public void testGreeksInitialization()
{
// Testing forward option greeks initialization
DayCounter dc = new Actual360();
SavedSettings backup = new SavedSettings();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.01);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.11);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
IPricingEngine engine = new ForwardVanillaEngine(stochProcess, process => new TestBinomialEngine(process));
Date exDate = today + new Period(1, TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
Date reset = today + new Period(6, TimeUnit.Months);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 0.0);
ForwardVanillaOption option = new ForwardVanillaOption(0.9, reset, payoff, exercise);
option.setPricingEngine(engine);
IPricingEngine ctrlengine = new TestBinomialEngine(stochProcess);
VanillaOption ctrloption = new VanillaOption(payoff, exercise);
ctrloption.setPricingEngine(ctrlengine);
double?delta = 0;
try
{
delta = ctrloption.delta();
}
catch (Exception)
{
// if normal option can't calculate delta,
// nor should forward
try
{
delta = option.delta();
}
catch (Exception)
{
delta = null;
}
Utils.QL_REQUIRE(delta == null, () => "Forward delta invalid");
}
double?rho = 0;
try
{
rho = ctrloption.rho();
}
catch (Exception)
{
// if normal option can't calculate rho,
// nor should forward
try
{
rho = option.rho();
}
catch (Exception)
{
rho = null;
}
Utils.QL_REQUIRE(rho == null, () => "Forward rho invalid");
}
double?divRho = 0;
try
{
divRho = ctrloption.dividendRho();
}
catch (Exception)
{
// if normal option can't calculate divRho,
// nor should forward
try
{
divRho = option.dividendRho();
}
catch (Exception)
{
divRho = null;
}
Utils.QL_REQUIRE(divRho == null, () => "Forward dividendRho invalid");
}
double?vega = 0;
try
{
vega = ctrloption.vega();
}
catch (Exception)
{
// if normal option can't calculate vega,
// nor should forward
try
{
vega = option.vega();
}
catch (Exception)
{
vega = null;
}
Utils.QL_REQUIRE(vega == null, () => "Forward vega invalid");
}
}