public override IPricingResult Calculate(BinaryOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (trade.BinaryOptionPayoffType == BinaryOptionPayoffType.CashOrNothing)
{
var factor = (double)BinaryOptionReplicationStrategy;
var lowStrike = trade.Strike + Offset * (factor - 1.0) / 2.0;
var highStrike = trade.Strike + Offset * (factor + 1.0) / 2.0;
//if call, replicate by call spreads,
//if put, replicate by put spreads
var lowStrikeOption = new VanillaOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType, lowStrike, trade.UnderlyingProductType, trade.Calendar, trade.DayCount, trade.PayoffCcy, trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates, trade.Notional);
var highStrikeOption = new VanillaOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType, highStrike, trade.UnderlyingProductType, trade.Calendar, trade.DayCount, trade.PayoffCcy, trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates, trade.Notional);
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var lowResult = engine.Calculate(lowStrikeOption, market, request);
var highResult = engine.Calculate(highStrikeOption, market, request);
var sign = trade.OptionType == OptionType.Call ? 1.0 : -1.0;
factor = sign * trade.CashOrNothingAmount / Offset;
//calc basic stuff
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = (lowResult.Pv - highResult.Pv) * factor;
}
if (AnalyticalOptionPricerUtil.isBasicPricing(result))
{
result.Delta = (lowResult.Delta - highResult.Delta) * factor;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
result.Gamma = (lowResult.Gamma - highResult.Gamma) * factor;
result.GammaCash = result.Gamma * market.SpotPrices.Value.Values.First() * market.SpotPrices.Value.Values.First() / 100;
result.Vega = (lowResult.Vega - highResult.Vega) * factor;
result.Rho = (lowResult.Rho - highResult.Rho) * factor;
result.Theta = (lowResult.Theta - highResult.Theta) * factor;
}
if (AnalyticalOptionPricerUtil.isHighOrderPricing(result))
{
result.DDeltaDvol = (lowResult.DDeltaDvol - highResult.DDeltaDvol) * factor;
result.DVegaDvol = (lowResult.DVegaDvol - highResult.DVegaDvol) * factor;
result.DVegaDt = (lowResult.DVegaDt - highResult.DVegaDt) * factor;
result.DDeltaDt = (lowResult.DDeltaDt - highResult.DDeltaDt) * factor;
}
}
else if (trade.BinaryOptionPayoffType == BinaryOptionPayoffType.AssetOrNothing)
{
var binaryCfOption = new BinaryOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType,
trade.Strike, trade.UnderlyingProductType, BinaryOptionPayoffType.CashOrNothing, 1.0, trade.Calendar,
trade.DayCount, trade.PayoffCcy,
trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates);
var binaryResult = Calculate(binaryCfOption, market, request);
var vanillaOption = new VanillaOption(trade.StartDate, trade.UnderlyingMaturityDate, trade.Exercise, trade.OptionType,
trade.Strike, trade.UnderlyingProductType, trade.Calendar, trade.DayCount, trade.PayoffCcy,
trade.SettlementCcy, trade.ExerciseDates, trade.ObservationDates, trade.Notional);
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var vanillaResult = engine.Calculate(vanillaOption, market, request);
var sign = trade.OptionType == OptionType.Call ? 1.0 : -1.0;
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = sign * vanillaResult.Pv + trade.Strike * binaryResult.Pv;
}
if (AnalyticalOptionPricerUtil.isBasicPricing(result))
{
result.Delta = sign * vanillaResult.Delta + trade.Strike * binaryResult.Delta;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
result.Gamma = sign * vanillaResult.Gamma + trade.Strike * binaryResult.Gamma;
result.GammaCash = result.Gamma * market.SpotPrices.Value.Values.First() * market.SpotPrices.Value.Values.First() / 100;
result.Vega = sign * vanillaResult.Vega + trade.Strike * binaryResult.Vega;
result.Rho = sign * vanillaResult.Rho + trade.Strike * binaryResult.Rho;
result.Theta = sign * vanillaResult.Theta + trade.Strike * binaryResult.Theta;
}
if (AnalyticalOptionPricerUtil.isHighOrderPricing(result))
{
result.DDeltaDvol = sign * vanillaResult.DDeltaDvol + trade.Strike * binaryResult.DDeltaDvol;
