public void testCashOrNothingEuropeanValues()
{
// Testing European cash-or-nothing digital option
DigitalOptionData[] values =
{
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 88
// type, strike, spot, q, r, t, vol, value, tol
new DigitalOptionData(Option.Type.Put, 80.00, 100.0, 0.06, 0.06, 0.75, 0.35, 2.6710, 1e-4, true)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, 10.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticEuropeanEngine(stochProcess);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s, values[i].q,
values[i].r, today, values[i].v, values[i].result,
calculated, error, values[i].tol, values[i].knockin);
}
}
}
//double fixedRate = 0.001;
//double notional = 10000.0;
//double recoveryRate = 0.4;
////////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary> Calculates the cds. </summary>
///
/// <param name="msg"> [in,out] The message. </param>
/// <param name="fixedRate"> The fixed rate. </param>
/// <param name="notional"> The notional. </param>
/// <param name="recoveryRate"> The recovery rate. </param>
///
/// <returns> True if it succeeds, false if it fails. </returns>
////////////////////////////////////////////////////////////////////////////////////////////////////
public bool CalcCDS(ref CreditDefaultSwapRequestMessage msg, double fixedRate, double notional, double recoveryRate)
{
// Testing fair-spread calculation for credit-default swaps...
using (SavedSettings backup = new SavedSettings())
{
// Initialize curves
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Handle <Quote> hazardRate = new Handle <Quote>(new SimpleQuote(0.01234));
RelinkableHandle <DefaultProbabilityTermStructure> probabilityCurve =
new RelinkableHandle <DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new FlatHazardRate(0, calendar, hazardRate, new Actual360()));
RelinkableHandle <YieldTermStructure> discountCurve =
new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today, 0.06, new Actual360()));
// Build the schedule
Date issueDate = calendar.advance(today, -1, TimeUnit.Years);
Date maturity = calendar.advance(issueDate, 10, TimeUnit.Years);
BusinessDayConvention convention = BusinessDayConvention.Following;
Schedule schedule = new MakeSchedule().from(issueDate)
.to(maturity)
.withFrequency(Frequency.Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(convention)
.withRule(DateGeneration.Rule.TwentiethIMM).value();
// Build the CDS
DayCounter dayCount = new Actual360();
IPricingEngine engine = new MidPointCdsEngine(probabilityCurve, recoveryRate, discountCurve);
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, dayCount, true, true);
cds.setPricingEngine(engine);
double fairRate = cds.fairSpread();
CreditDefaultSwap fairCds = new CreditDefaultSwap(Protection.Side.Seller, notional, fairRate,
schedule, convention, dayCount, true, true);
fairCds.setPricingEngine(engine);
double fairNPV = fairCds.NPV();
double tolerance = 1e-10;
msg.fairRate = fairRate;
msg.fairNPV = fairNPV;
return(Math.Abs(fairNPV) <= tolerance);
}
}
public void testValues()
{
// Testing Cliquet option values
Date today = Date.Today;
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(60.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.08);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.30);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
BlackScholesMertonProcess process = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticCliquetEngine(process);
List <Date> reset = new List <Date>();
reset.Add(today + 90);
Date maturity = today + 360;
Option.Type type = Option.Type.Call;
double moneyness = 1.1;
PercentageStrikePayoff payoff = new PercentageStrikePayoff(type, moneyness);
EuropeanExercise exercise = new EuropeanExercise(maturity);
CliquetOption option = new CliquetOption(payoff, exercise, reset);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = 4.4064; // Haug, p.37
double error = Math.Abs(calculated - expected);
double tolerance = 1e-4;
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated,
error, tolerance);
}
}
void testFdDegenerate <Engine>(Date today, Exercise exercise) where Engine : IFDEngine, new()
{
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(54.625);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.052706, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(0.0, dc));
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(0.282922, dc));
BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
int timeSteps = 300;
int gridPoints = 300;
IPricingEngine engine = new Engine().factory(process, timeSteps, gridPoints);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 55.0);
double tolerance = 3.0e-3;
List <double> dividends = new List <double>();
List <Date> dividendDates = new List <Date>();
DividendVanillaOption option1 = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option1.setPricingEngine(engine);
// FLOATING_POINT_EXCEPTION
double refValue = option1.NPV();
for (int i = 0; i <= 6; i++)
{
dividends.Add(0.0);
dividendDates.Add(today + i);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
double value = option.NPV();
if (Math.Abs(refValue - value) > tolerance)
{
Assert.Fail("NPV changed by null dividend :\n"
+ " previous value: " + value + "\n"
+ " current value: " + refValue + "\n"
+ " change: " + (value - refValue));
}
}
}
public void testFdValues()
{
//("Testing finite-difference engine for American options...");
Date today = Date.Today;
DayCounter dc = new Actual360();
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
double tolerance = 8.0e-2;
for (int i = 0; i < juValues.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(juValues[i].type, juValues[i].strike);
Date exDate = today + Convert.ToInt32(juValues[i].t * 360 + 0.5);
Exercise exercise = new AmericanExercise(today, exDate);
spot.setValue(juValues[i].s);
qRate.setValue(juValues[i].q);
rRate.setValue(juValues[i].r);
vol.setValue(juValues[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new FDAmericanEngine(stochProcess, 100, 100);
VanillaOption option = new VanillaOption(payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - juValues[i].result);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, juValues[i].s, juValues[i].q,
juValues[i].r, today, juValues[i].v, juValues[i].result,
calculated, error, tolerance);
}
}
}
public void testInitialisation()
{
//"Testing caplet LMM process initialisation..."
//SavedSettings backup;
DayCounter dayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> termStructure = new RelinkableHandle <YieldTermStructure>();;
termStructure.linkTo(Utilities.flatRate(Date.Today, 0.04, dayCounter));
IborIndex index = new Euribor6M(termStructure);
OptionletVolatilityStructure capletVol = new ConstantOptionletVolatility(
termStructure.currentLink().referenceDate(),
termStructure.currentLink().calendar(),
BusinessDayConvention.Following,
0.2,
termStructure.currentLink().dayCounter());
Calendar calendar = index.fixingCalendar();
for (int daysOffset = 0; daysOffset < 1825 /* 5 year*/; daysOffset += 8)
{
Date todaysDate = calendar.adjust(Date.Today + daysOffset);
Settings.setEvaluationDate(todaysDate);
Date settlementDate =
calendar.advance(todaysDate, index.fixingDays(), TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlementDate, 0.04, dayCounter));
LiborForwardModelProcess process = new LiborForwardModelProcess(60, index);
List <double> fixings = process.fixingTimes();
for (int i = 1; i < fixings.Count - 1; ++i)
{
int ileft = process.nextIndexReset(fixings[i] - 0.000001);
int iright = process.nextIndexReset(fixings[i] + 0.000001);
int ii = process.nextIndexReset(fixings[i]);
if ((ileft != i) || (iright != i + 1) || (ii != i + 1))
{
Assert.Fail("Failed to next index resets");
}
}
}
}
public void testForwardRateDayCounter()
{
CommonVars vars = new CommonVars();
DayCounter d = new ActualActual();
DayCounter d1 = new Actual360();
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(vars.settlementDays,
vars.calendar, vars.instruments, d);
InterestRate ir = vars.termStructure.forwardRate(vars.settlement, vars.settlement + 30, d1, Compounding.Simple);
if (ir.dayCounter().name() != d1.name())
{
QAssert.Fail("PiecewiseYieldCurve forwardRate dayCounter error" +
" Actual daycounter : " + vars.termStructure.dayCounter().name() +
" Expetced DayCounter : " + d1.name());
}
}
public void testInitialisation()
{
//"Testing caplet LMM process initialisation..."
//SavedSettings backup;
DayCounter dayCounter = new Actual360();
RelinkableHandle<YieldTermStructure> termStructure= new RelinkableHandle<YieldTermStructure>();;
termStructure.linkTo(Utilities.flatRate(Date.Today, 0.04, dayCounter));
IborIndex index=new Euribor6M(termStructure);
OptionletVolatilityStructure capletVol = new ConstantOptionletVolatility(
termStructure.currentLink().referenceDate(),
termStructure.currentLink().calendar(),
BusinessDayConvention.Following,
0.2,
termStructure.currentLink().dayCounter());
Calendar calendar = index.fixingCalendar();
for (int daysOffset=0; daysOffset < 1825 /* 5 year*/; daysOffset+=8) {
Date todaysDate = calendar.adjust(Date.Today+daysOffset);
Settings.setEvaluationDate(todaysDate);
Date settlementDate =
calendar.advance(todaysDate, index.fixingDays(), TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlementDate, 0.04, dayCounter));
LiborForwardModelProcess process=new LiborForwardModelProcess(60, index);
List<double> fixings = process.fixingTimes();
for (int i=1; i < fixings.Count-1; ++i) {
int ileft = process.nextIndexReset(fixings[i]-0.000001);
int iright = process.nextIndexReset(fixings[i]+0.000001);
int ii = process.nextIndexReset(fixings[i]);
if ((ileft != i) || (iright != i+1) || (ii != i+1)) {
Assert.Fail("Failed to next index resets");
}
}
}
}
IborIndex makeIndex(List <Date> dates,
List <double> rates)
{
DayCounter dayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> termStructure = new RelinkableHandle <YieldTermStructure>();
IborIndex index = new Euribor6M(termStructure);
Date todaysDate =
index.fixingCalendar().adjust(new Date(4, 9, 2005));
Settings.setEvaluationDate(todaysDate);
dates[0] = index.fixingCalendar().advance(todaysDate,
index.fixingDays(), TimeUnit.Days);
Linear Interpolator = new Linear();
termStructure.linkTo(new InterpolatedZeroCurve <Linear>(dates, rates, dayCounter, Interpolator));
return(index);
}
public void testObservability()
{
// "Testing observability of piecewise yield curve...");
CommonVars vars = new CommonVars();
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(vars.settlementDays,
vars.calendar, vars.instruments, new Actual360());
Flag f = new Flag();
vars.termStructure.registerWith(f.update);
for (int i = 0; i < vars.deposits + vars.swaps; i++)
{
double testTime = new Actual360().yearFraction(vars.settlement, vars.instruments[i].latestDate());
double discount = vars.termStructure.discount(testTime);
f.lower();
vars.rates[i].setValue(vars.rates[i].value() * 1.01);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of underlying rate change");
}
double discount_new = vars.termStructure.discount(testTime, true);
if (discount_new == discount)
{
QAssert.Fail("rate change did not trigger recalculation");
}
vars.rates[i].setValue(vars.rates[i].value() / 1.01);
}
f.lower();
Settings.setEvaluationDate(vars.calendar.advance(vars.today, 15, TimeUnit.Days));
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of date change");
}
}
private static double[] toDoubles(DateTime tradeDate, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC,
params DateTime[] premDates)
{
DateTime accStart = premDates[0];
DateTime accEnd = premDates[1];
DateTime paymentDate = premDates[2];
DateTime effStart = protectionFromStartOfDay ? accStart.AddDays(-1) : accStart;
DateTime effEnd = protectionFromStartOfDay ? accEnd.AddDays(-1) : accEnd;
double[] res = new double[5];
// *@param protectionFromStartOfDay true if protection is from the start of day (true for standard CDS)
// *@param accrualDCC The day - count - convention used for calculation the accrual period(ACT / 360 for standard CDS)
// *@param curveDCC The day - count - convention used for converting dates to time intervals along curves - this should be ACT / 365F
Actual365 dc = new Actual365();
Actual360 accrualDCC_ = new Actual360();
res[0] = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
res[1] = dc.YearFraction(tradeDate, effEnd);
res[2] = dc.YearFraction(tradeDate, paymentDate);
res[3] = accrualDCC_.YearFraction(accStart, accEnd);
res[4] = res[3] / dc.YearFraction(accStart, accEnd);
return(res);
}
public void testPastFixings()
{
//BOOST_MESSAGE("Testing use of past fixings in Asian options...");
DayCounter dc = new Actual360();
Date today = Date.Today ;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.03);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.06);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.20);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, 100.0);
Exercise exercise = new EuropeanExercise(today + new Period(1,TimeUnit.Years));
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
// MC arithmetic average-price
double runningSum = 0.0;
int pastFixings = 0;
List<Date> fixingDates1 = new InitializedList<Date>();
for (int i=0; i<=12; ++i)
fixingDates1.Add(today + new Period(i,TimeUnit.Months));
DiscreteAveragingAsianOption option1 =
new DiscreteAveragingAsianOption(Average.Type.Arithmetic, runningSum,
pastFixings, fixingDates1,
payoff, exercise);
pastFixings = 2;
runningSum = pastFixings * spot.value() * 0.8;
List<Date> fixingDates2 = new InitializedList<Date>();
for (int i=-2; i<=12; ++i)
fixingDates2.Add(today + new Period(i,TimeUnit.Months));
DiscreteAveragingAsianOption option2 =
new DiscreteAveragingAsianOption(Average.Type.Arithmetic, runningSum,
pastFixings, fixingDates2,
payoff, exercise);
IPricingEngine engine =
new MakeMCDiscreteArithmeticAPEngine<LowDiscrepancy,Statistics>(stochProcess)
.withStepsPerYear(1)
.withSamples(2047)
.value() ;
option1.setPricingEngine(engine);
option2.setPricingEngine(engine);
double price1 = option1.NPV();
double price2 = option2.NPV();
if (Utils.close(price1, price2)) {
Assert.Fail(
"past fixings had no effect on arithmetic average-price option"
+ "\n without fixings: " + price1
+ "\n with fixings: " + price2);
}
// MC arithmetic average-strike
engine = new MakeMCDiscreteArithmeticASEngine<LowDiscrepancy,Statistics>(stochProcess)
.withSamples(2047)
.value();
option1.setPricingEngine(engine);
option2.setPricingEngine(engine);
price1 = option1.NPV();
price2 = option2.NPV();
if (Utils.close(price1, price2)) {
Assert.Fail(
"past fixings had no effect on arithmetic average-strike option"
+ "\n without fixings: " + price1
+ "\n with fixings: " + price2);
}
// analytic geometric average-price
double runningProduct = 1.0;
pastFixings = 0;
DiscreteAveragingAsianOption option3 =
new DiscreteAveragingAsianOption(Average.Type.Geometric, runningProduct,
pastFixings, fixingDates1,
payoff, exercise);
pastFixings = 2;
runningProduct = spot.value() * spot.value();
DiscreteAveragingAsianOption option4 =
new DiscreteAveragingAsianOption(Average.Type.Geometric, runningProduct,
pastFixings, fixingDates2,
payoff, exercise);
engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess);
option3.setPricingEngine(engine);
option4.setPricingEngine(engine);
double price3 = option3.NPV();
double price4 = option4.NPV();
if (Utils.close(price3, price4)) {
Assert.Fail(
"past fixings had no effect on geometric average-price option"
+ "\n without fixings: " + price3
+ "\n with fixings: " + price4);
}
// MC geometric average-price
engine = new MakeMCDiscreteGeometricAPEngine<LowDiscrepancy,Statistics>(stochProcess)
.withStepsPerYear(1)
.withSamples(2047)
.value();
option3.setPricingEngine(engine);
option4.setPricingEngine(engine);
price3 = option3.NPV();
price4 = option4.NPV();
if (Utils.close(price3, price4)) {
Assert.Fail(
"past fixings had no effect on geometric average-price option"
+ "\n without fixings: " + price3
+ "\n with fixings: " + price4);
}
}
public void testImpliedHazardRate()
{
// Testing implied hazard-rate for credit-default swaps...
