance equivalent of the
* forward options tested above and taken from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
*/
ForwardOptionData[] values =
{
// type, moneyness, spot, div, rate,start, maturity, vol, result, tol
new ForwardOptionData(Option.Type.Call, 1.1, 60.0, 0.04, 0.08, 0.25, 1.0, 0.30, 4.4064 / 60 * Math.Exp(-0.04 * 0.25), 1.0e-4),
new ForwardOptionData(Option.Type.Put, 1.1, 60.0, 0.04, 0.08, 0.25, 1.0, 0.30, 8.2971 / 60 * Math.Exp(-0.04 * 0.25), 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS), new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new ForwardPerformanceVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)); // AnalyticEuropeanEngine
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, 0.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Date reset = today + Convert.ToInt32(values[i].start * 360 + 0.5);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
ForwardVanillaOption option = new ForwardVanillaOption(values[i].moneyness, reset, payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - values[i].result);
double tolerance = 1e-4;
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s,
values[i].q, values[i].r, today,
values[i].v, values[i].moneyness, reset,
values[i].result, calculated,
error, tolerance);
}
}
}
private void testForwardGreeks(Type engine_type)
{
Dictionary <String, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance["delta"] = 1.0e-5;
tolerance["gamma"] = 1.0e-5;
tolerance["theta"] = 1.0e-5;
tolerance["rho"] = 1.0e-5;
tolerance["divRho"] = 1.0e-5;
tolerance["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] moneyness = { 0.9, 1.0, 1.1 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
int[] startMonths = { 6, 9 };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
IPricingEngine engine = engine_type == typeof(ForwardVanillaEngine) ? new ForwardVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)) :
new ForwardPerformanceVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < moneyness.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
for (int h = 0; h < startMonths.Length; h++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
Date reset = today + new Period(startMonths[h], TimeUnit.Months);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], 0.0);
ForwardVanillaOption option = new ForwardVanillaOption(moneyness[j], reset, payoff, exercise);
option.setPricingEngine(engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
calculated["theta"] = option.theta();
calculated["rho"] = option.rho();
calculated["divRho"] = option.dividendRho();
calculated["vega"] = option.vega();
if (value > spot.value() * 1.0e-5)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb rates and get rho and dividend rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = option.NPV();
rRate.setValue(r - dr);
value_m = option.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
double dq = q * 1.0e-4;
qRate.setValue(q + dq);
value_p = option.NPV();
qRate.setValue(q - dq);
value_m = option.NPV();
qRate.setValue(q);
expected["divRho"] = (value_p - value_m) / (2 * dq);
// perturb volatility and get vega
double dv = v * 1.0e-4;
vol.setValue(v + dv);
value_p = option.NPV();
vol.setValue(v - dv);
value_m = option.NPV();
vol.setValue(v);
expected["vega"] = (value_p - value_m) / (2 * dv);
// perturb date and get theta
double dT = dc.yearFraction(today - 1, today + 1);
Settings.setEvaluationDate(today - 1);
value_m = option.NPV();
Settings.setEvaluationDate(today + 1);
value_p = option.NPV();
Settings.setEvaluationDate(today);
expected["theta"] = (value_p - value_m) / dT;
// compare
//std::map<std::string,double>::iterator it;
foreach (KeyValuePair <string, double> it in calculated)
{
String greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
moneyness[j], reset,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
}