public void REPORT_FAILURE(string greekName, Average.Type averageType,
double runningAccumulator, int pastFixings,
List<Date> fixingDates, StrikedTypePayoff payoff,
Exercise exercise, double s, double q, double r,
Date today, double v, double expected,
double calculated, double tolerance)
{
Assert.Fail(exercise + " "
+ exercise
+ " Asian option with "
+ averageType + " and "
+ payoff + " payoff:\n"
+ " running variable: "
+ runningAccumulator + "\n"
+ " past fixings: "
+ pastFixings + "\n"
+ " future fixings: " + fixingDates.Count() + "\n"
+ " underlying value: " + s + "\n"
+ " strike: " + payoff.strike() + "\n"
+ " dividend yield: " + q + "\n"
+ " risk-free rate: " + r + "\n"
+ " reference date: " + today + "\n"
+ " maturity: " + exercise.lastDate() + "\n"
+ " volatility: " + v + "\n\n"
+ " expected " + greekName + ": " + expected + "\n"
+ " calculated " + greekName + ": " + calculated + "\n"
+ " error: " + Math.Abs(expected - calculated)
+ "\n"
+ " tolerance: " + tolerance);
}
protected ConvertibleBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
Schedule schedule,
double redemption)
: base(settlementDays, schedule.calendar(), issueDate)
{
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
maturityDate_ = schedule.endDate();
if (!callability.empty())
{
Utils.QL_REQUIRE( callability.Last().date() <= maturityDate_, () =>
"last callability date ("
+ callability.Last().date()
+ ") later than maturity ("
+ maturityDate_.ToShortDateString() + ")");
}
creditSpread.registerWith(update);
}
public DiscretizedOption(DiscretizedAsset underlying, Exercise.Type exerciseType, List<double> exerciseTimes)
{
underlying_ = underlying;
exerciseType_ = exerciseType;
exerciseTimes_ =exerciseTimes;
}
void REPORT_FAILURE(string greekName, StrikedTypePayoff payoff, Exercise exercise, double s, double q, double r,
Date today, double v, double expected, double calculated, double error, double tolerance)
{
Assert.Fail(exercise + " "
+ payoff.optionType() + " option with "
+ payoff + " payoff:\n"
+ " spot value: " + s + "\n"
+ " strike: " + payoff.strike() + "\n"
+ " dividend yield: " + q + "\n"
+ " risk-free rate: " + r + "\n"
+ " reference date: " + today + "\n"
+ " maturity: " + exercise.lastDate() + "\n"
+ " volatility: " + v + "\n\n"
+ " expected " + greekName + ": " + expected + "\n"
+ " calculated " + greekName + ": " + calculated + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
VanillaOption makeOption(StrikedTypePayoff payoff, Exercise exercise, Quote u, YieldTermStructure q,
YieldTermStructure r, BlackVolTermStructure vol, EngineType engineType, int binomialSteps, int samples)
{
GeneralizedBlackScholesProcess stochProcess = makeProcess(u, q, r, vol);
IPricingEngine engine;
switch (engineType)
{
case EngineType.Analytic:
engine = new AnalyticEuropeanEngine(stochProcess);
break;
case EngineType.JR:
engine = new BinomialVanillaEngine<JarrowRudd>(stochProcess, binomialSteps);
break;
case EngineType.CRR:
engine = new BinomialVanillaEngine<CoxRossRubinstein>(stochProcess, binomialSteps);
break;
case EngineType.EQP:
engine = new BinomialVanillaEngine<AdditiveEQPBinomialTree>(stochProcess, binomialSteps);
break;
case EngineType.TGEO:
engine = new BinomialVanillaEngine<Trigeorgis>(stochProcess, binomialSteps);
break;
case EngineType.TIAN:
engine = new BinomialVanillaEngine<Tian>(stochProcess, binomialSteps);
break;
case EngineType.LR:
engine = new BinomialVanillaEngine<LeisenReimer>(stochProcess, binomialSteps);
break;
case EngineType.JOSHI:
engine = new BinomialVanillaEngine<Joshi4>(stochProcess, binomialSteps);
break;
case EngineType.FiniteDifferences:
engine = new FDEuropeanEngine(stochProcess, binomialSteps, samples);
break;
case EngineType.Integral:
engine = new IntegralEngine(stochProcess);
break;
//case EngineType.PseudoMonteCarlo:
// engine = MakeMCEuropeanEngine<PseudoRandom>(stochProcess)
// .withSteps(1)
// .withSamples(samples)
// .withSeed(42);
// break;
//case EngineType.QuasiMonteCarlo:
// engine = MakeMCEuropeanEngine<LowDiscrepancy>(stochProcess)
// .withSteps(1)
// .withSamples(samples);
// break;
default:
throw new ArgumentException("unknown engine type");
}
VanillaOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
return option;
}
public DividendVanillaOption(StrikedTypePayoff payoff, Exercise exercise,
List <Date> dividendDates, List <double> dividends)
: base(payoff, exercise)
{
cashFlow_ = Utils.DividendVector(dividendDates, dividends);
}
public ConvertibleFixedCouponBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
List<double> coupons,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List<double>(){redemption});
Utils.QL_REQUIRE(redemptions_.Count == 1, "multiple redemptions created");
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public VanillaOption(StrikedTypePayoff payoff, Exercise exercise) : base(payoff, exercise) {}
public ConvertibleZeroCouponBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays,schedule, redemption)
{
cashflows_ = new List<CashFlow>();
// !!! notional forcibly set to 100
setSingleRedemption(100.0, redemption, maturityDate_);
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public VanillaOption(StrikedTypePayoff payoff, Exercise exercise)
: base(payoff, exercise)
{
}
public MultiAssetOption(Payoff payoff, Exercise exercise) : base(payoff, exercise)
{
}
public BarrierOption(Barrier.Type barrierType, double barrier, double rebate, StrikedTypePayoff payoff, Exercise exercise) : base(payoff, exercise)
{
barrierType_ = barrierType;
barrier_ = barrier;
rebate_ = rebate;
}
public EuropeanOption(StrikedTypePayoff payoff, Exercise exercise) : base(payoff, exercise)
{
}
public BasketOption(BasketPayoff payoff, Exercise exercise) : base(payoff, exercise)
{
}
public Option(Payoff payoff, Exercise exercise)
{
payoff_ = payoff;
exercise_ = exercise;
}
public Swaption value()
{
Date evaluationDate = Settings.evaluationDate();
Calendar fixingCalendar = swapIndex_.fixingCalendar();
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_);
if (exerciseDate_ == null) {
exercise_ =new EuropeanExercise(fixingDate_);
}
else {
if(exerciseDate_ <= fixingDate_)
throw new ArgumentException(
"exercise date (" + exerciseDate_ + ") must be less "+
"than or equal to fixing date (" + fixingDate_ + ")");
exercise_ = new EuropeanExercise(exerciseDate_);
}
double usedStrike = strike_;
if (strike_ == null) {
// ATM on the forecasting curve
if (!swapIndex_.forwardingTermStructure().empty())
throw new ArgumentException(
"no forecasting term structure set to "+swapIndex_.name());
VanillaSwap temp =
swapIndex_.underlyingSwap(fixingDate_);
temp.setPricingEngine(new DiscountingSwapEngine(
swapIndex_.forwardingTermStructure()));
usedStrike = temp.fairRate();
}
BusinessDayConvention bdc = swapIndex_.fixedLegConvention();
underlyingSwap_ =new MakeVanillaSwap( swapIndex_.tenor(),
swapIndex_.iborIndex(),
usedStrike)
.withEffectiveDate(swapIndex_.valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_.fixingCalendar())
.withFixedLegDayCount(swapIndex_.dayCounter())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc);
Swaption swaption=new Swaption(underlyingSwap_, exercise_, delivery_);
swaption.setPricingEngine(engine_);
return swaption;
}
public ConvertibleFloatingRateBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
IborIndex index,
int fixingDays,
List<double> spreads,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withSpreads(spreads)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List<double>{redemption});
Utils.QL_REQUIRE( redemptions_.Count == 1, () => "multiple redemptions created" );
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public EuropeanOption(StrikedTypePayoff payoff, Exercise exercise)
: base(payoff, exercise)
{
}
//public class engine;
public option( ConvertibleBond bond,
Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
List<CashFlow> cashflows,
DayCounter dayCounter,
Schedule schedule,
Date issueDate,
int settlementDays,
double redemption)
:base(new PlainVanillaPayoff(Option.Type.Call, (bond.notionals()[0])/100.0 *redemption/conversionRatio), exercise)
{
bond_ = bond;
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
cashflows_ = cashflows;
dayCounter_ = dayCounter;
issueDate_ = issueDate;
schedule_ = schedule;
settlementDays_ = settlementDays;
redemption_ = redemption;
}