using (SavedSettings backup = new SavedSettings())
{
// Initialize curves
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
double h1 = 0.30, h2 = 0.40;
DayCounter dayCounter = new Actual365Fixed();
List <Date> dates = new List <Date>(3);
List <double> hazardRates = new List <double>(3);
dates.Add(today);
hazardRates.Add(h1);
dates.Add(today + new Period(5, TimeUnit.Years));
hazardRates.Add(h1);
dates.Add(today + new Period(10, TimeUnit.Years));
hazardRates.Add(h2);
RelinkableHandle <DefaultProbabilityTermStructure> probabilityCurve =
new RelinkableHandle <DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new InterpolatedHazardRateCurve <BackwardFlat>(dates,
hazardRates,
dayCounter));
RelinkableHandle <YieldTermStructure> discountCurve = new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today, 0.03, new Actual360()));
Frequency frequency = Frequency.Semiannual;
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
Date issueDate = calendar.advance(today, -6, TimeUnit.Months);
double fixedRate = 0.0120;
DayCounter cdsDayCount = new Actual360();
double notional = 10000.0;
double recoveryRate = 0.4;
double?latestRate = null;
for (int n = 6; n <= 10; ++n)
{
Date maturity = calendar.advance(issueDate, n, TimeUnit.Years);
Schedule schedule = new Schedule(issueDate, maturity, new Period(frequency), calendar,
convention, convention,
DateGeneration.Rule.Forward, false);
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, cdsDayCount, true, true);
cds.setPricingEngine(new MidPointCdsEngine(probabilityCurve, recoveryRate, discountCurve));
double NPV = cds.NPV();
double flatRate = cds.impliedHazardRate(NPV, discountCurve,
dayCounter,
recoveryRate);
if (flatRate < h1 || flatRate > h2)
{
Assert.Fail("implied hazard rate outside expected range\n"
+ " maturity: " + n + " years\n"
+ " expected minimum: " + h1 + "\n"
+ " expected maximum: " + h2 + "\n"
+ " implied rate: " + flatRate);
}
if (n > 6 && flatRate < latestRate)
{
Assert.Fail("implied hazard rate decreasing with swap maturity\n"
+ " maturity: " + n + " years\n"
+ " previous rate: " + latestRate + "\n"
+ " implied rate: " + flatRate);
}
latestRate = flatRate;
RelinkableHandle <DefaultProbabilityTermStructure> probability = new RelinkableHandle <DefaultProbabilityTermStructure>();
probability.linkTo(new FlatHazardRate(today, new Handle <Quote>(new SimpleQuote(flatRate)), dayCounter));
CreditDefaultSwap cds2 = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, cdsDayCount, true, true);
cds2.setPricingEngine(new MidPointCdsEngine(probability, recoveryRate, discountCurve));
double NPV2 = cds2.NPV();
double tolerance = 1.0;
if (Math.Abs(NPV - NPV2) > tolerance)
{
Assert.Fail("failed to reproduce NPV with implied rate\n"
+ " expected: " + NPV + "\n"
+ " calculated: " + NPV2);
}
}
}
}
public void testMCDiscreteArithmeticAverageStrike()
{
//BOOST_MESSAGE("Testing Monte Carlo discrete arithmetic average-strike Asians...");
//QL_TEST_START_TIMING
// data from "Asian Option", Levy, 1997
// in "Exotic Options: The State of the Art",
// edited by Clewlow, Strickland
DiscreteAverageData[] cases5 = {
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 2,
0.13, true, 1.51917595129 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 4,
0.13, true, 1.67940165674 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 8,
0.13, true, 1.75371215251 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 12,
0.13, true, 1.77595318693 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 26,
0.13, true, 1.81430536630 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 52,
0.13, true, 1.82269246898 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 100,
0.13, true, 1.83822402464 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 250,
0.13, true, 1.83875059026 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 500,
0.13, true, 1.83750703638 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 0.0, 11.0/12.0, 1000,
0.13, true, 1.83887181884 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 2,
0.13, true, 1.51154400089 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 4,
0.13, true, 1.67103508506 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 8,
0.13, true, 1.74529684070 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 12,
0.13, true, 1.76667074564 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 26,
0.13, true, 1.80528400613 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 52,
0.13, true, 1.81400883891 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 100,
0.13, true, 1.82922901451 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 250,
0.13, true, 1.82937111773 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 500,
0.13, true, 1.82826193186 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 1.0/12.0, 11.0/12.0, 1000,
0.13, true, 1.82967846654 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 2,
0.13, true, 1.49648170891 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 4,
0.13, true, 1.65443100462 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 8,
0.13, true, 1.72817806731 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 12,
0.13, true, 1.74877367895 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 26,
0.13, true, 1.78733801988 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 52,
0.13, true, 1.79624826757 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 100,
0.13, true, 1.81114186876 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 250,
0.13, true, 1.81101152587 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 500,
0.13, true, 1.81002311939 ),
new DiscreteAverageData(Option.Type.Call, 90.0, 87.0, 0.06, 0.025, 3.0/12.0, 11.0/12.0, 1000,
0.13, true, 1.81145760308 )
};
DayCounter dc = new Actual360();
Date today = Date.Today ;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.03);
YieldTermStructure qTS =Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.06);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.20);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
Average.Type averageType = QLNet.Average.Type.Arithmetic;
double runningSum = 0.0;
int pastFixings = 0;
for (int l=0; l<cases5.Length; l++) {
StrikedTypePayoff payoff =
new PlainVanillaPayoff(cases5[l].type, cases5[l].strike);
double dt = cases5[l].length/(cases5[l].fixings-1);
List<double> timeIncrements = new InitializedList<double>(cases5[l].fixings);
List<Date> fixingDates = new InitializedList<Date>(cases5[l].fixings);
timeIncrements[0] = cases5[l].first;
fixingDates[0] = today + (int)(timeIncrements[0]*360+0.5);
for (int i=1; i<cases5[l].fixings; i++) {
timeIncrements[i] = i*dt + cases5[l].first;
fixingDates[i] = today + (int)(timeIncrements[i]*360+0.5);
}
Exercise exercise = new EuropeanExercise(fixingDates[cases5[l].fixings-1]);
spot.setValue(cases5[l].underlying);
qRate.setValue(cases5[l].dividendYield);
rRate.setValue(cases5[l].riskFreeRate);
vol.setValue(cases5[l].volatility);
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
IPricingEngine engine =
new MakeMCDiscreteArithmeticASEngine<LowDiscrepancy,Statistics>(stochProcess)
.withSeed(3456789)
.withSamples(1023)
.value() ;
DiscreteAveragingAsianOption option =
new DiscreteAveragingAsianOption(averageType, runningSum,
pastFixings, fixingDates,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = cases5[l].result;
double tolerance = 2.0e-2;
if (Math.Abs(calculated-expected) > tolerance) {
REPORT_FAILURE("value", averageType, runningSum, pastFixings,
fixingDates, payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated, tolerance);
}
}
}
public void testCashOrNothingHaugValues()
{
// Testing cash-or-nothing barrier options against Haug's values
BinaryOptionData[] values =
{
/* The data below are from
* "Option pricing formulas 2nd Ed.", E.G. Haug, McGraw-Hill 2007 pag. 180 - cases 13,14,17,18,21,22,25,26
* Note:
* q is the dividend rate, while the book gives b, the cost of carry (q=r-b)
*/
// barrierType, barrier, cash, type, strike, spot, q, r, t, vol, value, tol
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.9289, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 6.2150, 1e-4),
// following value is wrong in book.
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 5.8926, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 7.4519, 1e-4),
// 17,18
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.4314, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 3.1454, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 5.3297, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.7704, 1e-4),
// 21,22
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.8758, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.9081, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.0407, 1e-4),
// 25,26
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.0323, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.0461, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.0054, 1e-4),
// other values calculated with book vba
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, -0.14, 0.10, 0.5, 0.20, 8.6806, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 102.00, 95.00, 0.03, 0.10, 0.5, 0.20, 5.3112, 1e-4),
// degenerate conditions (barrier touched)
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 7.4926, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 11.1231, 1e-4),
// 17,18
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 15.00, Option.Type.Put, 102.00, 98.00, 0.00, 0.10, 0.5, 0.20, 7.1344, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 15.00, Option.Type.Put, 102.00, 101.00, 0.00, 0.10, 0.5, 0.20, 5.9299, 1e-4),
// 21,22
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Call, 98.00, 99.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Call, 98.00, 101.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
// 25,26
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 15.00, Option.Type.Put, 98.00, 99.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 15.00, Option.Type.Put, 98.00, 101.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, values[i].cash);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticBinaryBarrierEngine(stochProcess);
BarrierOption opt = new BarrierOption(values[i].barrierType, values[i].barrier, 0, payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].barrierType,
values[i].barrier, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol);
}
}
}
public void testCashAtHitOrNothingAmericanGreeks()
{
// Testing American cash-(at-hit)-or-nothing digital option greeks
SavedSettings backup = new SavedSettings();
SortedDictionary <string, double> calculated = new SortedDictionary <string, double>();
SortedDictionary <string, double> expected = new SortedDictionary <string, double>();
SortedDictionary <string, double> tolerance = new SortedDictionary <string, double>(); // std::map<std::string,Real> calculated, expected, tolerance;
tolerance["delta"] = 5.0e-5;
tolerance["gamma"] = 5.0e-5;
tolerance["rho"] = 5.0e-5;
Option.Type[] types = { QLNet.Option.Type.Call, QLNet.Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.5, 150.0 };
double cashPayoff = 100.0;
double[] underlyings = { 100 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.11, 0.5, 1.2 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
// there is no cycling on different residual times
Date exDate = today + 360;
Exercise exercise = new EuropeanExercise(exDate);
Exercise amExercise = new AmericanExercise(today, exDate, false);
Exercise[] exercises = { exercise, amExercise };
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
IPricingEngine euroEngine = new AnalyticEuropeanEngine(stochProcess);
IPricingEngine amEngine = new AnalyticDigitalAmericanEngine(stochProcess);
IPricingEngine[] engines = { euroEngine, amEngine };
bool knockin = true;
for (int j = 0; j < engines.Length; j++)
{
for (int i1 = 0; i1 < types.Length; i1++)
{
for (int i6 = 0; i6 < strikes.Length; i6++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(types[i1], strikes[i6], cashPayoff);
VanillaOption opt = new VanillaOption(payoff, exercises[j]);
opt.setPricingEngine(engines[j]);
for (int i2 = 0; i2 < underlyings.Length; i2++)
{
for (int i4 = 0; i4 < qRates.Length; i4++)
{
for (int i3 = 0; i3 < rRates.Length; i3++)
{
for (int i7 = 0; i7 < vols.Length; i7++)
{
// test data
double u = underlyings[i2];
double q = qRates[i4];
double r = rRates[i3];
double v = vols[i7];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
// theta, dividend rho and vega are not available for
// digital option with american exercise. Greeks of
// digital options with european payoff are tested
// in the europeanoption.cpp test
double value = opt.NPV();
calculated["delta"] = opt.delta();
calculated["gamma"] = opt.gamma();
calculated["rho"] = opt.rho();
if (value > 1.0e-6)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = opt.NPV(),
delta_p = opt.delta();
spot.setValue(u - du);
double value_m = opt.NPV(),
delta_m = opt.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb rates and get rho and dividend rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = opt.NPV();
rRate.setValue(r - dr);
value_m = opt.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
// check
//std::map<std::string,Real>::iterator it;
foreach (var it in calculated)
{
string greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, value);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol, knockin);
}
}
}
}
}
}
}
}
}
}
}
public void testCashAtExpiryOrNothingAmericanValues()
{
// Testing American cash-(at-expiry)-or-nothing digital option
DigitalOptionData[] values =
{
// type, strike, spot, q, r, t, vol, value, tol
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 95, case 5,6,9,10
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 9.3604, 1e-4, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 11.2223, 1e-4, true),
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 4.9081, 1e-4, false),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 3.0461, 1e-4, false),
// in the money options (guaranteed discounted payoff)
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 15.0000 * Math.Exp(-0.05), 1e-12, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 15.0000 * Math.Exp(-0.05), 1e-12, true),
// out of bonds case
new DigitalOptionData(Option.Type.Call, 2.37, 2.33, 0.07, 0.43, 0.19, 0.005, 0.0000, 1e-4, false),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, 15.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine;
if (values[i].knockin)
{
engine = new AnalyticDigitalAmericanEngine(stochProcess);
}
else
{
engine = new AnalyticDigitalAmericanKOEngine(stochProcess);
}
VanillaOption opt = new VanillaOption(payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol, values[i].knockin);
}
}
}
public VanillaSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
Date refDate = Settings.evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = floatCalendar_.adjust(refDate);
