public void Create()
{
var curvatures = new[] { WingCurvatureTest.Create() };
TransactionDetail transaction = TransactionDetailTest.Create();
DividendList divList = DividendListTest.CreateDividendList();
Stock stock = CreateStock(CStockId, CName, divList, curvatures, transaction);
}
static public DividendList CreateDividendList()
{
Dividend div1 = DividendTest.CreateDividend(cExDivDate, cExDivDate.AddDays(10), cPayAmt, cCcy);
Dividend div2 = DividendTest.CreateDividend(cExDivDate.AddDays(10), cExDivDate.AddDays(20), cPayAmt + 10, cCcy);
List <Dividend> dividends = new List <Dividend>();
dividends.Add(div1);
dividends.Add(div2);
DividendList dividendList = DividendListTest.CreateDividendList(dividends);
return(dividendList);
}
/// <summary>
///
/// </summary>
/// <param name="divArray"></param>
/// <returns></returns>
public static DividendList UnpackDiv(List <DividendRange> divArray)
{
//map in the dividend curve
var dList = new DividendList();
foreach (DividendRange divRange in divArray)
{
DateTime date = divRange.DivDate;
var dividend = new Dividend(date, date, divRange.DivAmt, "AUD");
dList.Add(dividend);
}
return(dList);
}
/// <summary>
/// Creates the dividend list.
/// </summary>
/// <param name="exDivDate">The ex div date.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="paymentAmt">The payment amt.</param>
/// <param name="currencyCode">The currency code.</param>
/// <returns></returns>
static public DividendList CreateDividendList(List <Dividend> dividends)
{
DividendList dividendList = new DividendList();
foreach (Dividend div in dividends)
{
dividendList.Add(div);
}
Assert.AreEqual(dividendList.Dividends.Length, dividends.Count);
Assert.AreEqual(dividendList.ExDivDates.Length, dividends.Count);
Assert.AreEqual(dividendList.PaymentAmountsInCents.Length, dividends.Count);
Assert.AreEqual(dividendList.PaymentDates.Length, dividends.Count);
return(dividendList);
}
/// <summary>
/// Creates the stock.
/// </summary>
/// <param name="id">The id.</param>
/// <param name="name">The name.</param>
/// <param name="divList">The div list.</param>
/// <param name="curvature">The curvature.</param>
/// <param name="transaction">The transaction.</param>
/// <returns></returns>
static public Stock CreateStock(string id, string name, DividendList divList, WingCurvature[] curvature, TransactionDetail transaction)
{
var stock = new Stock(id, name, divList, curvature)
{
Transaction = transaction
};
Assert.AreEqual(stock.Id, id);
Assert.AreEqual(stock.Name, name);
Assert.AreEqual(stock.Dividends.Count, divList.Count);
Assert.AreEqual(stock.WingCurvature.Length, curvature.Length);
//Assert.AreEqual(stock.Transaction, !IsNull);
return(stock);
}
/// <summary>
/// Finds the dividend.
/// </summary>
/// <param name="dividend">The dividend.</param>
/// <param name="dividends">The dividends.</param>
/// <returns></returns>
public static Dividend FindDividend(Dividend dividend, DividendList dividends)
{
return(dividends.Find(dividendItem => (DateTime.Compare(dividendItem.ExDivDate, dividend.ExDivDate) == 0)
));
}
static void Main(string[] args)
{
const double tolerance = 10.0;
//load the strike
var st = new Strike(OptionType.Call, 100.0);
var tr = new TransactionDetail("BHP");
tr.SetStrike(st);
tr.CurrentSpot = 100.0;
tr.PayStyle = PayStyleType.European;
tr.TradeDate = DateTime.Parse("25-Mar-2008");
tr.ExpiryDate = tr.TradeDate.AddDays(107);
//set the curvature
var wc = new[] { new WingCurvature() };
wc[0].EtoDate = DateTime.Parse("25-Mar-2008");;
wc[0][WingCurvature.WingCurvatureProperty.CallCurvature] = -1.1478;
wc[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = 0.2417;
wc[0][WingCurvature.WingCurvatureProperty.DownCutOff] = -.2871;
wc[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = 0.5;
wc[0][WingCurvature.WingCurvatureProperty.PutCurvature] = 0.2283;
wc[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = 100.0;
wc[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = 100.0;
wc[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = 0.0;