result.DVegaDvol = sign * vanillaResult.DVegaDvol + trade.Strike * binaryResult.DVegaDvol;
result.DVegaDt = sign * vanillaResult.DVegaDt + trade.Strike * binaryResult.DVegaDt;
result.DDeltaDt = sign * vanillaResult.DDeltaDt + trade.Strike * binaryResult.DDeltaDt;
}
}
return(result);
}
public override IPricingResult Calculate(AsianOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var exerciseDate = trade.ExerciseDates.Last();
var remainingObsDates = trade.ObservationDates.Where(x => x > market.ValuationDate).ToArray();
var n = trade.ObservationDates.Count();
var n2 = remainingObsDates.Count();
var m = n - n2;
if (trade.Fixings.Count != m)
{
throw new PricingLibraryException("AsianOption: number of fixings does not match!");
}
var fixingAverage = trade.Fixings.Any() ? trade.Fixings.Average(x => x.Value) : 0.0;
if (!remainingObsDates.Any())
{
//already fix on all observation days
var cfs = trade.GetPayoff(new[] { fixingAverage });
result.Pv = cfs.Sum(x => x.PaymentAmount * market.DiscountCurve.Value.GetDf(market.ValuationDate, x.PaymentDate));
result.Delta = 0.0;
result.DeltaCash = 0.0;
result.Gamma = 0.0;
result.GammaCash = 0.0;
result.Vega = 0.0;
result.Theta = 0.0;
result.Rho = 0.0;
return(result);
}
//TODO: do it properly
var newSpot = market.SpotPrices.Value.Values.First();
var sigma = market.VolSurfaces.Value.Values.First().GetValue(exerciseDate, trade.Strike, newSpot);
var newSigma = market.VolSurfaces.Value.Values.First().GetValue(exerciseDate, trade.Strike, newSpot);
double newStrike;
var factor = 1.0;
if (remainingObsDates.Count() == 1)
{
newStrike = trade.ObservationDates.Count() * trade.Strike - (n - 1) * trade.Fixings.Average(x => x.Value);
factor = 1.0 / n;
}
else
{
var T = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade);
var T2 = AnalyticalOptionPricerUtil.timeToMaturityFraction(remainingObsDates[0], remainingObsDates.Last(), trade);
var t1 = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, remainingObsDates[0], trade);
var h = T2 / (n2 - 1);
var S = market.SpotPrices.Value.Values.First();
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendRate = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var b = riskFreeRate - dividendRate;
var sigma2 = sigma * sigma;
double eat, eat2;
if (riskFreeRate.AlmostEqual(dividendRate))
{
eat = market.SpotPrices.Value.Values.First();
eat2 = S * S * Math.Exp(sigma2 * t1) / n / n *
(
(1 - Math.Exp(sigma2 * h * n)) / (1 - Math.Exp(sigma2 * h)) +
2.0 / (1 - Math.Exp(sigma2 * h)) *
(n - (1 - Math.Exp(sigma2 * h * n)) / (1 - Math.Exp(sigma2 * h)))
);
}
else
{
var o = 2 * b + sigma2;
eat = S / n2 * Math.Exp(b * t1) * (1 - Math.Exp(b * h * n2)) / (1 - Math.Exp(b * h));
eat2 = S * S * Math.Exp(o * t1) / n / n *
(
(1 - Math.Exp(o * h * n)) / (1 - Math.Exp(o * h)) +
2.0 / (1 - Math.Exp((b + sigma2) * h)) *
((1 - Math.Exp(b * h * n)) / (1 - Math.Exp(b * h)) - (1 - Math.Exp(o * h * n)) / (1 - Math.Exp(o * h)))
);
}
newSpot = eat;
newSigma = Math.Sqrt(Math.Log(eat2 / eat / eat) / T);
newStrike = (n * trade.Strike - m * fixingAverage) / (n - m) - m / (n - m);
factor = 1.0 * (n - m) / n;
}
var newTrade = new VanillaOption(trade.StartDate,
trade.UnderlyingMaturityDate,
trade.Exercise,
trade.OptionType,
newStrike,
trade.UnderlyingProductType,
trade.Calendar,
trade.DayCount,
trade.PayoffCcy,
trade.SettlementCcy,
trade.ExerciseDates,
trade.ObservationDates,
trade.Notional,
trade.SettlmentGap,
trade.OptionPremiumPaymentDate,
trade.OptionPremium);
var newVol = market.VolSurfaces.Value.Values.First().BumpVolSurf(newSigma - sigma);
var newMarket = market.UpdateCondition(
new UpdateMktConditionPack <Dictionary <string, double> >(x => x.SpotPrices, new Dictionary <string, double> {
{ "", newSpot }
}),
new UpdateMktConditionPack <Dictionary <string, IVolSurface> >(x => x.VolSurfaces, new Dictionary <string, IVolSurface> {
{ "", newVol }
})
);
var bsEngine = new AnalyticalVanillaEuropeanOptionEngine();
result = (PricingResult)bsEngine.Calculate(newTrade, newMarket, request);
result.Pv *= factor;
result.Delta *= factor;
result.Gamma *= factor;
result.Vega *= factor;
result.Theta *= factor;
result.Rho *= factor;
return(result);
}