Date spotDate = floatCalendar_.advance(refDate, new Period(settlementDays_, TimeUnit.Days));
startDate = spotDate + forwardStart_;
if (forwardStart_.length() < 0)
{
startDate = floatCalendar_.adjust(startDate, BusinessDayConvention.Preceding);
}
else
{
startDate = floatCalendar_.adjust(startDate, BusinessDayConvention.Following);
}
}
Date endDate = terminationDate_;
if (endDate == null)
{
if (floatEndOfMonth_)
{
endDate = floatCalendar_.advance(startDate,
swapTenor_,
BusinessDayConvention.ModifiedFollowing,
floatEndOfMonth_);
}
else
{
endDate = startDate + swapTenor_;
}
}
Currency curr = iborIndex_.currency();
Period fixedTenor = null;
if (fixedTenor_ != null)
{
fixedTenor = fixedTenor_;
}
else
{
if ((curr == new EURCurrency()) ||
(curr == new USDCurrency()) ||
(curr == new CHFCurrency()) ||
(curr == new SEKCurrency()) ||
(curr == new GBPCurrency() && swapTenor_ <= new Period(1, TimeUnit.Years)))
{
fixedTenor = new Period(1, TimeUnit.Years);
}
else if ((curr == new GBPCurrency() && swapTenor_ > new Period(1, TimeUnit.Years) ||
(curr == new JPYCurrency()) ||
(curr == new AUDCurrency() && swapTenor_ >= new Period(4, TimeUnit.Years))))
{
fixedTenor = new Period(6, TimeUnit.Months);
}
else if ((curr == new HKDCurrency() ||
(curr == new AUDCurrency() && swapTenor_ < new Period(4, TimeUnit.Years))))
{
fixedTenor = new Period(3, TimeUnit.Months);
}
else
{
Utils.QL_FAIL("unknown fixed leg default tenor for " + curr);
}
}
Schedule fixedSchedule = new Schedule(startDate, endDate,
fixedTenor, fixedCalendar_,
fixedConvention_, fixedTerminationDateConvention_,
fixedRule_, fixedEndOfMonth_,
fixedFirstDate_, fixedNextToLastDate_);
Schedule floatSchedule = new Schedule(startDate, endDate,
floatTenor_, floatCalendar_,
floatConvention_, floatTerminationDateConvention_,
floatRule_, floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
DayCounter fixedDayCount = null;
if (fixedDayCount_ != null)
{
fixedDayCount = fixedDayCount_;
}
else
{
if (curr == new USDCurrency())
{
fixedDayCount = new Actual360();
}
else if (curr == new EURCurrency() || curr == new CHFCurrency() || curr == new SEKCurrency())
{
fixedDayCount = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
}
else if (curr == new GBPCurrency() || curr == new JPYCurrency() || curr == new AUDCurrency() ||
curr == new HKDCurrency())
{
fixedDayCount = new Actual365Fixed();
}
else
{
Utils.QL_FAIL("unknown fixed leg day counter for " + curr);
}
}
double?usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
VanillaSwap temp = new VanillaSwap(type_, nominal_, fixedSchedule, 0.0, fixedDayCount,
floatSchedule, iborIndex_, floatSpread_, floatDayCount_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = iborIndex_.forwardingTermStructure();
Utils.QL_REQUIRE(!disc.empty(), () =>
"null term structure set to this instance of " + iborIndex_.name());
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
temp.setPricingEngine(engine);
}
else
{
temp.setPricingEngine(engine_);
}
usedFixedRate = temp.fairRate();
}
VanillaSwap swap = new VanillaSwap(type_, nominal_, fixedSchedule, usedFixedRate.Value, fixedDayCount,
floatSchedule, iborIndex_, floatSpread_, floatDayCount_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = iborIndex_.forwardingTermStructure();
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
swap.setPricingEngine(engine);
}
else
{
swap.setPricingEngine(engine_);
}
return(swap);
}
public void testMCDiscreteArithmeticAveragePrice()
{
//BOOST_MESSAGE("Testing Monte Carlo discrete arithmetic average-price Asians...");
//QL_TEST_START_TIMING
// data from "Asian Option", Levy, 1997
// in "Exotic Options: The State of the Art",
// edited by Clewlow, Strickland
DiscreteAverageData[] cases4 = {
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 2,0.13, true, 1.3942835683),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 4,0.13, true, 1.5852442983),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 8,0.13, true, 1.66970673),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 12,0.13, true, 1.6980019214),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 26,0.13, true, 1.7255070456),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 52,0.13, true, 1.7401553533),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 100,0.13, true, 1.7478303712),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 250,0.13, true, 1.7490291943),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 500,0.13, true, 1.7515113291),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 0.0,11.0/12.0, 1000,0.13, true, 1.7537344885),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 2,0.13, true, 1.8496053697),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 4,0.13, true, 2.0111495205),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 8,0.13, true, 2.0852138818),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 12,0.13, true, 2.1105094397),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 26,0.13, true, 2.1346526695),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 52,0.13, true, 2.147489651),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 100,0.13, true, 2.154728109),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 250,0.13, true, 2.1564276565),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 500,0.13, true, 2.1594238588),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 1.0/12.0,11.0/12.0, 1000,0.13, true, 2.1595367326),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 2,0.13, true, 2.63315092584),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 4,0.13, true, 2.76723962361),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 8,0.13, true, 2.83124836881),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 12,0.13, true, 2.84290301412),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 26,0.13, true, 2.88179560417),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 52,0.13, true, 2.88447044543),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 100,0.13, true, 2.89985329603),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 250,0.13, true, 2.90047296063),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 500,0.13, true, 2.89813412160),
new DiscreteAverageData(Option.Type.Put, 90.0, 87.0, 0.06, 0.025, 3.0/12.0,11.0/12.0, 1000,0.13, true, 2.89703362437)
};
DayCounter dc = new Actual360();
Date today = Date.Today ;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.03);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.06);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.20);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
Average.Type averageType = Average.Type.Arithmetic;
double runningSum = 0.0;
int pastFixings = 0;
for (int l=0; l<cases4.Length ; l++) {
StrikedTypePayoff payoff = new
PlainVanillaPayoff(cases4[l].type, cases4[l].strike);
double dt = cases4[l].length/(cases4[l].fixings-1);
List<double> timeIncrements = new QLNet.InitializedList<double>(cases4[l].fixings);
List<Date> fixingDates = new QLNet.InitializedList<Date>(cases4[l].fixings);
timeIncrements[0] = cases4[l].first;
fixingDates[0] = today + (int)(timeIncrements[0]*360+0.5);
for (int i=1; i<cases4[l].fixings; i++) {
timeIncrements[i] = i*dt + cases4[l].first;
fixingDates[i] = today + (int)(timeIncrements[i]*360+0.5);
}
Exercise exercise = new EuropeanExercise(fixingDates[cases4[l].fixings-1]);
spot.setValue(cases4[l].underlying);
qRate.setValue(cases4[l].dividendYield);
rRate.setValue(cases4[l].riskFreeRate);
vol.setValue(cases4[l].volatility);
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
ulong seed=42;
const int nrTrails = 5000;
LowDiscrepancy.icInstance = new InverseCumulativeNormal();
IRNG rsg = (IRNG)new LowDiscrepancy().make_sequence_generator(nrTrails,seed);
new PseudoRandom().make_sequence_generator(nrTrails,seed);
IPricingEngine engine =
new MakeMCDiscreteArithmeticAPEngine<LowDiscrepancy, Statistics>(stochProcess)
.withStepsPerYear(1)
.withSamples(2047)
.withControlVariate()
.value();
DiscreteAveragingAsianOption option=
new DiscreteAveragingAsianOption(averageType, runningSum,
pastFixings, fixingDates,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = cases4[l].result;
double tolerance = 2.0e-2;
if (Math.Abs(calculated-expected) > tolerance) {
REPORT_FAILURE("value", averageType, runningSum, pastFixings,
fixingDates, payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated, tolerance);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Actual360 obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
Date repoSettlementDate = new Date(14,Month.February,2000);;
Date repoDeliveryDate = new Date(15,Month.August,2000);
double repoRate = 0.05;
DayCounter repoDayCountConvention = new Actual360();
int repoSettlementDays = 0;
Compounding repoCompounding = Compounding.Simple;
Frequency repoCompoundFreq = Frequency.Annual;
// assume a ten year bond- this is irrelevant
Date bondIssueDate = new Date(15,Month.September,1995);
Date bondDatedDate = new Date(15,Month.September,1995);
Date bondMaturityDate = new Date(15,Month.September,2005);
double bondCoupon = 0.08;
Frequency bondCouponFrequency = Frequency.Semiannual;
// unknown what calendar fincad is using
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCountConvention = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
// unknown what fincad is using. this may affect accrued calculation
int bondSettlementDays = 0;
BusinessDayConvention bondBusinessDayConvention = BusinessDayConvention.Unadjusted;
double bondCleanPrice = 89.97693786;
double bondRedemption = 100.0;
double faceAmount = 100.0;
Settings.setEvaluationDate(repoSettlementDate);
RelinkableHandle<YieldTermStructure> bondCurve = new RelinkableHandle<YieldTermStructure>();
bondCurve.linkTo(new FlatForward(repoSettlementDate,
.01, // dummy rate
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
/*
boost::shared_ptr<FixedRateBond> bond(
new FixedRateBond(faceAmount,
bondIssueDate,
bondDatedDate,
bondMaturityDate,
bondSettlementDays,
std::vector<Rate>(1,bondCoupon),
bondCouponFrequency,
bondCalendar,
bondDayCountConvention,
bondBusinessDayConvention,
bondBusinessDayConvention,
bondRedemption,
bondCurve));
*/
Schedule bondSchedule = new Schedule(bondDatedDate, bondMaturityDate,
new Period(bondCouponFrequency),
bondCalendar,bondBusinessDayConvention,
bondBusinessDayConvention,
DateGeneration.Rule.Backward,false);
FixedRateBond bond = new FixedRateBond(bondSettlementDays,
faceAmount,
bondSchedule,
new List<double>() { bondCoupon },
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate);
bond.setPricingEngine(new DiscountingBondEngine(bondCurve));
bondCurve.linkTo(new FlatForward(repoSettlementDate,
bond.yield(bondCleanPrice,
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency),
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
Position.Type fwdType = Position.Type.Long;
double dummyStrike = 91.5745;
RelinkableHandle<YieldTermStructure> repoCurve = new RelinkableHandle<YieldTermStructure>();
repoCurve.linkTo(new FlatForward(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
FixedRateBondForward bondFwd = new FixedRateBondForward(repoSettlementDate,
repoDeliveryDate,
fwdType,
dummyStrike,
repoSettlementDays,
repoDayCountConvention,
bondCalendar,
bondBusinessDayConvention,
bond,
repoCurve,
repoCurve);
Console.WriteLine("Underlying bond clean price: " + bond.cleanPrice());
Console.WriteLine("Underlying bond dirty price: " + bond.dirtyPrice());
Console.WriteLine("Underlying bond accrued at settlement: "
+ bond.accruedAmount(repoSettlementDate));
Console.WriteLine("Underlying bond accrued at delivery: "
+ bond.accruedAmount(repoDeliveryDate));
Console.WriteLine("Underlying bond spot income: "
+ bondFwd.spotIncome(repoCurve));
Console.WriteLine("Underlying bond fwd income: "
+ bondFwd.spotIncome(repoCurve)/
repoCurve.link.discount(repoDeliveryDate));
Console.WriteLine("Repo strike: " + dummyStrike);
Console.WriteLine("Repo NPV: " + bondFwd.NPV());
Console.WriteLine("Repo clean forward price: "
+ bondFwd.cleanForwardPrice());
Console.WriteLine("Repo dirty forward price: "
+ bondFwd.forwardPrice());
Console.WriteLine("Repo implied yield: "
+ bondFwd.impliedYield(bond.dirtyPrice(),
dummyStrike,
repoSettlementDate,
repoCompounding,
repoDayCountConvention));
Console.WriteLine("Market repo rate: "
+ repoCurve.link.zeroRate(repoDeliveryDate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
Console.WriteLine("\nCompare with example given at \n"
+ "http://www.fincad.com/support/developerFunc/mathref/BFWD.htm");
Console.WriteLine("Clean forward price = 88.2408");
Console.WriteLine("\nIn that example, it is unknown what bond calendar they are\n"
+ "using, as well as settlement Days. For that reason, I have\n"
+ "made the simplest possible assumptions here: NullCalendar\n"
+ "and 0 settlement days.\n");
Console.WriteLine("nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testBSMOperatorConsistency()
{
//("Testing consistency of BSM operators...");
Vector grid = new Vector(10);
double price = 20.0;
double factor = 1.1;
for (int i = 0; i < grid.size(); i++)
{
grid[i] = price;
price *= factor;
}
double dx = Math.Log(factor);
double r = 0.05;
double q = 0.01;
double sigma = 0.5;
BSMOperator refer = new BSMOperator(grid.size(), dx, r, q, sigma);
DayCounter dc = new Actual360();
Date today = Date.Today;
Date exercise = today + new Period(2, TimeUnit.Years);
double residualTime = dc.yearFraction(today, exercise);
SimpleQuote spot = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, q, dc);
YieldTermStructure rTS = Utilities.flatRate(today, r, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, sigma, dc);
GeneralizedBlackScholesProcess stochProcess = new GeneralizedBlackScholesProcess(
new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
BSMOperator op1 = new BSMOperator(grid, stochProcess, residualTime);
PdeOperator<PdeBSM> op2 = new PdeOperator<PdeBSM>(grid, stochProcess, residualTime);
double tolerance = 1.0e-6;
Vector lderror = refer.lowerDiagonal() - op1.lowerDiagonal();
Vector derror = refer.diagonal() - op1.diagonal();
Vector uderror = refer.upperDiagonal() - op1.upperDiagonal();
for (int i = 2; i < grid.size() - 2; i++)
{
if (Math.Abs(lderror[i]) > tolerance ||
Math.Abs(derror[i]) > tolerance ||
Math.Abs(uderror[i]) > tolerance)
{
Assert.Fail("inconsistency between BSM operators:\n"
+ i + " row:\n"
+ "expected: "
+ refer.lowerDiagonal()[i] + ", "
+ refer.diagonal()[i] + ", "
+ refer.upperDiagonal()[i] + "\n"
+ "calculated: "
+ op1.lowerDiagonal()[i] + ", "
+ op1.diagonal()[i] + ", "
+ op1.upperDiagonal()[i]);
}
}
lderror = refer.lowerDiagonal() - op2.lowerDiagonal();
derror = refer.diagonal() - op2.diagonal();
uderror = refer.upperDiagonal() - op2.upperDiagonal();
for (int i = 2; i < grid.size() - 2; i++)
{
if (Math.Abs(lderror[i]) > tolerance ||
Math.Abs(derror[i]) > tolerance ||
Math.Abs(uderror[i]) > tolerance)
{
Assert.Fail("inconsistency between BSM operators:\n"
+ i + " row:\n"
