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 testMCDiscreteGeometricAveragePrice()
{
//BOOST_MESSAGE("Testing Monte Carlo discrete geometric average-price Asians...");
// data from "Implementing Derivatives Model",
// Clewlow, Strickland, p.118-123
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);
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
double tolerance = 4.0e-3;
IPricingEngine engine =
new MakeMCDiscreteGeometricAPEngine
<LowDiscrepancy,Statistics>(stochProcess)
.withStepsPerYear(1)
.withSamples(8191)
.value();
Average.Type averageType = Average.Type.Geometric;
double runningAccumulator = 1.0;
int pastFixings = 0;
int futureFixings = 10;
Option.Type type = Option.Type.Call;
double strike = 100.0;
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
Date exerciseDate = today + 360;
Exercise exercise = new EuropeanExercise(exerciseDate);
List<Date> fixingDates = new InitializedList<Date>(futureFixings);
int dt = (int)(360/futureFixings+0.5);
fixingDates[0] = today + dt;
for (int j=1; j<futureFixings; j++)
fixingDates[j] = fixingDates[j-1] + dt;
DiscreteAveragingAsianOption option =
new DiscreteAveragingAsianOption(averageType, runningAccumulator,
pastFixings, fixingDates,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
IPricingEngine engine2 =
new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess);
option.setPricingEngine(engine2);
double expected = option.NPV();
if (Math.Abs(calculated-expected) > tolerance) {
REPORT_FAILURE("value", averageType, runningAccumulator, pastFixings,
fixingDates, payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated, tolerance);
}
}
