private double DoCalcPv(IOption option, IMarketCondition market, double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var valueDate = market.ValuationDate;
var dayCount = market.DiscountCurve.Value.DayCount;
var exerciseDates = option.ExerciseDates.Where(x => x >= market.ValuationDate).ToArray();
var tExStart = dayCount.CalcDayCountFraction(valueDate, exerciseDates[0]) + timeIncrement;
var tExEnd = dayCount.CalcDayCountFraction(valueDate, exerciseDates.Last()) + timeIncrement;
if (!double.IsNaN(expiryDayRemainingLife))
{
tExEnd = expiryDayRemainingLife;
}
var spot = market.SpotPrices.Value.Values.First();
Tuple <Date, double>[] dividends = (option.Dividends != null)? option.Dividends.Select(x => new Tuple <Date, double>(x.Key, x.Value)).ToArray(): null;
if (dividends != null)
{
Array.Sort(dividends, (o1, o2) => o1.Item1.CompareTo(o2.Item1));
}
var sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: option.ExerciseDates.Last(), option: option, spot: spot);
//Notional is been considered during simulation.
var fa = BinomialDiscreteDividends(option, market,
market.ValuationDate,
dayCount: market.DiscountCurve.Value.DayCount,
spotPrice: market.SpotPrices.Value.Values.First(),
r: market.DiscountCurve.Value.ZeroRate(market.ValuationDate, option.ExerciseDates.Last()),
v: sigma,
dividends: dividends,
steps: _steps,
tStart: tExStart,
tEnd: tExEnd);
var option2 = option.Clone(OptionExercise.European);
var bsmEngine = new AnalyticalVanillaEuropeanOptionEngine();
//if cash dividends, then annualize it to equivalent dividend yield
//var diviFraction = dayCount.CalcDayCountFraction(option.StartDate, option.ExerciseDates.Last());
//var eqvDividendYield = (dividends ==null)? 0.0: dividends.Select(x => x.Item2).Sum() / spot / diviFraction;
//var eqvDividendCurve = new YieldCurve(
// "dividend",
// valueDate,
// new[]
// {
// Tuple.Create((ITerm)new Term("1D"), eqvDividendYield),
// Tuple.Create((ITerm)new Term("1Y"), eqvDividendYield)
// },
// BusinessDayConvention.ModifiedFollowing,
// dayCount,
// market.DividendCurves.Value.First().Value.Calendar,
// CurrencyCode.CNY,
// Compound.Continuous,
// Interpolation.CubicHermiteMonotic,
// YieldCurveTrait.SpotCurve
// );
//var eqvMarket = market.UpdateDividendCurve(eqvDividendCurve, market.DividendCurves.Value.First().Key);
var fbsm = bsmEngine.Calculate(option2, market, PricingRequest.Pv).Pv;
var fe = BinomialDiscreteDividends(option2, market,
market.ValuationDate,
dayCount: market.DiscountCurve.Value.DayCount,
spotPrice: spot,
r: market.DiscountCurve.Value.ZeroRate(market.ValuationDate, option.ExerciseDates.Last()),
v: sigma,
dividends: dividends,
steps: _steps,
tStart: tExStart,
tEnd: tExEnd);
//control variate
//fa + ( fbsm - fe)
return(fa + (fbsm - fe));
}