+ "expected: "
+ refer.lowerDiagonal()[i] + ", "
+ refer.diagonal()[i] + ", "
+ refer.upperDiagonal()[i] + "\n"
+ "calculated: "
+ op2.lowerDiagonal()[i] + ", "
+ op2.diagonal()[i] + ", "
+ op2.upperDiagonal()[i]);
}
}
}
IborIndex makeIndex(List<Date> dates,
List<double> rates)
{
DayCounter dayCounter = new Actual360();
RelinkableHandle<YieldTermStructure> termStructure = new RelinkableHandle<YieldTermStructure>(); ;
IborIndex index = new Euribor6M(termStructure);
Date todaysDate =
index.fixingCalendar().adjust(new Date(4, 9, 2005));
Settings.setEvaluationDate(todaysDate);
dates[0] = index.fixingCalendar().advance(todaysDate,
index.fixingDays(), TimeUnit.Days);
Linear Interpolator = new Linear();
termStructure.linkTo(new InterpolatedZeroCurve<Linear>(dates, rates, dayCounter, Interpolator));
return index;
}
//void testEngineConsistency(EngineType engine, int binomialSteps, int samples, Dictionary<string,double> tolerance,
// bool testGreeks = false) {
void testEngineConsistency(EngineType engine, int binomialSteps, int samples, Dictionary<string, double> tolerance,
bool testGreeks)
{
//QL_TEST_START_TIMING
Dictionary<string, double> calculated = new Dictionary<string, double>(), expected = new Dictionary<string, double>();
// test options
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 75.0, 100.0, 125.0 };
int[] lengths = { 1 };
// test data
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.05 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + lengths[k] * 360;
Exercise exercise = new EuropeanExercise(exDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
// reference option
VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS,
EngineType.Analytic, 0, 0);
// option to check
VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS,
engine, binomialSteps, samples);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
expected.Clear();
calculated.Clear();
// FLOATING_POINT_EXCEPTION
expected.Add("value", refOption.NPV());
calculated.Add("value", option.NPV());
if (testGreeks && option.NPV() > spot.value() * 1.0e-5)
{
expected.Add("delta", refOption.delta());
expected.Add("gamma", refOption.gamma());
expected.Add("theta", refOption.theta());
calculated.Add("delta", option.delta());
calculated.Add("gamma", option.gamma());
calculated.Add("theta", option.theta());
}
foreach (string greek in calculated.Keys)
{
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance[greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
public void testPutCallParity()
{
// Testing put-call parity for deltas
// Test for put call parity between put and call deltas.
SavedSettings backup = new SavedSettings();
/* The data below are from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
* pag 11-16
*/
EuropeanOptionData[] values =
{
// pag 2-8
// type, strike, spot, q, r, t, vol, value, tol
new EuropeanOptionData(Option.Type.Call, 65.00, 60.00, 0.00, 0.08, 0.25, 0.30, 2.1334, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 95.00, 100.00, 0.05, 0.10, 0.50, 0.20, 2.4648, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 19.00, 19.00, 0.10, 0.10, 0.75, 0.28, 1.7011, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 19.00, 19.00, 0.10, 0.10, 0.75, 0.28, 1.7011, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 1.60, 1.56, 0.08, 0.06, 0.50, 0.12, 0.0291, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 70.00, 75.00, 0.05, 0.10, 0.50, 0.35, 4.0870, 1.0e-4),
// pag 24
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.15, 0.0205, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15, 1.8734, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 9.9413, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.25, 0.3150, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25, 3.1217, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 10.3556, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.35, 0.9474, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35, 4.3693, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 11.1381, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.15, 0.8069, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15, 4.0232, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 10.5769, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.25, 2.7026, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25, 6.6997, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 12.7857, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.35, 4.9329, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35, 9.3679, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 15.3086, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.15, 9.9210, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15, 1.8734, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 0.0408, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.25, 10.2155, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25, 3.1217, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 0.4551, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.35, 10.8479, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35, 4.3693, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 1.2376, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.15, 10.3192, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15, 4.0232, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 1.0646, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.25, 12.2149, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25, 6.6997, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 3.2734, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.35, 14.4452, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35, 9.3679, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 5.7963, 1.0e-4),
// pag 27
new EuropeanOptionData(Option.Type.Call, 40.00, 42.00, 0.08, 0.04, 0.75, 0.35, 5.0975, 1.0e-4)
};
DayCounter dc = new Actual360();
Calendar calendar = new TARGET();
Date today = Date.Today;
double discFor = 0.0;
double discDom = 0.0;
double implVol = 0.0;
double deltaCall = 0.0;
double deltaPut = 0.0;
double expectedDiff = 0.0;
double calculatedDiff = 0.0;
double error = 0.0;
double forward = 0.0;
SimpleQuote spotQuote = new SimpleQuote(0.0);
SimpleQuote qQuote = new SimpleQuote(0.0);
Handle <Quote> qHandle = new Handle <Quote>(qQuote);
YieldTermStructure qTS = new FlatForward(today, qHandle, dc);
SimpleQuote rQuote = new SimpleQuote(0.0);
Handle <Quote> rHandle = new Handle <Quote>(qQuote);
YieldTermStructure rTS = new FlatForward(today, rHandle, dc);
SimpleQuote volQuote = new SimpleQuote(0.0);
Handle <Quote> volHandle = new Handle <Quote>(volQuote);
BlackVolTermStructure volTS = new BlackConstantVol(today, calendar, volHandle, dc);
StrikedTypePayoff payoff;
Date exDate;
Exercise exercise;
double tolerance = 1.0e-10;
for (int i = 0; i < values.Length; ++i)
{
payoff = new PlainVanillaPayoff(Option.Type.Call, values[i].strike);
exDate = today + timeToDays(values[i].t);
exercise = new EuropeanExercise(exDate);
spotQuote.setValue(values[i].s);
volQuote.setValue(values[i].v);
rQuote.setValue(values[i].r);
qQuote.setValue(values[i].q);
discDom = rTS.discount(exDate);
discFor = qTS.discount(exDate);
implVol = Math.Sqrt(volTS.blackVariance(exDate, 0.0));
forward = spotQuote.value() * discFor / discDom;
BlackDeltaCalculator myCalc = new BlackDeltaCalculator(Option.Type.Call, DeltaVolQuote.DeltaType.Spot,
spotQuote.value(), discDom, discFor, implVol);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = discFor;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for spot delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.Fwd);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = 1.0;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for forward delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaSpot);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = discFor * values[i].strike / forward;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for premium-adjusted spot delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaFwd);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = values[i].strike / forward;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for premium-adjusted forward delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
Date repoSettlementDate = new Date(14, Month.February, 2000);;
Date repoDeliveryDate = new Date(15, Month.August, 2000);
double repoRate = 0.05;
DayCounter repoDayCountConvention = new Actual360();
int repoSettlementDays = 0;
Compounding repoCompounding = Compounding.Simple;
Frequency repoCompoundFreq = Frequency.Annual;
// assume a ten year bond- this is irrelevant
Date bondIssueDate = new Date(15, Month.September, 1995);
Date bondDatedDate = new Date(15, Month.September, 1995);
Date bondMaturityDate = new Date(15, Month.September, 2005);
double bondCoupon = 0.08;
Frequency bondCouponFrequency = Frequency.Semiannual;
// unknown what calendar fincad is using
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCountConvention = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
// unknown what fincad is using. this may affect accrued calculation
int bondSettlementDays = 0;
BusinessDayConvention bondBusinessDayConvention = BusinessDayConvention.Unadjusted;
double bondCleanPrice = 89.97693786;
double bondRedemption = 100.0;
double faceAmount = 100.0;
Settings.setEvaluationDate(repoSettlementDate);
RelinkableHandle <YieldTermStructure> bondCurve = new RelinkableHandle <YieldTermStructure>();
bondCurve.linkTo(new FlatForward(repoSettlementDate,
.01, // dummy rate
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
/*
* boost::shared_ptr<FixedRateBond> bond(
* new FixedRateBond(faceAmount,
* bondIssueDate,
* bondDatedDate,
* bondMaturityDate,
* bondSettlementDays,
* std::vector<Rate>(1,bondCoupon),
* bondCouponFrequency,
* bondCalendar,
* bondDayCountConvention,
* bondBusinessDayConvention,
* bondBusinessDayConvention,
* bondRedemption,
* bondCurve));
*/
Schedule bondSchedule = new Schedule(bondDatedDate, bondMaturityDate,
new Period(bondCouponFrequency),
bondCalendar, bondBusinessDayConvention,
bondBusinessDayConvention,
DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(bondSettlementDays,
faceAmount,
bondSchedule,
new List <double>()
{
bondCoupon
},
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate);
bond.setPricingEngine(new DiscountingBondEngine(bondCurve));
bondCurve.linkTo(new FlatForward(repoSettlementDate,
bond.yield(bondCleanPrice,
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency),
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
Position.Type fwdType = Position.Type.Long;
double dummyStrike = 91.5745;
RelinkableHandle <YieldTermStructure> repoCurve = new RelinkableHandle <YieldTermStructure>();
repoCurve.linkTo(new FlatForward(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
FixedRateBondForward bondFwd = new FixedRateBondForward(repoSettlementDate,
repoDeliveryDate,
fwdType,
dummyStrike,
repoSettlementDays,
repoDayCountConvention,
bondCalendar,
bondBusinessDayConvention,
bond,
repoCurve,
repoCurve);
Console.WriteLine("Underlying bond clean price: " + bond.cleanPrice());
Console.WriteLine("Underlying bond dirty price: " + bond.dirtyPrice());
Console.WriteLine("Underlying bond accrued at settlement: "
+ bond.accruedAmount(repoSettlementDate));
Console.WriteLine("Underlying bond accrued at delivery: "
+ bond.accruedAmount(repoDeliveryDate));
Console.WriteLine("Underlying bond spot income: "
+ bondFwd.spotIncome(repoCurve));
Console.WriteLine("Underlying bond fwd income: "
+ bondFwd.spotIncome(repoCurve) /
repoCurve.link.discount(repoDeliveryDate));
Console.WriteLine("Repo strike: " + dummyStrike);
Console.WriteLine("Repo NPV: " + bondFwd.NPV());
Console.WriteLine("Repo clean forward price: "
+ bondFwd.cleanForwardPrice());
Console.WriteLine("Repo dirty forward price: "
+ bondFwd.forwardPrice());
Console.WriteLine("Repo implied yield: "
+ bondFwd.impliedYield(bond.dirtyPrice(),
dummyStrike,
repoSettlementDate,
repoCompounding,
repoDayCountConvention));
Console.WriteLine("Market repo rate: "
+ repoCurve.link.zeroRate(repoDeliveryDate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
Console.WriteLine("\nCompare with example given at \n"
+ "http://www.fincad.com/support/developerFunc/mathref/BFWD.htm");
Console.WriteLine("Clean forward price = 88.2408");
Console.WriteLine("\nIn that example, it is unknown what bond calendar they are\n"
+ "using, as well as settlement Days. For that reason, I have\n"
+ "made the simplest possible assumptions here: NullCalendar\n"
+ "and 0 settlement days.\n");
Console.WriteLine("nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testAnalyticDiscreteGeometricAveragePriceGreeks()
{
//BOOST_MESSAGE("Testing discrete-averaging geometric Asian greeks...");
//SavedSettings backup;
Dictionary<string,double> calculated, expected, tolerance;
calculated = new Dictionary<string, double>(6);
expected = new Dictionary<string, double>(6);
tolerance = new Dictionary<string, double>(6);
tolerance["delta"] = 1.0e-5;
tolerance["gamma"] = 1.0e-5;
tolerance["theta"] = 1.0e-5;
tolerance["rho"] = 1.0e-5;
tolerance["divRho"] = 1.0e-5;
tolerance["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] underlyings = { 100.0 };
double[] strikes = { 90.0, 100.0, 110.0 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle<YieldTermStructure> qTS = new Handle<YieldTermStructure>
(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle<YieldTermStructure> rTS = new Handle<YieldTermStructure>
(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle<BlackVolTermStructure> volTS = new Handle<BlackVolTermStructure>
(Utilities.flatVol(vol, dc));
BlackScholesMertonProcess process =
new BlackScholesMertonProcess(new Handle<Quote>(spot), qTS, rTS, volTS);
for (int i=0; i<types.Length ; i++) {
for (int j=0; j<strikes.Length ; j++) {
for (int k=0; k<lengths.Length ; k++) {
EuropeanExercise maturity =
new EuropeanExercise(
today + new Period(lengths[k],TimeUnit.Years));
PlainVanillaPayoff payoff =
new PlainVanillaPayoff(types[i], strikes[j]);
double runningAverage = 120;
int pastFixings = 1;
List<Date> fixingDates = new List<Date>();
for (Date d = today + new Period(3, TimeUnit.Months);
d <= maturity.lastDate();
d += new Period(3, TimeUnit.Months))
fixingDates.Add(d);
IPricingEngine engine =
new AnalyticDiscreteGeometricAveragePriceAsianEngine(process);
DiscreteAveragingAsianOption option =
new DiscreteAveragingAsianOption(Average.Type.Geometric,
runningAverage, pastFixings,
fixingDates, payoff, maturity);
option.setPricingEngine(engine);
for (int l=0; l<underlyings.Length ; l++) {
for (int m=0; m<qRates.Length ; m++) {
for (int n=0; n<rRates.Length ; n++) {
for (int p=0; p<vols.Length ; p++) {
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
calculated["theta"] = option.theta();
calculated["rho"] = option.rho();
calculated["divRho"] = option.dividendRho();
calculated["vega"] = option.vega();
