/// <summary> /// Values at, overriding calibrated Wing Model with supplied parms /// </summary> /// <param name="stock"></param> /// <param name="expiry">The expiry.</param> /// <param name="strikes">The strikes.</param> /// <param name="parms">The parms.</param> /// <param name="oride"></param> /// <param name="cache">if set to <c>true</c> [cache].</param> /// <returns></returns> public ForwardExpiry ValueAt(Stock stock, DateTime expiry, List <Double> strikes, OrcWingParameters parms, bool oride, bool cache) { var fwdExpiry = new ForwardExpiry { ExpiryDate = expiry }; double forward = stock.GetForward(stock.Date, expiry); fwdExpiry.FwdPrice = Convert.ToDecimal(forward); foreach (double strike in strikes) { double val = OrcWingVol.Value(strike, parms); IVolatilityPoint vp = new VolatilityPoint(); vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default()); bool node = VolatilitySurfaceHelper.IsMatch(strike, expiry, NodalExpiries); Strike newstrike; if (node & oride) { newstrike = VolatilitySurfaceHelper.GetStrike(strike, expiry, NodalExpiries); //new data points, derefernce fitting model newstrike.InterpModel = null; } else { //var wingModel = new WingInterp {WingParams = parms}; newstrike = new Strike { StrikePrice = strike, InterpModel = null }; //newstrike.InterpModel = wingModel; fwdExpiry.AddStrike(newstrike, node); } newstrike.SetVolatility(vp); } return(fwdExpiry); }
/// <summary> /// Values at. /// </summary> /// <param name="stock"></param> /// <param name="expiries">The expiries.</param> /// <param name="strikes">The strikes.</param> /// <param name="?">Cache to vol object</param> /// <param name="cache"></param> /// <returns></returns> public List <ForwardExpiry> ValueAt(Stock stock, List <DateTime> expiries, List <Double> strikes, bool cache) { var forwardExpiries = new List <ForwardExpiry>(); foreach (DateTime exp in expiries) { var fwdExpiry = new ForwardExpiry(); foreach (double str in strikes) { var wingModel = new WingInterp(); double forward = stock.GetForward(stock.Date, exp.Date); double spot = Convert.ToDouble(stock.Spot); fwdExpiry.FwdPrice = Convert.ToDecimal(forward); double y = str; double x = (exp.Subtract(Date)).Days / 365.0; IPoint point = new Point2D(x, y); InterpCurve.Forward = forward; InterpCurve.Spot = spot; var val = InterpCurve.Value(point); IVolatilityPoint vp = new VolatilityPoint(); vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default()); fwdExpiry.ExpiryDate = exp; bool node = VolatilitySurfaceHelper.IsMatch(str, exp, NodalExpiries); // copy model used to return ForwardExpiry object var newstrike = new Strike { StrikePrice = str }; var wing = (WingModelInterpolation)InterpCurve.GetYAxisInterpolatingFunction(); //SABRModelInterpolation wing = (SABRModelInterpolation)_interpCurve.GetYAxisInterpolatingFunction(); wingModel.WingParams = wing.WingParameters; newstrike.InterpModel = wingModel; fwdExpiry.AddStrike(newstrike, node); newstrike.SetVolatility(vp); } forwardExpiries.Add(fwdExpiry); } return(forwardExpiries); }
