public void testPastFixings() { //BOOST_MESSAGE("Testing use of past fixings in Asian options..."); DayCounter dc = new Actual360(); Date today = Date.Today ; SimpleQuote spot = new SimpleQuote(100.0); SimpleQuote qRate = new SimpleQuote(0.03); YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc); SimpleQuote rRate = new SimpleQuote(0.06); YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc); SimpleQuote vol = new SimpleQuote(0.20); BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc); StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, 100.0); Exercise exercise = new EuropeanExercise(today + new Period(1,TimeUnit.Years)); BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), new Handle<YieldTermStructure>(qTS), new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS)); // MC arithmetic average-price double runningSum = 0.0; int pastFixings = 0; List<Date> fixingDates1 = new InitializedList<Date>(); for (int i=0; i<=12; ++i) fixingDates1.Add(today + new Period(i,TimeUnit.Months)); DiscreteAveragingAsianOption option1 = new DiscreteAveragingAsianOption(Average.Type.Arithmetic, runningSum, pastFixings, fixingDates1, payoff, exercise); pastFixings = 2; runningSum = pastFixings * spot.value() * 0.8; List<Date> fixingDates2 = new InitializedList<Date>(); for (int i=-2; i<=12; ++i) fixingDates2.Add(today + new Period(i,TimeUnit.Months)); DiscreteAveragingAsianOption option2 = new DiscreteAveragingAsianOption(Average.Type.Arithmetic, runningSum, pastFixings, fixingDates2, payoff, exercise); IPricingEngine engine = new MakeMCDiscreteArithmeticAPEngine<LowDiscrepancy,Statistics>(stochProcess) .withStepsPerYear(1) .withSamples(2047) .value() ; option1.setPricingEngine(engine); option2.setPricingEngine(engine); double price1 = option1.NPV(); double price2 = option2.NPV(); if (Utils.close(price1, price2)) { Assert.Fail( "past fixings had no effect on arithmetic average-price option" + "\n without fixings: " + price1 + "\n with fixings: " + price2); } // MC arithmetic average-strike engine = new MakeMCDiscreteArithmeticASEngine<LowDiscrepancy,Statistics>(stochProcess) .withSamples(2047) .value(); option1.setPricingEngine(engine); option2.setPricingEngine(engine); price1 = option1.NPV(); price2 = option2.NPV(); if (Utils.close(price1, price2)) { Assert.Fail( "past fixings had no effect on arithmetic average-strike option" + "\n without fixings: " + price1 + "\n with fixings: " + price2); } // analytic geometric average-price double runningProduct = 1.0; pastFixings = 0; DiscreteAveragingAsianOption option3 = new DiscreteAveragingAsianOption(Average.Type.Geometric, runningProduct, pastFixings, fixingDates1, payoff, exercise); pastFixings = 2; runningProduct = spot.value() * spot.value(); DiscreteAveragingAsianOption option4 = new DiscreteAveragingAsianOption(Average.Type.Geometric, runningProduct, pastFixings, fixingDates2, payoff, exercise); engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess); option3.setPricingEngine(engine); option4.setPricingEngine(engine); double price3 = option3.NPV(); double price4 = option4.NPV(); if (Utils.close(price3, price4)) { Assert.Fail( "past fixings had no effect on geometric average-price option" + "\n without fixings: " + price3 + "\n with fixings: " + price4); } // MC geometric average-price engine = new MakeMCDiscreteGeometricAPEngine<LowDiscrepancy,Statistics>(stochProcess) .withStepsPerYear(1) .withSamples(2047) .value(); option3.setPricingEngine(engine); option4.setPricingEngine(engine); price3 = option3.NPV(); price4 = option4.NPV(); if (Utils.close(price3, price4)) { Assert.Fail( "past fixings had no effect on geometric average-price option" + "\n without fixings: " + price3 + "\n with fixings: " + price4); } }
public void testMCDiscreteArithmeticAveragePrice() { //BOOST_MESSAGE("Testing Monte Carlo discrete arithmetic average-price Asians..."); //QL_TEST_START_TIMING // data from "Asian Option", Levy, 1997 // in "Exotic Options: The State of the Art", // edited by Clewlow, Strickland DiscreteAverageData[] cases4 = { new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 2,0.13, true, 1.3942835683), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 4,0.13, true, 1.5852442983), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 8,0.13, true, 1.66970673), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 12,0.13, true, 1.6980019214), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 26,0.13, true, 