if (value > spot.value()*1.0e-5) {
// perturb spot and get delta and gamma
double du = u*1.0e-4;
spot.setValue(u+du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u-du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m)/(2*du);
expected["gamma"] = (delta_p - delta_m)/(2*du);
// perturb rates and get rho and dividend rho
double dr = r*1.0e-4;
rRate.setValue(r+dr);
value_p = option.NPV();
rRate.setValue(r-dr);
value_m = option.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m)/(2*dr);
double dq = q*1.0e-4;
qRate.setValue(q+dq);
value_p = option.NPV();
qRate.setValue(q-dq);
value_m = option.NPV();
qRate.setValue(q);
expected["divRho"] = (value_p - value_m)/(2*dq);
// perturb volatility and get vega
double dv = v*1.0e-4;
vol.setValue(v+dv);
value_p = option.NPV();
vol.setValue(v-dv);
value_m = option.NPV();
vol.setValue(v);
expected["vega"] = (value_p - value_m)/(2*dv);
// perturb date and get theta
double dT = dc.yearFraction(today-1, today+1);
Settings.setEvaluationDate(today-1);
value_m = option.NPV();
Settings.setEvaluationDate(today+1);
value_p = option.NPV();
Settings.setEvaluationDate(today);
expected["theta"] = (value_p - value_m)/dT;
// compare
foreach (KeyValuePair<string, double> kvp in calculated){
string greek = kvp.Key;
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error =Utilities.relativeError(expct,calcl,u);
if (error>tol) {
REPORT_FAILURE(greek, Average.Type.Geometric,
runningAverage, pastFixings,
new List<Date>(),
payoff, maturity,
u, q, r, today, v,
expct, calcl, tol);
}
}
}
}
}
}
}
}
}
}
}
public void testCashAtHitOrNothingAmericanValues()
{
// Testing American cash-(at-hit)-or-nothing digital option
DigitalOptionData[] values =
{
// type, strike, spot, q, r, t, vol, value, tol
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 95, case 1,2
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 9.7264, 1e-4, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 11.6553, 1e-4, true),
// the following cases are not taken from a reference paper or book
// in the money options (guaranteed immediate payoff)
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 15.0000, 1e-16, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 15.0000, 1e-16, true),
// non null dividend (cross-tested with MC simulation)
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.20, 0.10, 0.5, 0.20, 12.2715, 1e-4, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.20, 0.10, 0.5, 0.20, 8.9109, 1e-4, true),
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.20, 0.10, 0.5, 0.20, 15.0000, 1e-16, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.20, 0.10, 0.5, 0.20, 15.0000, 1e-16, true)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(values[i].type, values[i].strike, 15.00);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticDigitalAmericanEngine(stochProcess);
VanillaOption opt = new VanillaOption(payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol, values[i].knockin);
}
}
}
public void testFairUpfront()
{
// Testing fair-upfront calculation for credit-default swaps...
using (SavedSettings backup = new SavedSettings())
{
// Initialize curves
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Handle <Quote> hazardRate = new Handle <Quote>(new SimpleQuote(0.01234));
RelinkableHandle <DefaultProbabilityTermStructure> probabilityCurve =
new RelinkableHandle <DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new FlatHazardRate(0, calendar, hazardRate, new Actual360()));
RelinkableHandle <YieldTermStructure> discountCurve =
new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today, 0.06, new Actual360()));
// Build the schedule
Date issueDate = today;
Date maturity = calendar.advance(issueDate, 10, TimeUnit.Years);
BusinessDayConvention convention = BusinessDayConvention.Following;
Schedule schedule =
new MakeSchedule().from(issueDate)
.to(maturity)
.withFrequency(Frequency.Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(convention)
.withRule(DateGeneration.Rule.TwentiethIMM).value();
// Build the CDS
double fixedRate = 0.05;
double upfront = 0.001;
DayCounter dayCount = new Actual360();
double notional = 10000.0;
double recoveryRate = 0.4;
IPricingEngine engine = new MidPointCdsEngine(probabilityCurve, recoveryRate, discountCurve, true);
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, upfront, fixedRate,
schedule, convention, dayCount, true, true);
cds.setPricingEngine(engine);
double fairUpfront = cds.fairUpfront();
CreditDefaultSwap fairCds = new CreditDefaultSwap(Protection.Side.Seller, notional,
fairUpfront, fixedRate, schedule, convention, dayCount, true, true);
fairCds.setPricingEngine(engine);
double fairNPV = fairCds.NPV();
double tolerance = 1e-10;
if (Math.Abs(fairNPV) > tolerance)
{
Assert.Fail(
"Failed to reproduce null NPV with calculated fair upfront\n"
+ " calculated upfront: " + fairUpfront + "\n"
+ " calculated NPV: " + fairNPV);
}
// same with null upfront to begin with
upfront = 0.0;
CreditDefaultSwap cds2 = new CreditDefaultSwap(Protection.Side.Seller, notional, upfront, fixedRate,
schedule, convention, dayCount, true, true);
cds2.setPricingEngine(engine);
fairUpfront = cds2.fairUpfront();
CreditDefaultSwap fairCds2 = new CreditDefaultSwap(Protection.Side.Seller, notional,
fairUpfront, fixedRate, schedule, convention, dayCount, true, true);
fairCds2.setPricingEngine(engine);
fairNPV = fairCds2.NPV();
if (Math.Abs(fairNPV) > tolerance)
{
Assert.Fail(
"Failed to reproduce null NPV with calculated fair upfront\n"
+ " calculated upfront: " + fairUpfront + "\n"
+ " calculated NPV: " + fairNPV);
}
}
}
public void testAssetAtExpiryOrNothingAmericanValues()
{
// Testing American asset-(at-expiry)-or-nothing digital option
DigitalOptionData[] values =
{
// type, strike, spot, q, r, t, vol, value, tol
// "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 95, case 7,8,11,12
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 64.8426, 1e-04, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 77.7017, 1e-04, true),
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 40.1574, 1e-04, false),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 17.2983, 1e-04, false),
// data from Haug VBA code results
new DigitalOptionData(Option.Type.Put, 100.00, 105.00, 0.01, 0.10, 0.5, 0.20, 65.5291, 1e-04, true),
new DigitalOptionData(Option.Type.Call, 100.00, 95.00, 0.01, 0.10, 0.5, 0.20, 76.5951, 1e-04, true),
// in the money options (guaranteed discounted payoff = forward * riskFreeDiscount
// = spot * dividendDiscount)
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.00, 0.10, 0.5, 0.20, 105.0000, 1e-12, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.00, 0.10, 0.5, 0.20, 95.0000, 1e-12, true),
new DigitalOptionData(Option.Type.Call, 100.00, 105.00, 0.01, 0.10, 0.5, 0.20, 105.0000 * Math.Exp(-0.005), 1e-12, true),
new DigitalOptionData(Option.Type.Put, 100.00, 95.00, 0.01, 0.10, 0.5, 0.20, 95.0000 * Math.Exp(-0.005), 1e-12, true)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new AssetOrNothingPayoff(values[i].type, values[i].strike);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine;
if (values[i].knockin)
{
engine = new AnalyticDigitalAmericanEngine(stochProcess);
}
else
{
engine = new AnalyticDigitalAmericanKOEngine(stochProcess);
}
VanillaOption opt = new VanillaOption(payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol, values[i].knockin);
}
}
}
public void testEuropeanHaugValues()
{
// Testing double barrier european options against Haug's values
Exercise.Type european = Exercise.Type.European;
NewBarrierOptionData[] values =
{
/* The data below are from
* "The complete guide to option pricing formulas 2nd Ed",E.G. Haug, McGraw-Hill, p.156 and following.
*
* Note:
* The book uses b instead of q (q=r-b)
*/
// BarrierType, barr.lo, barr.hi, type, exercise,strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3515, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 6.1644, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 7.0373, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.9853, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 7.9336, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 6.5088, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3505, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 5.8500, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.7726, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.8082, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 6.3383, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 4.3841, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3139, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 4.8293, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 3.7765, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 5.9697, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.0004, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 2.2563, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 3.7516, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 2.6387, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 1.4903, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 3.5805, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.5098, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.5635, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.2055, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.3098, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 0.0477, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.5537, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 0.0441, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.0011, 1.0e-4),
// BarrierType, barr.lo, barr.hi, type, exercise,strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7855, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.7191, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1374, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.7033, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 7.1683, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7845, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.6060, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1374, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.6236, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 6.1062, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7014, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 4.6472, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1325, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 3.8944, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 3.5868, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8600, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 2.6866, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 2.0719, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 1.8883, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.7851, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.8244, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.9473, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.3449, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 0.0578, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.4555, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 0.0491, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.0013, 1.0e-4),
// BarrierType, barr.lo, barr.hi, type, strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0000, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.0900, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 1.1537, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.0292, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.6487, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 5.7321, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0010, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.4045, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 2.4184, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.2062, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 3.2439, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 7.8569, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0376, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 1.4252, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 4.4145, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 1.0447, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 5.5818, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 9.9846, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.5999, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.6158, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 6.7007, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 3.4340, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 8.0724, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 11.6774, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 3.1460, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 5.9447, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 8.1432, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.4608, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 9.5382, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 12.2398, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + (int)(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
DoubleBarrierOption opt = new DoubleBarrierOption(values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, 0, // no rebate
payoff, exercise);
// Ikeda/Kunitomo engine
IPricingEngine engine = new AnalyticDoubleBarrierEngine(stochProcess);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE("Ikeda/Kunitomo value", values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
expected, calculated, error, values[i].tol);
}
// Wulin Suo/Yong Wang engine
engine = new WulinYongDoubleBarrierEngine(stochProcess);
opt.setPricingEngine(engine);
calculated = opt.NPV();
expected = values[i].result;
error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE("Wulin/Yong value", values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
public void testAssetOrNothingHaugValues()
{
// Testing asset-or-nothing barrier options against Haug's values
BinaryOptionData[] values =
{
/* The data below are from
* "Option pricing formulas 2nd Ed.", E.G. Haug, McGraw-Hill 2007 pag. 180 - cases 15,16,19,20,23,24,27,28
* Note:
* q is the dividend rate, while the book gives b, the cost of carry (q=r-b)
*/
// barrierType, barrier, cash, type, strike, spot, q, r, t, vol, value, tol
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 37.2782, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 45.8530, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 44.5294, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 54.9262, 1e-4),
// 19,20
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 27.5644, 1e-4),
new BinaryOptionData(Barrier.Type.DownIn, 100.00, 0.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 18.9896, 1e-4),
// following value is wrong in book.