wc[0][WingCurvature.WingCurvatureProperty.SlopeReference] = -0.1234;
wc[0][WingCurvature.WingCurvatureProperty.UpCutOff] = 0.1327;
wc[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = 0.50;
wc[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = 0.0;
DateTime d1 = DateTime.Parse("25-Sep-2008");
var div1 = new Dividend(d1, d1.AddDays(10), 1.0, "AUD");
d1 = DateTime.Parse("26-Oct-2009");
var div2 = new Dividend(d1, d1.AddDays(10), 1.0, "AUD");
var dList = new DividendList {
div1, div2
};
var ist = new Stock("BHP", "BHP", dList, wc)
{
Transaction = tr
};
//set up the zerocurve
var tDates = new List <DateTime>();
var tRates = new List <double>();
tDates.Add(DateTime.Parse("25-Jun-2008"));
tDates.Add(DateTime.Parse("25-Sep-2008"));
tRates.Add(0.05);
tRates.Add(0.05);
var zc = new ZeroAUDCurve(DateTime.Parse("25-Mar-2008"), tDates, tRates);
//test the price
var col = new Collar();
//test the pricer
double price = col.FindPrice(ist, zc);
//test collar
var st2 = new Strike(OptionType.Call, 102.0);
ist.Transaction.SetStrike(st2);
price = col.FindZeroCostPutStrike(ist, zc);
var st3 = new Strike(OptionType.Put, 98.0);
ist.Transaction.SetStrike(st3);
price = col.FindZeroCostCallStrike(ist, zc);
//Test against an ETO in Orc;
//load the strike
var testSt1 = new Strike(OptionType.Put, 3900.00);
var tr2 = new TransactionDetail("BHP");
tr2.SetStrike(testSt1);
tr2.CurrentSpot = 3900.00;
tr2.PayStyle = PayStyleType.American;
tr2.TradeDate = DateTime.Parse("25-Mar-2008");
tr2.ExpiryDate = DateTime.Parse("26-Mar-2009");
//set the curvature
var wc2 = new[] { new WingCurvature() };
wc2[0].EtoDate = DateTime.Parse("25-Mar-2008");
wc2[0][WingCurvature.WingCurvatureProperty.CallCurvature] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = 0.7056;
wc2[0][WingCurvature.WingCurvatureProperty.DownCutOff] = -0.1438;
wc2[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.PutCurvature] = 16.5346;
wc2[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = 3440.27;
wc2[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = 92.11;
wc2[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.SlopeReference] = 4.0573;
wc2[0][WingCurvature.WingCurvatureProperty.UpCutOff] = 0.0001;
wc2[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = 82.6825;
wc2[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = 0.0;
DateTime date = DateTime.Parse("01-Sep-2008");
var dividend1 = new Dividend(date, DateTime.Parse("25-Sep-2008"), 34.5, "AUD");
date = DateTime.Parse("23-Feb-2009");
var dividend2 = new Dividend(date, DateTime.Parse("17-Mar-2009"), 36.5, "AUD");
var dList2 = new DividendList {
dividend1, dividend2
};
var ist2 = new Stock("BHP", "BHP", dList2, wc2)
{
Transaction = tr2
};
//set up the zerocurve
var tDates2 = new List <DateTime>();
var tRates2 = new List <double>();
tDates2.Add(DateTime.Parse("26-Mar-2008"));
tDates2.Add(DateTime.Parse("26-Apr-2008"));
tDates2.Add(DateTime.Parse("27-May-2008"));
tDates2.Add(DateTime.Parse("25-Jun-2008"));
tDates2.Add(DateTime.Parse("05-Jul-2008"));
tDates2.Add(DateTime.Parse("04-Oct-2008"));
tDates2.Add(DateTime.Parse("03-Jan-2009"));
tDates2.Add(DateTime.Parse("04-Apr-2009"));
tRates2.Add(0.068646);
tRates2.Add(0.070701);
tRates2.Add(0.072238);
tRates2.Add(0.073009);
tRates2.Add(0.073086);
tRates2.Add(0.073792);
tRates2.Add(0.074177);
tRates2.Add(0.074375);
var zc2 = new ZeroAUDCurve(DateTime.Parse("25-Mar-2008"), tDates2, tRates2);
//test the price
var col2 = new Collar();
//test the pricer - put
double testPrice = col2.FindPrice(ist2, zc2);
//test the pricer - call
var _testSt1 = new Strike(OptionType.Call, 5379.10);
tr2.SetStrike(_testSt1);
double _testPrice = col2.FindPrice(ist2, zc2);
//test collar
var testSt2 = new Strike(OptionType.Call, 5379.10);
ist2.Transaction.SetStrike(testSt2);
price = col2.FindZeroCostPutStrike(ist2, zc2);
var testSt3 = new Strike(OptionType.Put, 3900.00);
ist2.Transaction.SetStrike(testSt3);
price = col2.FindZeroCostCallStrike(ist2, zc2);
//Specify downside strike of 3900:
// Orc put price @ 3900 744.11
// Orc call price @ 5379.10 748.30
}
