public void TestComputeAmericanCallByBinomialPricer()
{
var n = 15;
var rf = 0.02;
var option = new Option
{
Type = OptionType.Call,
Underlying = new Security {
Volatility = 0.3, MarketPrice = 100, YieldRate = 0.01
},
Strike = 110,
TimeToMaturity = 0.25,
};
using (ReportTime.Start())
{
BinomialPricer.ComputeOption(option, rf, n);
}
}
public void TestVarianceMatrix()
{
var secs = FileReaders.ReadSecurities(@"securities.csv");
var covs = FileReaders.ReadCorrelations(@"correlations.csv", secs);
using (ReportTime.Start())
{
Dictionary <Security, double> weights;
var expectedReturn = 9d;
var matrix = Portfolios.ComputeCovariances(covs);
var variance = Portfolios.ComputePortfolioMinimumVariance(matrix, expectedReturn, out weights);
Console.WriteLine(weights.Aggregate("Weights:" + Environment.NewLine,
(str, pair) => str + (Environment.NewLine + pair.Key.Symbol + "," + pair.Value)));
Console.WriteLine("ExpectedReturn: " + expectedReturn);
Console.WriteLine("Variance: " + variance);
Console.WriteLine("Sharpe: " + expectedReturn / Math.Sqrt(variance));
}
}
public static void TestComputeAmericanPutByBinomialPricer()
{
var n = 15;
var rf = 0.02;
var option = new Option
{
Type = OptionType.Put,
Underlying = new Security {
Volatility = 0.3, MarketPrice = 100, YieldRate = 0.01
},
Strike = 110,
TimeToMaturity = 0.25,
};
using (ReportTime.Start())
{
BinomialPricer.ComputeOption(option, rf, n);
Assert.Greater(option.FairPrice, 2.60);
Assert.Less(option.FairPrice, 2.61);
}
}
public static void TestComputeAmericanPutByBinomialPricer()
{
var n = 15;
var rf = 0.02;
var option = new Option
{
Type = OptionType.Put,
Underlying = new Security {
Volatility = 0.3, MarketPrice = 100, YieldRate = 0.01
},
Strike = 110,
TimeToMaturity = 0.25,
};
using (ReportTime.Start())
{
BinomialPricer.ComputeOption(option, rf, n);
Console.WriteLine(option.FairPrice >= 12.359);
Console.WriteLine(option.FairPrice <= 12.360);
}
}