public void StrikeForPVFacts()
{
var evalDate = DateTime.Today;
var avgStart = evalDate.AddDays(365);
var avgEnd = avgStart.AddDays(32);
var k = 110.0;
var f = 100.0;
var vol = 0.32;
var rf = 0.0;
var volSurface = new ConstantVolSurface(evalDate, vol);
var pv = TurnbullWakeman.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
var strike = TurnbullWakeman.StrikeForPV(pv, f, 0, volSurface, DateTime.Today, avgStart, avgEnd, rf, OptionType.C);
Assert.Equal(k, strike, 10);
var fixingDates = avgStart.CalendarDaysInPeriod(avgEnd).ToArray();
var fwds = fixingDates.Select(d => f).ToArray();
var sigmas = fixingDates.Select(d => vol).ToArray();
pv = TurnbullWakeman.PV(fwds, fixingDates, evalDate, avgEnd, sigmas, k, rf, OptionType.C);
strike = TurnbullWakeman.StrikeForPV(pv, fwds, fixingDates, volSurface, evalDate, avgEnd, rf, OptionType.C);
Assert.Equal(k, strike, 10);
}
public void PVFacts()
{
var t = 1.0;
var t2 = 2.0;
var k = 0;
var f = 100;
var vol = 0.32;
var rf = 0.05;
var cp = OptionType.P;
//expired is worthless
var PV = TurnbullWakeman.PV(f, 0, vol, 0, t, 0, rf, OptionType.P);
Assert.Equal(0, PV, 10);
PV = TurnbullWakeman.PV(f, 0, vol, 0, t, 0, rf, OptionType.C);
Assert.Equal(0, PV, 10);
//zero strike put is worthless
PV = TurnbullWakeman.PV(f, 0, vol, 0, t, t2, rf, cp);
Assert.Equal(0, PV, 10);
PV = TurnbullWakeman.PV(f, 50, vol, 0, -0.1, t2, rf, cp);
Assert.Equal(0, PV, 10);
//zero strike call is worth discounted fwd
cp = OptionType.C;
PV = TurnbullWakeman.PV(f, 0, vol, 0, t, t2, rf, cp);
Assert.Equal(System.Math.Exp(-rf * t2) * f, PV, 2);
//OTM option with zero vol is worthless
vol = 0.0;
k = f + 1;
PV = TurnbullWakeman.PV(f, k, vol, 0, t, t2, rf, cp);
Assert.Equal(0, PV, 10);
//put-call parity at f==k
k = f;
vol = 0.32;
var PVcall = TurnbullWakeman.PV(f, 0, vol, k, t, t2, rf, OptionType.C);
var PVput = TurnbullWakeman.PV(f, 0, vol, k, t, t2, rf, OptionType.P);
Assert.Equal(PVcall, PVput, 2);
//independent fwds version
var valDate = new DateTime(2019, 10, 24);
var fixingStartDate = new DateTime(2019, 10, 01);
var fixingEndDate = new DateTime(2019, 10, 25);
var fixingDates = DateExtensions.BusinessDaysInPeriod(fixingStartDate, fixingEndDate, TestProviderHelper.CalendarProvider.Collection["NYC"]).ToArray();
var fwds = fixingDates.Select(x => 100.0).ToArray();
var sigmas = fixingDates.Select(x => 0.32).ToArray();
PV = TurnbullWakeman.PV(fwds, fixingDates, valDate, fixingEndDate, sigmas, 1, 0.0, OptionType.C, true);
var blackPV = BlackFunctions.BlackPV(100.0, 1, 0.0, 1 / 365.0, 0.32, OptionType.C);
Assert.Equal(blackPV, PV, 4);
}
public void CanRunPV()
{
var sut = GetSut();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var pvCube = sut.PV(usd);
var ins = sut.Portfolio.Instruments.First() as AsianOption;
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var clewlowPV = LME_Clewlow.PV(100, 0, 0.32, 101, sut.Model.BuildDate, ins.AverageStartDate, ins.AverageEndDate, 0.0, OptionType.C, usdCal);
var tbPV = TurnbullWakeman.PV(100, 0, 0.32, 101, sut.Model.BuildDate, ins.AverageStartDate, ins.AverageEndDate, 0.0, OptionType.C);
var tbFutPV = TurnbullWakeman.PV(ins.FixingDates.Select(x => 100.0).ToArray(), ins.FixingDates, sut.Model.BuildDate, ins.PaymentDate, ins.FixingDates.Select(x => 0.32).ToArray(), ins.Strike, 0.0, OptionType.C);
Assert.Equal(tbFutPV, pvCube.GetAllRows().First().Value, 1);
}
public void DeltaFacts()
{
var evalDate = new DateTime(2019, 05, 10);
var avgStart = evalDate.AddDays(365);
var avgEnd = avgStart.AddDays(32);
var k = 100.0;
var f = 100.0;
var vol = 0.32;
var rf = 0.0;
var deltaBump = 1e-6;
var pv = TurnbullWakeman.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
var pv2 = TurnbullWakeman.PV(f + deltaBump, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
var delta = TurnbullWakeman.Delta(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
evalDate = avgStart.AddDays(16);
pv = TurnbullWakeman.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
pv2 = TurnbullWakeman.PV(f + deltaBump, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
delta = TurnbullWakeman.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
pv = TurnbullWakeman.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P);
pv2 = TurnbullWakeman.PV(f + deltaBump, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P);
delta = TurnbullWakeman.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
pv = TurnbullWakeman.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
pv2 = TurnbullWakeman.PV(f + deltaBump, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
delta = TurnbullWakeman.Delta(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
pv = TurnbullWakeman.PV(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P);
pv2 = TurnbullWakeman.PV(f + deltaBump, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P);
delta = TurnbullWakeman.Delta(f, 100.0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.P);
Assert.Equal((pv2 - pv) / deltaBump, delta, 2);
}
public void ThetaFacts()
{
var originDate = new DateTime(2019, 05, 10);
var fixingDates = originDate.AddDays(30).CalendarDaysInPeriod(originDate.AddDays(60)).ToArray();
var fwds = fixingDates.Select(d => 100.0).ToArray();
var vols = fixingDates.Select(d => 0.32).ToArray();
var k = 100.0;
var pv = TurnbullWakeman.PV(fwds, fixingDates, originDate, fixingDates.Last(), vols, k, 0.0, OptionType.C);
var pv2 = TurnbullWakeman.PV(fwds, fixingDates, originDate.AddDays(1), fixingDates.Last(), vols, k, 0.0, OptionType.C);
var theta = TurnbullWakeman.Theta(fwds, fixingDates, originDate, fixingDates.Last(), vols, k, 0.0, OptionType.C);
Assert.Equal((pv2 - pv) * 365, theta, 0);
theta = TurnbullWakeman.Theta(fwds, fixingDates, fixingDates.Last().AddDays(1), fixingDates.Last(), vols, k, 0.0, OptionType.C);
Assert.Equal(0, theta);
theta = TurnbullWakeman.Theta(fwds, fixingDates, fixingDates.Last(), fixingDates.Last(), vols, k, 0.0, OptionType.C);
Assert.Equal(0, theta);
Assert.Throws <DataMisalignedException>(() => TurnbullWakeman.Theta(new[] { 1.0 }, fixingDates, originDate, fixingDates.Last(), vols, k, 0.0, OptionType.C));
}