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 33.1723, 1e-4),
new BinaryOptionData(Barrier.Type.UpIn, 100.00, 0.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 22.7755, 1e-4),
// 23,24
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Call, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 39.9391, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Call, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 40.1574, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Call, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Call, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 0.2676, 1e-4),
// 27,28
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Put, 102.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.2183, 1e-4),
new BinaryOptionData(Barrier.Type.DownOut, 100.00, 0.00, Option.Type.Put, 98.00, 105.00, 0.00, 0.10, 0.5, 0.20, 0.0000, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Put, 102.00, 95.00, 0.00, 0.10, 0.5, 0.20, 17.2983, 1e-4),
new BinaryOptionData(Barrier.Type.UpOut, 100.00, 0.00, Option.Type.Put, 98.00, 95.00, 0.00, 0.10, 0.5, 0.20, 17.0306, 1e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new AssetOrNothingPayoff(values[i].type, values[i].strike);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise amExercise = new AmericanExercise(today, exDate, true);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticBinaryBarrierEngine(stochProcess);
BarrierOption opt = new BarrierOption(values[i].barrierType, values[i].barrier, 0, payoff, amExercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, amExercise, values[i].barrierType,
values[i].barrier, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol);
}
}
}
public void testCrankNicolsonWithDamping()
{
SavedSettings backup = new SavedSettings();
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
YieldTermStructure qTS = Utilities.flatRate(today, 0.06, dc);
YieldTermStructure rTS = Utilities.flatRate(today, 0.06, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, 0.35, dc);
StrikedTypePayoff payoff =
new CashOrNothingPayoff(Option.Type.Put, 100, 10.0);
double maturity = 0.75;
Date exDate = today + Convert.ToInt32(maturity * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
BlackScholesMertonProcess process = new
BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine =
new AnalyticEuropeanEngine(process);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double expectedPV = opt.NPV();
double expectedGamma = opt.gamma();
// fd pricing using implicit damping steps and Crank Nicolson
int csSteps = 25, dampingSteps = 3, xGrid = 400;
List <int> dim = new InitializedList <int>(1, xGrid);
FdmLinearOpLayout layout = new FdmLinearOpLayout(dim);
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(
dim[0], process, maturity, payoff.strike(),
null, null, 0.0001, 1.5,
new Pair <double?, double?>(payoff.strike(), 0.01));
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
FdmBlackScholesOp map =
new FdmBlackScholesOp(mesher, process, payoff.strike());
FdmInnerValueCalculator calculator =
new FdmLogInnerValue(payoff, mesher, 0);
object rhs = new Vector(layout.size());
Vector x = new Vector(layout.size());
FdmLinearOpIterator endIter = layout.end();
for (FdmLinearOpIterator iter = layout.begin(); iter != endIter;
++iter)
{
(rhs as Vector)[iter.index()] = calculator.avgInnerValue(iter, maturity);
x[iter.index()] = mesher.location(iter, 0);
}
FdmBackwardSolver solver = new FdmBackwardSolver(map, new FdmBoundaryConditionSet(),
new FdmStepConditionComposite(),
new FdmSchemeDesc().Douglas());
solver.rollback(ref rhs, maturity, 0.0, csSteps, dampingSteps);
MonotonicCubicNaturalSpline spline = new MonotonicCubicNaturalSpline(x, x.Count, rhs as Vector);
double s = spot.value();
double calculatedPV = spline.value(Math.Log(s));
double calculatedGamma = (spline.secondDerivative(Math.Log(s))
- spline.derivative(Math.Log(s))) / (s * s);
double relTol = 2e-3;
if (Math.Abs(calculatedPV - expectedPV) > relTol * expectedPV)
{
QAssert.Fail("Error calculating the PV of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedPV +
"\n calculated: " + calculatedPV);
}
if (Math.Abs(calculatedGamma - expectedGamma) > relTol * expectedGamma)
{
QAssert.Fail("Error calculating the Gamma of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedGamma +
"\n calculated: " + calculatedGamma);
}
}
public void testDefaultProbability()
{
// Testing default-probability structure...
double hazardRate = 0.0100;
Handle <Quote> hazardRateQuote = new Handle <Quote>(new SimpleQuote(hazardRate));
DayCounter dayCounter = new Actual360();
Calendar calendar = new TARGET();
int n = 20;
double tolerance = 1.0e-10;
Date today = Settings.evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate = new FlatHazardRate(startDate, hazardRateQuote, dayCounter);
for (int i = 0; i < n; i++)
{
startDate = endDate;
endDate = calendar.advance(endDate, 1, TimeUnit.Years);
double pStart = flatHazardRate.defaultProbability(startDate);
double pEnd = flatHazardRate.defaultProbability(endDate);
double pBetweenComputed =
flatHazardRate.defaultProbability(startDate, endDate);
double pBetween = pEnd - pStart;
if (Math.Abs(pBetween - pBetweenComputed) > tolerance)
{
QAssert.Fail("Failed to reproduce probability(d1, d2) "
+ "for default probability structure\n"
+ " calculated probability: " + pBetweenComputed + "\n"
+ " expected probability: " + pBetween);
}
double t2 = dayCounter.yearFraction(today, endDate);
double timeProbability = flatHazardRate.defaultProbability(t2);
double dateProbability =
flatHazardRate.defaultProbability(endDate);
if (Math.Abs(timeProbability - dateProbability) > tolerance)
{
QAssert.Fail("single-time probability and single-date probability do not match\n"
+ " time probability: " + timeProbability + "\n"
+ " date probability: " + dateProbability);
}
double t1 = dayCounter.yearFraction(today, startDate);
timeProbability = flatHazardRate.defaultProbability(t1, t2);
dateProbability = flatHazardRate.defaultProbability(startDate, endDate);
if (Math.Abs(timeProbability - dateProbability) > tolerance)
{
QAssert.Fail("double-time probability and double-date probability do not match\n"
+ " time probability: " + timeProbability + "\n"
+ " date probability: " + dateProbability);
}
}
}
public void testAnalyticContinuousGeometricAveragePrice()
{
//("Testing analytic continuous geometric average-price Asians...");
// data from "Option Pricing Formulas", Haug, pag.96-97
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(80.0);
SimpleQuote qRate = new SimpleQuote(-0.03);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.05);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.20);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
BlackScholesMertonProcess stochProcess = new
BlackScholesMertonProcess(new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
IPricingEngine engine = new
AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess);
Average.Type averageType = Average.Type.Geometric;
Option.Type type = Option.Type.Put;
double strike = 85.0;
Date exerciseDate = today + 90;
int pastFixings = 0; //Null<int>();
double runningAccumulator = 0.0; //Null<Real>();
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
Exercise exercise = new EuropeanExercise(exerciseDate);
ContinuousAveragingAsianOption option =
new ContinuousAveragingAsianOption(averageType, payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = 4.6922;
double tolerance = 1.0e-4;
if (Math.Abs(calculated - expected) > tolerance)
{
REPORT_FAILURE("value", averageType, runningAccumulator, pastFixings,
new List<Date>(), payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated, tolerance);
}
// trying to approximate the continuous version with the discrete version
runningAccumulator = 1.0;
pastFixings = 0;
List<Date> fixingDates = new InitializedList<Date>(exerciseDate - today + 1);
for (int i = 0; i < fixingDates.Count; i++)
{
fixingDates[i] = today + i;
}
IPricingEngine engine2 = new
AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess);
DiscreteAveragingAsianOption option2 =
new DiscreteAveragingAsianOption(averageType,
runningAccumulator, pastFixings,
fixingDates,
payoff,
exercise);
option2.setPricingEngine(engine2);
calculated = option2.NPV();
tolerance = 3.0e-3;
/*if (Math.Abs(calculated - expected) > tolerance)
{
REPORT_FAILURE("value", averageType, runningAccumulator, pastFixings,
fixingDates, payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated, tolerance);
}*/
}
public void testVannaVolgaDoubleBarrierValues()
{
// Testing double-barrier FX options against Vanna/Volga values
SavedSettings backup = new SavedSettings();
DoubleBarrierFxOptionData[] values =
{
// BarrierType, barr.1, barr.2, rebate, type, strike, s, q, r, t, vol25Put, volAtm,vol25Call, vol, result, tol
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.14413, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.07456, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02710, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.00569, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.00013, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.00017, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.00353, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02221, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.06049, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.11103, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.19981, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.10389, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03555, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.00634, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.00436, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03173, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.09346, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.17704, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = new Date(05, Month.Mar, 2013);
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol25Put = new SimpleQuote(0.0);
SimpleQuote volAtm = new SimpleQuote(0.0);
SimpleQuote vol25Call = new SimpleQuote(0.0);
for (int i = 0; i < values.Length; i++)
{
for (int j = 0; j <= 1; j++)
{
DoubleBarrier.Type barrierType = (DoubleBarrier.Type)j;
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol25Put.setValue(values[i].vol25Put);
volAtm.setValue(values[i].volAtm);
vol25Call.setValue(values[i].vol25Call);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + (int)(values[i].t * 365 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Handle <DeltaVolQuote> volAtmQuote = new Handle <DeltaVolQuote>(
new DeltaVolQuote(new Handle <Quote>(volAtm), DeltaVolQuote.DeltaType.Fwd, values[i].t,
DeltaVolQuote.AtmType.AtmDeltaNeutral));
//always delta neutral atm
Handle <DeltaVolQuote> vol25PutQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(-0.25,
new Handle <Quote>(vol25Put), values[i].t, DeltaVolQuote.DeltaType.Fwd));
Handle <DeltaVolQuote> vol25CallQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(0.25,
new Handle <Quote>(vol25Call), values[i].t, DeltaVolQuote.DeltaType.Fwd));
DoubleBarrierOption doubleBarrierOption = new DoubleBarrierOption(barrierType,
values[i].barrier1, values[i].barrier2, values[i].rebate, payoff, exercise);
double bsVanillaPrice = Utils.blackFormula(values[i].type, values[i].strike,
spot.value() * qTS.discount(values[i].t) / rTS.discount(values[i].t),
values[i].v * Math.Sqrt(values[i].t), rTS.discount(values[i].t));
IPricingEngine vannaVolgaEngine;
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new WulinYongDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
double expected = 0;
if (barrierType == DoubleBarrier.Type.KnockOut)
{
expected = values[i].result;
}
else if (barrierType == DoubleBarrier.Type.KnockIn)
{
expected = (bsVanillaPrice - values[i].result);
}
double calculated = doubleBarrierOption.NPV();
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new AnalyticDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
calculated = doubleBarrierOption.NPV();
error = Math.Abs(calculated - expected);
double maxtol = 5.0e-3; // different engines have somewhat different results
if (error > maxtol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
int settlementDays = 3;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// Building of the bonds discounting yield curve
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote=0.0096;
double zc6mQuote=0.0145;
double zc1yQuote=0.0194;
Quote zc3mRate = new SimpleQuote(zc3mQuote);
Quote zc6mRate = new SimpleQuote(zc6mQuote);
Quote zc1yRate = new SimpleQuote(zc1yQuote);
DayCounter zcBondsDayCounter = new Actual365Fixed();
RateHelper zc3m = new DepositRateHelper(new Handle<Quote>(zc3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc6m = new DepositRateHelper(new Handle<Quote>(zc6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc1y = new DepositRateHelper(new Handle<Quote>(zc1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const int numberOfBonds = 5;
Date[] issueDates = {
new Date (15, Month.March, 2005),
new Date (15, Month.June, 2005),
new Date (30, Month.June, 2006),
new Date (15, Month.November, 2002),
new Date (15, Month.May, 1987)
};
Date[] maturities = {
new Date (31, Month.August, 2010),
new Date (31, Month.August, 2011),
new Date (31, Month.August, 2013),
new Date (15, Month.August, 2018),
new Date (15, Month.May, 2038)
};
double[] couponRates = {
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
double[] marketQuotes = {
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
List<SimpleQuote> quote = new List<SimpleQuote>();
for (int i=0; i<numberOfBonds; i++) {
SimpleQuote cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
List<RelinkableHandle<Quote>> quoteHandle = new InitializedList<RelinkableHandle<Quote>>(numberOfBonds);
for (int i=0; i<numberOfBonds; i++) {
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
List<FixedRateBondHelper> bondsHelpers = new List<FixedRateBondHelper>();
for (int i=0; i<numberOfBonds; i++) {
Schedule schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new List<double>() { couponRates[i] },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-bond curve
List<RateHelper> bondInstruments = new List<RateHelper>();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i=0; i<numberOfBonds; i++) {
bondInstruments.Add(bondsHelpers[i]);
}
YieldTermStructure bondDiscountingTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
new List<Handle<Quote>>(),
new List<Date>(),
tolerance);
// Building of the Libor forecasting curve
// deposits
double d1wQuote=0.043375;
double d1mQuote=0.031875;
double d3mQuote=0.0320375;
double d6mQuote=0.03385;
double d9mQuote=0.0338125;
double d1yQuote=0.0335125;
// swaps
double s2yQuote=0.0295;
double s3yQuote=0.0323;
double s5yQuote=0.0359;
double s10yQuote=0.0412;
double s15yQuote=0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(
new Handle<Quote>(d1wRate),
new Period(1, TimeUnit.Weeks), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(
new Handle<Quote>(d1mRate),
new Period(1, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(
new Handle<Quote>(d3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(
new Handle<Quote>(d6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(
new Handle<Quote>(d9mRate),
new Period(9, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(
new Handle<Quote>(d1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency =Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
Period forwardStart = new Period(1, TimeUnit.Days);
RateHelper s2y = new SwapRateHelper(
new Handle<Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s3y = new SwapRateHelper(
new Handle<Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s5y = new SwapRateHelper(
new Handle<Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s10y = new SwapRateHelper(
new Handle<Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s15y = new SwapRateHelper(
new Handle<Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
List<RateHelper> depoSwapInstruments = new List<RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
new List<Handle<Quote> >(),
new List<Date>(),
tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure = new RelinkableHandle<YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure = new RelinkableHandle<YieldTermStructure>();
/*********************
* BONDS TO BE PRICED *
**********************/
// Common data
double faceAmount = 100;
// Pricing engine
IPricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);
// Zero coupon bond
ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August,2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15,Month.May,2017), new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond fixedRateBond = new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
new List<double>() { 0.045 },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
RelinkableHandle<YieldTermStructure> liborTermStructure = new RelinkableHandle<YieldTermStructure>();
IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008),0.0278625);
Schedule floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true);
FloatingRateBond floatingRateBond = new FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new List<double>() { 1.0 },
// Spreads
new List<double>() { 0.001 },
// Caps
new List<double>(),
// Floors
new List<double>(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
IborCouponPricer pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
Handle<OptionletVolatilityStructure> vol;
vol = new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(
settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
Utils.setCouponPricer(floatingRateBond.cashflows(),pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
// write column headings
int[] widths = { 18, 10, 10, 10 };
Console.WriteLine("{0,18}{1,10}{2,10}{3,10}", "", "ZC", "Fixed", "Floating");
string separator = " | ";
int width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
string rule = "".PadLeft(width, '-'), dblrule = "".PadLeft(width, '=');
string tab = "".PadLeft(8, ' ');
Console.WriteLine(rule);
Console.WriteLine("Net present value".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.NPV(),
fixedRateBond.NPV(),
floatingRateBond.NPV());
Console.WriteLine("Clean price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.cleanPrice(),
fixedRateBond.cleanPrice(),
floatingRateBond.cleanPrice());
Console.WriteLine("Dirty price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.dirtyPrice(),
fixedRateBond.dirtyPrice(),
floatingRateBond.dirtyPrice());
Console.WriteLine("Accrued coupon".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.accruedAmount(),
fixedRateBond.accruedAmount(),
floatingRateBond.accruedAmount());
Console.WriteLine("Previous coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.previousCoupon(),
floatingRateBond.previousCoupon());
Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.nextCoupon(),
floatingRateBond.nextCoupon());
Console.WriteLine("Yield".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0:n2}",
floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
Console.WriteLine("Clean Price to Yield: {0:0.00%}",
floatingRateBond.yield(floatingRateBond.cleanPrice(),new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
/* "Yield to Price"
"Price to Yield" */
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testCachedMarketValue()
{
// Testing credit-default swap against cached market values...
