public void Should_get_correct_price_range_When_apply_monte_carlo()
{
var date = D20190505;
var nextDate = date.AddDays(1);
int largeNumber = 10000;
int randomingCount = 0;
Func <Volatility, Volatility> producer = d =>
{
var volatilityRandomizer = new VolatilityRandomizer();
Interlocked.Increment(ref randomingCount);
return(volatilityRandomizer.Randomrize(Volatility));
};
var monteCarlo = new MonteCarloVolatilityRandomizer(largeNumber, Volatility, producer);
var pricer = new MiniPricer(new Price(date, InitialPrice), Volatility, new JoursFeriesProvider(), monteCarlo);
var priceOfNextDay = pricer.GetPriceOf(Instrument, nextDate);
Check.That(randomingCount).IsEqualTo(largeNumber);
Check.That(priceOfNextDay.Date).IsEqualTo(nextDate);
Check.That(priceOfNextDay.Value).IsStrictlyLessThan(120);
Check.That(priceOfNextDay.Value).IsStrictlyGreaterThan(80);
}
public void Should_not_apply_volatility_on_jours_feries()
{
var initialDate = D20190430;
var pricer = new MiniPricer(new Price(initialDate, InitialPrice), Volatility, new JoursFeriesProvider(), new VolatilityRandomizerForTesting());
var jf1 = pricer.GetPriceOf(Instrument, D20190501);
Check.That(jf1.Value).IsEqualTo(InitialPrice);
var jf2 = pricer.GetPriceOf(Instrument, D20190505);
Check.That(jf2.Value).IsEqualTo(InitialPrice * Math.Pow((InitialPrice + Volatility.Value) / InitialPrice, 2)); // 2 3 4(saturday)
var jf3 = pricer.GetPriceOf(Instrument, D20190508);
Check.That(jf3.Value).IsEqualTo(InitialPrice * Math.Pow((InitialPrice + Volatility.Value) / InitialPrice, 4));
}
public void Should_not_apply_volatility_on_weekend()
{
var initialDate = D20190502;
var pricer = new MiniPricer(new Price(initialDate, InitialPrice), Volatility, new JoursFeriesProvider(), new VolatilityRandomizerForTesting());
var friday = D20190503;
var saturday = friday.AddDays(1);
var sunday = saturday.AddDays(1);
var priceOfSaturday = pricer.GetPriceOf(Instrument, saturday);
Check.That(priceOfSaturday.Value).IsEqualTo(InitialPrice + Volatility.Value);
var priceOfSunday = pricer.GetPriceOf(Instrument, sunday);
Check.That(priceOfSunday.Value).IsEqualTo(InitialPrice + Volatility.Value);
}
public void Should_provide_the_price_for_a_specific_day()
{
var today = D20190501;
var tomorrow = D20190502;
var pricer = new MiniPricer(new Price(today, InitialPrice), Volatility, new JoursFeriesProvider(), new VolatilityRandomizerForTesting());
var priceOf20190508 = pricer.GetPriceOf(Instrument, tomorrow);
Check.That(priceOf20190508).IsEqualTo(new Price(tomorrow, InitialPrice + Volatility.Value));
}
public void Should_return_current_price_When_requested_date_is_current_date()
{
var date = D20190430;
var pricer = new MiniPricer(new Price(date, InitialPrice), Volatility, new JoursFeriesProvider(), new VolatilityRandomizerForTesting());
var priceOf20190508 = pricer.GetPriceOf(Instrument, date);
Check.That(priceOf20190508).IsEqualTo(new Price(date, InitialPrice));
}
[TestCase(11, 4)] // sunday
public void Should_apply_one_time_per_day_randomrize_volatility_When_the_date_is_neither_weekend_nor_jour_ferie(int day, int randomrizeCalledTimes)
{
var mondayFerie = D20190505;
var date = new DateTime(2019, 5, day);
var volatilityRandomizer = new VolatilityRandomizerForTesting();
var pricer = new MiniPricer(new Price(mondayFerie, InitialPrice), Volatility, new JoursFeriesProvider(), volatilityRandomizer);
pricer.GetPriceOf(Instrument, date);
Check.That(volatilityRandomizer.CalledTimes).IsEqualTo(randomrizeCalledTimes);
}
public void Should_randomize_volatility_to_absoluteValue_or_negativeValue_or_zero()
{
var date = D20190501;
var volatilityRandomizer = new VolatilityRandomizerTestDecorator();
var pricer = new MiniPricer(new Price(date, InitialPrice), Volatility, new JoursFeriesProvider(), volatilityRandomizer);
pricer.GetPriceOf(Instrument, date.AddDays(1000));
var volatilities = volatilityRandomizer.Volatilities.ToArray();
Check.That(volatilities.All(v => Math.Abs(Math.Abs(v) - InitialPrice) < 0.000000001));
Assert.That(volatilities.Any(v => v < 0), Is.True, "Should have negative volatility");
Assert.That(volatilities.Any(v => v > 0), Is.True, "Should have posivite volatility");
Assert.That(volatilities.Any(v => Math.Abs(v) < 0.000001), Is.True, "Should have null volatility");
}
public void Can_apply_random_volatility_using_monte_carlo()
{
var date = D20190505;
var nextDate = date.AddDays(1);
var queue = new Queue <double>();
queue.Enqueue(20);
queue.Enqueue(4);
queue.Enqueue(30);
Func <Volatility, Volatility> volatilityProducer = d => new Volatility(queue.Dequeue());
var volatilityRandomizer = new MonteCarloVolatilityRandomizer(3, Volatility, volatilityProducer);
var pricer = new MiniPricer(new Price(date, InitialPrice), Volatility, new JoursFeriesProvider(), volatilityRandomizer);
var priceOfNextDate = pricer.GetPriceOf(Instrument, nextDate);
Check.That(priceOfNextDate).IsEqualTo(new Price(nextDate, 100 * (1 + (20d + 4 + 30) / 3 / 100)));
}
public void Return_instrument_price_When_instrument_is_correlated_with_a_pivot_within_a_basket()
{
var date = D20190505;
var nextDate = date.AddDays(1);
var queue = new Queue <double>();
queue.Enqueue(20);
queue.Enqueue(4);
queue.Enqueue(30);
Func <Volatility, Volatility> volatilityProducer = d => new Volatility(queue.Dequeue());
var volatilityRandomizer = new MonteCarloVolatilityRandomizer(3, Volatility, volatilityProducer);
var instrument = new Instrument("VOD.L");
var correlation = new Correlation(value: -1);
var basketItem = new BasketItem(instrument, true);
var basketItem2 = new BasketItem(new Instrument("TOT.L"), false);
var basket = new InstrumentBasket(correlation, new BasketItem[]
{
basketItem,
basketItem2
});
var price = new Price(nextDate, 100 * (1 + (20d + 4 + 30) / 3 / 100));
var pricer = new MiniPricer(new Price(date, InitialPrice), Volatility, new JoursFeriesProvider(), volatilityRandomizer, basket);
BasketPriceComposition prices = pricer.GetPriceOf(nextDate, basket);
Check.That(prices).HasSize(2);
Check.That(prices[basketItem]).IsEqualTo(price);
Check.That(prices[basketItem2]).IsEqualTo(price * correlation);
}