1.7255070456), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 52,0.13, true, 1.7401553533), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 100,0.13, true, 1.7478303712), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 250,0.13, true, 1.7490291943), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 500,0.13, true, 1.7515113291), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 1000,0.13, true, 1.7537344885), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 2,0.13, true, 1.8496053697), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 4,0.13, true, 2.0111495205), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 8,0.13, true, 2.0852138818), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 12,0.13, true, 2.1105094397), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 26,0.13, true, 2.1346526695), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 52,0.13, true, 2.147489651), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 100,0.13, true, 2.154728109), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 250,0.13, true, 2.1564276565), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 500,0.13, true, 2.1594238588), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 1000,0.13, true, 2.1595367326), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 2,0.13, true, 2.63315092584), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 4,0.13, true, 2.76723962361), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 8,0.13, true, 2.83124836881), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 12,0.13, true, 2.84290301412), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 26,0.13, true, 2.88179560417), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 52,0.13, true, 2.88447044543), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 100,0.13, true, 2.89985329603), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 250,0.13, true, 2.90047296063), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 500,0.13, true, 2.89813412160), new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 1000,0.13, true, 2.89703362437) }; DayCounter dc = new Actual360(); Date today = Date.Today ; SimpleQuote spot = new SimpleQuote(100.0); SimpleQuote qRate = new SimpleQuote(0.03); YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc); SimpleQuote rRate = new SimpleQuote(0.06); YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc); SimpleQuote vol = new SimpleQuote(0.20); BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc); Average.Type averageType = Average.Type.Arithmetic; double runningSum = 0.0; int pastFixings = 0; for (int l=0; l<cases4.Length ; l++) { StrikedTypePayoff payoff = new PlainVanillaPayoff(cases4[l].type, cases4[l].strike); double dt = cases4[l].length/(cases4[l].fixings-1); List<double> timeIncrements = new QLNet.InitializedList<double>(cases4[l].fixings); List<Date> fixingDates = new QLNet.InitializedList<Date>(cases4[l].fixings); timeIncrements[0] = cases4[l].first; fixingDates[0] = today + (int)(timeIncrements[0]*360+0.5); for (int i=1; i<cases4[l].fixings; i++) { timeIncrements[i] = i*dt + cases4[l].first; fixingDates[i] = today + (int)(timeIncrements[i]*360+0.5); } Exercise exercise = new EuropeanExercise(fixingDates[cases4[l].fixings-1]); spot.setValue(cases4[l].underlying); qRate.setValue(cases4[l].dividendYield); rRate.setValue(cases4[l].riskFreeRate); vol.setValue(cases4[l].volatility); BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), new Handle<YieldTermStructure>(qTS), new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS)); ulong seed=42; const int nrTrails = 5000; LowDiscrepancy.icInstance = new InverseCumulativeNormal(); IRNG rsg = (IRNG)new LowDiscrepancy().make_sequence_generator(nrTrails,seed); new PseudoRandom().make_sequence_generator(nrTrails,seed); IPricingEngine engine = new MakeMCDiscreteArithmeticAPEngine<LowDiscrepancy, Statistics>(stochProcess) .withStepsPerYear(1) .withSamples(2047) .withControlVariate() .value(); DiscreteAveragingAsianOption option= new DiscreteAveragingAsianOption(averageType, runningSum, pastFixings, fixingDates, payoff, exercise); option.setPricingEngine(engine); double calculated = option.NPV(); double expected = cases4[l].result; double tolerance = 2.0e-2; if (Math.Abs(calculated-expected) > tolerance) { REPORT_FAILURE("value", averageType, runningSum, pastFixings, fixingDates, payoff, exercise, spot.value(), qRate.value(), rRate.value(), today, vol.value(), expected, calculated, tolerance); } } }