using (SavedSettings backup = new SavedSettings())
{
Settings.setEvaluationDate(new Date(9, Month.June, 2006));
Date evalDate = Settings.evaluationDate();
Calendar calendar = new UnitedStates();
List <Date> discountDates = new List <Date>();
discountDates.Add(evalDate);
discountDates.Add(calendar.advance(evalDate, 1, TimeUnit.Weeks, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 1, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 2, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 3, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 6, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 12, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 2, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 3, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 4, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 5, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 6, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 7, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 8, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 9, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 10, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 15, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
List <double> dfs = new List <double>();
dfs.Add(1.0);
dfs.Add(0.9990151375768731);
dfs.Add(0.99570502636871183);
dfs.Add(0.99118260474528685);
dfs.Add(0.98661167950906203);
dfs.Add(0.9732592953359388);
dfs.Add(0.94724424481038083);
dfs.Add(0.89844996737120875);
dfs.Add(0.85216647839921411);
dfs.Add(0.80775477692556874);
dfs.Add(0.76517289234200347);
dfs.Add(0.72401019553182933);
dfs.Add(0.68503909569219212);
dfs.Add(0.64797499814013748);
dfs.Add(0.61263171936255534);
dfs.Add(0.5791942350748791);
dfs.Add(0.43518868769953606);
DayCounter curveDayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> discountCurve = new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new InterpolatedDiscountCurve <LogLinear>(discountDates, dfs, curveDayCounter, null, null, null, new LogLinear()));
DayCounter dayCounter = new Thirty360();
List <Date> dates = new List <Date>();
dates.Add(evalDate);
dates.Add(calendar.advance(evalDate, 6, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 1, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 2, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 3, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 4, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 5, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 7, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 10, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
List <double> defaultProbabilities = new List <double>();
defaultProbabilities.Add(0.0000);
defaultProbabilities.Add(0.0047);
defaultProbabilities.Add(0.0093);
defaultProbabilities.Add(0.0286);
defaultProbabilities.Add(0.0619);
defaultProbabilities.Add(0.0953);
defaultProbabilities.Add(0.1508);
defaultProbabilities.Add(0.2288);
defaultProbabilities.Add(0.3666);
List <double> hazardRates = new List <double>();
hazardRates.Add(0.0);
for (int i = 1; i < dates.Count; ++i)
{
double t1 = dayCounter.yearFraction(dates[0], dates[i - 1]);
double t2 = dayCounter.yearFraction(dates[0], dates[i]);
double S1 = 1.0 - defaultProbabilities[i - 1];
double S2 = 1.0 - defaultProbabilities[i];
hazardRates.Add(Math.Log(S1 / S2) / (t2 - t1));
}
RelinkableHandle <DefaultProbabilityTermStructure> piecewiseFlatHazardRate = new RelinkableHandle <DefaultProbabilityTermStructure>();
piecewiseFlatHazardRate.linkTo(new InterpolatedHazardRateCurve <BackwardFlat>(dates, hazardRates, new Thirty360()));
// Testing credit default swap
// Build the schedule
Date issueDate = new Date(20, Month.March, 2006);
Date maturity = new Date(20, Month.June, 2013);
Frequency cdsFrequency = Frequency.Semiannual;
BusinessDayConvention cdsConvention = BusinessDayConvention.ModifiedFollowing;
Schedule schedule = new Schedule(issueDate, maturity, new Period(cdsFrequency), calendar,
cdsConvention, cdsConvention,
DateGeneration.Rule.Forward, false);
// Build the CDS
double recoveryRate = 0.25;
double fixedRate = 0.0224;
DayCounter dayCount = new Actual360();
double cdsNotional = 100.0;
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, cdsNotional, fixedRate,
schedule, cdsConvention, dayCount, true, true);
cds.setPricingEngine(new MidPointCdsEngine(piecewiseFlatHazardRate, recoveryRate, discountCurve));
double calculatedNpv = cds.NPV();
double calculatedFairRate = cds.fairSpread();
double npv = -1.364048777; // from Bloomberg we have 98.15598868 - 100.00;
double fairRate = 0.0248429452; // from Bloomberg we have 0.0258378;
double tolerance = 1e-9;
if (Math.Abs(npv - calculatedNpv) > tolerance)
{
Assert.Fail(
"Failed to reproduce the npv for the given credit-default swap\n"
+ " computed NPV: " + calculatedNpv + "\n"
+ " Given NPV: " + npv);
}
if (Math.Abs(fairRate - calculatedFairRate) > tolerance)
{
Assert.Fail("Failed to reproduce the fair rate for the given credit-default swap\n"
+ " computed fair rate: " + calculatedFairRate + "\n"
+ " Given fair rate: " + fairRate);
}
}
}
public void testDeltaPriceConsistency()
{
// Testing premium-adjusted delta price consistency
// This function tests for price consistencies with the standard
// Black Scholes calculator, since premium adjusted deltas can be calculated
// from spot deltas by adding/subtracting the premium.
SavedSettings backup = new SavedSettings();
// actually, value and tol won't be needed for testing
EuropeanOptionData[] values =
{
// type, strike, spot, rd, rf, t, vol, value, tol
new EuropeanOptionData(Option.Type.Call, 0.9123, 1.2212, 0.0231, 0.0000, 0.25, 0.301, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 0.9234, 1.2212, 0.0231, 0.0000, 0.35, 0.111, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 0.9783, 1.2212, 0.0231, 0.0000, 0.45, 0.071, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.0000, 1.2212, 0.0231, 0.0000, 0.55, 0.082, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.1230, 1.2212, 0.0231, 0.0000, 0.65, 0.012, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.2212, 1.2212, 0.0231, 0.0000, 0.75, 0.129, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3212, 1.2212, 0.0231, 0.0000, 0.85, 0.034, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3923, 1.2212, 0.0131, 0.2344, 0.95, 0.001, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3455, 1.2212, 0.0000, 0.0000, 1.00, 0.127, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9123, 1.2212, 0.0231, 0.0000, 0.25, 0.301, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9234, 1.2212, 0.0231, 0.0000, 0.35, 0.111, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9783, 1.2212, 0.0231, 0.0000, 0.45, 0.071, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.0000, 1.2212, 0.0231, 0.0000, 0.55, 0.082, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.1230, 1.2212, 0.0231, 0.0000, 0.65, 0.012, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.2212, 1.2212, 0.0231, 0.0000, 0.75, 0.129, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3212, 1.2212, 0.0231, 0.0000, 0.85, 0.034, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3923, 1.2212, 0.0131, 0.2344, 0.95, 0.001, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3455, 1.2212, 0.0000, 0.0000, 1.00, 0.127, 0.0, 0.0),
// extreme case: zero vol
new EuropeanOptionData(Option.Type.Put, 1.3455, 1.2212, 0.0000, 0.0000, 0.50, 0.000, 0.0, 0.0),
// extreme case: zero strike
new EuropeanOptionData(Option.Type.Put, 0.0000, 1.2212, 0.0000, 0.0000, 1.50, 0.133, 0.0, 0.0),
// extreme case: zero strike+zero vol
new EuropeanOptionData(Option.Type.Put, 0.0000, 1.2212, 0.0000, 0.0000, 1.00, 0.133, 0.0, 0.0),
};
DayCounter dc = new Actual360();
Calendar calendar = new TARGET();
Date today = Date.Today;
// Start setup of market data
double discFor = 0.0;
double discDom = 0.0;
double implVol = 0.0;
double expectedVal = 0.0;
double calculatedVal = 0.0;
double error = 0.0;
SimpleQuote spotQuote = new SimpleQuote(0.0);
Handle <Quote> spotHandle = new Handle <Quote>(spotQuote);
SimpleQuote qQuote = new SimpleQuote(0.0);
Handle <Quote> qHandle = new Handle <Quote>(qQuote);
YieldTermStructure qTS = new FlatForward(today, qHandle, dc);
SimpleQuote rQuote = new SimpleQuote(0.0);
Handle <Quote> rHandle = new Handle <Quote>(qQuote);
YieldTermStructure rTS = new FlatForward(today, rHandle, dc);
SimpleQuote volQuote = new SimpleQuote(0.0);
Handle <Quote> volHandle = new Handle <Quote>(volQuote);
BlackVolTermStructure volTS = new BlackConstantVol(today, calendar, volHandle, dc);
BlackScholesMertonProcess stochProcess;
IPricingEngine engine;
StrikedTypePayoff payoff;
Date exDate;
Exercise exercise;
// Setup of market data finished
double tolerance = 1.0e-10;
for (int i = 0; i < values.Length; ++i)
{
payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
exDate = today + timeToDays(values[i].t);
exercise = new EuropeanExercise(exDate);
spotQuote.setValue(values[i].s);
volQuote.setValue(values[i].v);
rQuote.setValue(values[i].r);
qQuote.setValue(values[i].q);
discDom = rTS.discount(exDate);
discFor = qTS.discount(exDate);
implVol = Math.Sqrt(volTS.blackVariance(exDate, 0.0));
BlackDeltaCalculator myCalc = new BlackDeltaCalculator(values[i].type, DeltaVolQuote.DeltaType.PaSpot,
spotQuote.value(), discDom, discFor, implVol);
stochProcess = new BlackScholesMertonProcess(spotHandle,
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
engine = new AnalyticEuropeanEngine(stochProcess);
EuropeanOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = option.delta() - option.NPV() / spotQuote.value();
error = Math.Abs(expectedVal - calculatedVal);
if (error > tolerance)
{
QAssert.Fail("\n Premium-adjusted spot delta test failed. \n"
+ "Calculated Delta: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaFwd);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = expectedVal / discFor; // Premium adjusted Fwd Delta is PA spot without discount
error = Math.Abs(expectedVal - calculatedVal);
if (error > tolerance)
{
QAssert.Fail("\n Premium-adjusted forward delta test failed. \n"
+ "Calculated Delta: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
// Test consistency with BlackScholes Calculator for Spot Delta
myCalc.setDeltaType(DeltaVolQuote.DeltaType.Spot);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = option.delta();
error = Math.Abs(calculatedVal - expectedVal);
if (error > tolerance)
{
QAssert.Fail("\n spot delta in BlackDeltaCalculator differs from delta in BlackScholesCalculator. \n"
+ "Calculated Value: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
}
}
public void testCachedValue()
{
// Testing credit-default swap against cached values...