public void TestPricevsORCExample() { DateTime[] rtDates = { DateTime.Parse("17-Aug-2010"), DateTime.Parse("17-Sep-2010"), DateTime.Parse("18-Oct-2010"), DateTime.Parse("17-Nov-2010"), DateTime.Parse("10-Dec-2010") }; double[] rates = { 0.045507232, 0.046609656, 0.047336042, 0.047655159, 0.047737236 }; RateCurve rc = new RateCurve("AUD", "Semi-Annual", DateTime.Parse("16-Aug-2010"), rtDates, rates); //Dividend d1 = new Dividend(DateTime.Parse("16-8-2010"), 11.745786M); Dividend d2 = new Dividend(DateTime.Parse("17-8-2010"), 0.893295M); Dividend d3 = new Dividend(DateTime.Parse("23-8-2010"), 7.856689M); Dividend d4 = new Dividend(DateTime.Parse("24-8-2010"), 2.898251M); Dividend d5 = new Dividend(DateTime.Parse("25-8-2010"), 3.344721M); Dividend d6 = new Dividend(DateTime.Parse("26-8-2010"), 0.485070M); Dividend d7 = new Dividend(DateTime.Parse("27-8-2010"), 0.835305M); Dividend d8 = new Dividend(DateTime.Parse("30-8-2010"), 3.952976M); Dividend d9 = new Dividend(DateTime.Parse("31-8-2010"), 0.884255M); Dividend d10 = new Dividend(DateTime.Parse("1-9-2010"), 2.013798M); Dividend d11 = new Dividend(DateTime.Parse("2-9-2010"), 1.241407M); Dividend d12 = new Dividend(DateTime.Parse("3-9-2010"), 0.613699M); Dividend d13 = new Dividend(DateTime.Parse("6-9-2010"), 11.712946M); Dividend d14 = new Dividend(DateTime.Parse("7-9-2010"), 3.775104M); Dividend d15 = new Dividend(DateTime.Parse("8-9-2010"), 0.606597M); Dividend d16 = new Dividend(DateTime.Parse("9-9-2010"), 0.268093M); Dividend d17 = new Dividend(DateTime.Parse("10-9-2010"), 0.144851M); Dividend d18 = new Dividend(DateTime.Parse("13-9-2010"), 1.600975M); Dividend d19 = new Dividend(DateTime.Parse("14-9-2010"), 1.499946M); Dividend d20 = new Dividend(DateTime.Parse("15-9-2010"), 0.238824M); Dividend d21 = new Dividend(DateTime.Parse("16-9-2010"), 0.117931M); List <Dividend> divCurve = new List <Dividend>() { d2, d3, d4, d5, d6, d7, d8, d9, d10, d11, d12, d13, d14, d15, d16, d17, d18, d19, d20, d21 }; DateTime date0 = new DateTime(2010, 08, 16); DateTime exp = new DateTime(2010, 9, 16); double spot = 4447.62; //double future = 4420; double strike = 4200; string stockId = "XJO_Spot"; Stock stock = new Stock(date0, Convert.ToDecimal(spot), stockId, "XJO", rc, divCurve); double fwd = stock.GetForward(date0, exp); var wingParams1 = new OrcWingParameters { CurrentVol = 0.234828, RefVol = 0.234828, SlopeRef = -0.109109, PutCurve = 1.235556, CallCurve = 0.60895, DnCutoff = -0.493791, UpCutoff = 0.506209, RefFwd = 4420.092383, AtmForward = 4420.092383, Vcr = 0, Scr = 0, Ssr = 100, Dsr = 0.2, Usr = 0.2, }; VolatilitySurface vs = new VolatilitySurface(stockId, Convert.ToDecimal(spot), date0); ForwardExpiry expiry = new ForwardExpiry(exp, Convert.ToDecimal(fwd)); OptionPosition op = new OptionPosition("XJO_Vanilla_ETO_Sep10_4200.000_Put", 30.237108, PositionType.Put); Strike strike0 = new Strike(strike, null, op); expiry.AddStrike(strike0, true); List <double> strikes1 = new List <double> { 4200 }; ForwardExpiry forwardexpiry = vs.ValueAt(stock, exp, strikes1, wingParams1, true, false); double vol = Convert.ToDouble(forwardexpiry.Strikes[0].Volatility.Value); var utils = new AmOptionAnalytics(date0, exp, spot, strike, vol, "European", "Put", rc, divCurve, 120); double pr = Math.Round(utils.Price(), 7); }