public void AROPartialReadings()
{
DateTime valueDate = new DateTime(2013, 03, 12);
DateTime expiryDate = new DateTime(2013, 08, 20);
double _tau = Convert.ToDouble(expiryDate.Subtract(valueDate).Days) / 365.0;
double spot = 42.50;
double strike = 32.36;
bool isCall = true;
int[] ratedays = new int[] { 1, 2925 };
double[] rateamts = new double[] { 0.044997, 0.044997 };
int[] divdays = new int[] { -918,
-743,
-554,
-379,
-190,
-15 };
double[] divAmts = new double[] { 0.4400, 0.4800, 0.5200, 0.5400, 0.5800, 0.5983 };
int[] resetDays = new int[] { -38,
-8,
22,
52,
82,
112,
142,
161 };
double[] resetAmts = new double[] { 42.69, 42.1, 0, 0, 0, 0, 0, 0 };
double[] volatilities = new double[] { 0.3612, 0.3612, 0.3612, 0.3612, 0.3612, 0.3612, 0.3612, 0.3612 };
ARO AROpricer = new ARO(isCall, spot, strike, _tau, volatilities, resetDays, resetAmts, ratedays, rateamts, divdays, divAmts);
double pr = AROpricer.GetPrice();
Assert.AreEqual(pr, 10.28959, 0.0001);
}
public void TestARO()
{
DateTime valueDate = new DateTime(2010, 05, 26);
DateTime expiryDate = new DateTime(2013, 08, 20);
double _tau = Convert.ToDouble(expiryDate.Subtract(valueDate).Days) / 365.0;
double spot = 42.50;
double strike = 32.36;
bool isCall = true;
int[] ratedays = new int[] { 1, 2925 };
double[] rateamts = new double[] { 0.044997, 0.044997 };
int[] divdays = new int[] { 103,
278,
467,
642,
831,
1006 };
double[] divAmts = new double[] { 0.4400, 0.4800, 0.5200, 0.5400, 0.5800, 0.6000 };
int[] resetDays = new int[] { 983,
1013,
1043,
1073,
1103,
1133,
1163,
1182 };
double[] resetAmts = new double[] { 0, 0, 0, 0, 0, 0, 0, 0 };
double[] volatilities = new double[] { 0.3612, 0.3612, 0.3612, 0.3612, 0.3612, 0.3612, 0.3612, 0.3612 };
ARO AROpricer = new ARO(isCall, spot, strike, _tau, volatilities, resetDays, resetAmts, ratedays, rateamts, divdays, divAmts);
double pr = AROpricer.GetPrice();
Assert.AreEqual(pr, 14.8100, 0.01);
}