using (SavedSettings backup = new SavedSettings())
{
// Initialize curves
Settings.setEvaluationDate(new Date(9, Month.June, 2006));
Date today = Settings.evaluationDate();
Calendar calendar = new TARGET();
Handle <Quote> hazardRate = new Handle <Quote>(new SimpleQuote(0.01234));
RelinkableHandle <DefaultProbabilityTermStructure> probabilityCurve = new RelinkableHandle <DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new FlatHazardRate(0, calendar, hazardRate, new Actual360()));
RelinkableHandle <YieldTermStructure> discountCurve = new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today, 0.06, new Actual360()));
// Build the schedule
Date issueDate = calendar.advance(today, -1, TimeUnit.Years);
Date maturity = calendar.advance(issueDate, 10, TimeUnit.Years);
Frequency frequency = Frequency.Semiannual;
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
Schedule schedule = new Schedule(issueDate, maturity, new Period(frequency), calendar,
convention, convention, DateGeneration.Rule.Forward, false);
// Build the CDS
double fixedRate = 0.0120;
DayCounter dayCount = new Actual360();
double notional = 10000.0;
double recoveryRate = 0.4;
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, dayCount, true, true);
cds.setPricingEngine(new MidPointCdsEngine(probabilityCurve, recoveryRate, discountCurve));
double npv = 295.0153398;
double fairRate = 0.007517539081;
double calculatedNpv = cds.NPV();
double calculatedFairRate = cds.fairSpread();
double tolerance = 1.0e-7;
if (Math.Abs(calculatedNpv - npv) > tolerance)
{
Assert.Fail(
"Failed to reproduce NPV with mid-point engine\n"
+ " calculated NPV: " + calculatedNpv + "\n"
+ " expected NPV: " + npv);
}
if (Math.Abs(calculatedFairRate - fairRate) > tolerance)
{
Assert.Fail(
"Failed to reproduce fair rate with mid-point engine\n"
+ " calculated fair rate: " + calculatedFairRate + "\n"
+ " expected fair rate: " + fairRate);
}
cds.setPricingEngine(new IntegralCdsEngine(new Period(1, TimeUnit.Days), probabilityCurve,
recoveryRate, discountCurve));
calculatedNpv = cds.NPV();
calculatedFairRate = cds.fairSpread();
tolerance = 1.0e-5;
if (Math.Abs(calculatedNpv - npv) > notional * tolerance * 10)
{
Assert.Fail(
"Failed to reproduce NPV with integral engine "
+ "(step = 1 day)\n"
+ " calculated NPV: " + calculatedNpv + "\n"
+ " expected NPV: " + npv);
}
if (Math.Abs(calculatedFairRate - fairRate) > tolerance)
{
Assert.Fail(
"Failed to reproduce fair rate with integral engine "
+ "(step = 1 day)\n"
+ " calculated fair rate: " + calculatedFairRate + "\n"
+ " expected fair rate: " + fairRate);
}
cds.setPricingEngine(new IntegralCdsEngine(new Period(1, TimeUnit.Weeks), probabilityCurve, recoveryRate, discountCurve));
calculatedNpv = cds.NPV();
calculatedFairRate = cds.fairSpread();
tolerance = 1.0e-5;
if (Math.Abs(calculatedNpv - npv) > notional * tolerance * 10)
{
Assert.Fail(
"Failed to reproduce NPV with integral engine "
+ "(step = 1 week)\n"
+ " calculated NPV: " + calculatedNpv + "\n"
+ " expected NPV: " + npv);
}
if (Math.Abs(calculatedFairRate - fairRate) > tolerance)
{
Assert.Fail(
"Failed to reproduce fair rate with integral engine "
+ "(step = 1 week)\n"
+ " calculated fair rate: " + calculatedFairRate + "\n"
+ " expected fair rate: " + fairRate);
}
}
}
public void testMCDiscreteGeometricAveragePrice()
{
//BOOST_MESSAGE("Testing Monte Carlo discrete geometric average-price Asians...");
// data from "Implementing Derivatives Model",
// Clewlow, Strickland, p.118-123
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.03);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.06);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.20);
BlackVolTermStructure volTS =Utilities.flatVol(today, vol, dc);
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(new Handle<Quote>(spot),
new Handle<YieldTermStructure>(qTS),
new Handle<YieldTermStructure>(rTS),
new Handle<BlackVolTermStructure>(volTS));
double tolerance = 4.0e-3;
IPricingEngine engine =
new MakeMCDiscreteGeometricAPEngine
<LowDiscrepancy,Statistics>(stochProcess)
.withStepsPerYear(1)
.withSamples(8191)
.value();
Average.Type averageType = Average.Type.Geometric;
double runningAccumulator = 1.0;
int pastFixings = 0;
int futureFixings = 10;
Option.Type type = Option.Type.Call;
double strike = 100.0;
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
Date exerciseDate = today + 360;
Exercise exercise = new EuropeanExercise(exerciseDate);
List<Date> fixingDates = new InitializedList<Date>(futureFixings);
int dt = (int)(360/futureFixings+0.5);
fixingDates[0] = today + dt;
for (int j=1; j<futureFixings; j++)
fixingDates[j] = fixingDates[j-1] + dt;
DiscreteAveragingAsianOption option =
new DiscreteAveragingAsianOption(averageType, runningAccumulator,
pastFixings, fixingDates,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
IPricingEngine engine2 =
new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess);
option.setPricingEngine(engine2);
double expected = option.NPV();
if (Math.Abs(calculated-expected) > tolerance) {
REPORT_FAILURE("value", averageType, runningAccumulator, pastFixings,
fixingDates, payoff, exercise, spot.value(),
qRate.value(), rRate.value(), today,
vol.value(), expected, calculated, tolerance);
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(22, Month.September, 2004);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
todaysDate = Settings.evaluationDate();
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// deposits
double d1wQuote = 0.0382;
double d1mQuote = 0.0372;
double d3mQuote = 0.0363;
double d6mQuote = 0.0353;
double d9mQuote = 0.0348;
double d1yQuote = 0.0345;
// FRAs
double fra3x6Quote = 0.037125;
double fra6x9Quote = 0.037125;
double fra6x12Quote = 0.037125;
// futures
double fut1Quote = 96.2875;
double fut2Quote = 96.7875;
double fut3Quote = 96.9875;
double fut4Quote = 96.6875;
double fut5Quote = 96.4875;
double fut6Quote = 96.3875;
double fut7Quote = 96.2875;
double fut8Quote = 96.0875;
// swaps
double s2yQuote = 0.037125;
double s3yQuote = 0.0398;
double s5yQuote = 0.0443;
double s10yQuote = 0.05165;
double s15yQuote = 0.055175;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// FRAs
Quote fra3x6Rate = new SimpleQuote(fra3x6Quote);
Quote fra6x9Rate = new SimpleQuote(fra6x9Quote);
Quote fra6x12Rate = new SimpleQuote(fra6x12Quote);
// futures
Quote fut1Price = new SimpleQuote(fut1Quote);
Quote fut2Price = new SimpleQuote(fut2Quote);
Quote fut3Price = new SimpleQuote(fut3Quote);
Quote fut4Price = new SimpleQuote(fut4Quote);
Quote fut5Price = new SimpleQuote(fut5Quote);
Quote fut6Price = new SimpleQuote(fut6Quote);
Quote fut7Price = new SimpleQuote(fut7Quote);
Quote fut8Price = new SimpleQuote(fut8Quote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(new Handle<Quote>(d1wRate), new Period(1, TimeUnit.Weeks),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(new Handle<Quote>(d1mRate), new Period(1, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(new Handle<Quote>(d3mRate), new Period(3, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(new Handle<Quote>(d6mRate), new Period(6, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(new Handle<Quote>(d9mRate), new Period(9, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(new Handle<Quote>(d1yRate), new Period(1, TimeUnit.Years),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup FRAs
RateHelper fra3x6 = new FraRateHelper(new Handle<Quote>(fra3x6Rate), 3, 6, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x9 = new FraRateHelper(new Handle<Quote>(fra6x9Rate), 6, 9, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x12 = new FraRateHelper(new Handle<Quote>(fra6x12Rate), 6, 12, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup futures
// Handle<Quote> convexityAdjustment = new Handle<Quote>(new SimpleQuote(0.0));
int futMonths = 3;
Date imm = IMM.nextDate(settlementDate);
RateHelper fut1 = new FuturesRateHelper(new Handle<Quote>(fut1Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut2 = new FuturesRateHelper(new Handle<Quote>(fut2Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut3 = new FuturesRateHelper(new Handle<Quote>(fut3Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut4 = new FuturesRateHelper(new Handle<Quote>(fut4Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut5 = new FuturesRateHelper(new Handle<Quote>(fut5Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut6 = new FuturesRateHelper(new Handle<Quote>(fut6Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut7 = new FuturesRateHelper(new Handle<Quote>(fut7Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut8 = new FuturesRateHelper(new Handle<Quote>(fut8Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
RateHelper s2y = new SwapRateHelper(new Handle<Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s3y = new SwapRateHelper(new Handle<Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s5y = new SwapRateHelper(new Handle<Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s10y = new SwapRateHelper(new Handle<Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s15y = new SwapRateHelper(new Handle<Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-swap curve
List<RateHelper> depoSwapInstruments = new List<RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments, termStructureDayCounter, new List<Handle<Quote>>(), new List<Date>(), tolerance);
// A depo-futures-swap curve
List<RateHelper> depoFutSwapInstruments = new List<RateHelper>();
depoFutSwapInstruments.Add(d1w);
depoFutSwapInstruments.Add(d1m);
depoFutSwapInstruments.Add(fut1);
depoFutSwapInstruments.Add(fut2);
depoFutSwapInstruments.Add(fut3);
depoFutSwapInstruments.Add(fut4);
depoFutSwapInstruments.Add(fut5);
depoFutSwapInstruments.Add(fut6);
depoFutSwapInstruments.Add(fut7);
depoFutSwapInstruments.Add(fut8);
depoFutSwapInstruments.Add(s3y);
depoFutSwapInstruments.Add(s5y);
depoFutSwapInstruments.Add(s10y);
depoFutSwapInstruments.Add(s15y);
YieldTermStructure depoFutSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoFutSwapInstruments, termStructureDayCounter, new List<Handle<Quote>>(), new List<Date>(), tolerance);
// A depo-FRA-swap curve
List<RateHelper> depoFRASwapInstruments = new List<RateHelper>();
depoFRASwapInstruments.Add(d1w);
depoFRASwapInstruments.Add(d1m);
depoFRASwapInstruments.Add(d3m);
depoFRASwapInstruments.Add(fra3x6);
depoFRASwapInstruments.Add(fra6x9);
depoFRASwapInstruments.Add(fra6x12);
depoFRASwapInstruments.Add(s2y);
depoFRASwapInstruments.Add(s3y);
depoFRASwapInstruments.Add(s5y);
depoFRASwapInstruments.Add(s10y);
depoFRASwapInstruments.Add(s15y);
YieldTermStructure depoFRASwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoFRASwapInstruments, termStructureDayCounter, new List<Handle<Quote>>(), new List<Date>(), tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure = new RelinkableHandle<YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure = new RelinkableHandle<YieldTermStructure>();
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
DayCounter floatingLegDayCounter = new Actual360();
// floating leg
Frequency floatingLegFrequency = Frequency.Semiannual;
IborIndex euriborIndex = new Euribor6M(forecastingTermStructure);
double spread = 0.0;
int lenghtInYears = 5;
VanillaSwap.Type swapType = VanillaSwap.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInYears, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(settlementDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap spot5YearSwap = new VanillaSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread, floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, TimeUnit.Years);
Date fwdMaturity = fwdStart + new Period(lenghtInYears, TimeUnit.Years);
Schedule fwdFixedSchedule = new Schedule(fwdStart, fwdMaturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule fwdFloatSchedule = new Schedule(fwdStart, fwdMaturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap oneYearForward5YearSwap = new VanillaSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
List<string> headers = new List<string>();
headers.Add("term structure");
headers.Add("net present value");
headers.Add("fair spread");
headers.Add("fair fixed rate");
string separator = " | ";
int width = headers[0].Length + separator.Length
+ headers[1].Length + separator.Length
+ headers[2].Length + separator.Length
+ headers[3].Length + separator.Length - 1;
string rule = string.Format("").PadLeft(width, '-'), dblrule = string.Format("").PadLeft(width, '=');
string tab = string.Format("").PadLeft(8, ' ');
// calculations
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
double NPV;
double fairRate;
double fairSpread;
IPricingEngine swapEngine = new DiscountingSwapEngine(discountingTermStructure);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// let's check that the 5 years swap has been correctly re-priced
if (!(Math.Abs(fairRate-s5yQuote)<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yQuote));
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yQuote)<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yQuote));
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yQuote)<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yQuote));
Console.WriteLine(rule);
// now let's price the 1Y forward 5Y swap
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
SimpleQuote fiveYearsRate = s5yRate as SimpleQuote;
fiveYearsRate.setValue(0.0460);
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
// now get the updated results
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yRate.value())<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yRate.value()));
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yRate.value())<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yRate.value()));
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yRate.value())<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yRate.value()));
Console.WriteLine(rule);
// the 1Y forward 5Y swap changes as well
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
private void testOptionGreeks(ForwardVanillaEngine.GetOriginalEngine getEngine)
{
SavedSettings backup = new SavedSettings();
Dictionary <String, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance["delta"] = 1.0e-5;
tolerance["gamma"] = 1.0e-5;
tolerance["theta"] = 1.0e-5;
tolerance["rho"] = 1.0e-5;
tolerance["divRho"] = 1.0e-5;
tolerance["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] moneyness = { 0.9, 1.0, 1.1 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
Frequency[] frequencies = { Frequency.Semiannual, Frequency.Quarterly, };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < moneyness.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
for (int kk = 0; kk < frequencies.Length; kk++)
{
EuropeanExercise maturity = new EuropeanExercise(today + new Period(lengths[k], TimeUnit.Years));
PercentageStrikePayoff payoff = new PercentageStrikePayoff(types[i], moneyness[j]);
List <Date> reset = new List <Date>();
for (Date d = today + new Period(frequencies[kk]);
d < maturity.lastDate();
d += new Period(frequencies[kk]))
{
reset.Add(d);
}
IPricingEngine engine = getEngine(process);
CliquetOption option = new CliquetOption(payoff, maturity, reset);
option.setPricingEngine(engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
calculated["theta"] = option.theta();
calculated["rho"] = option.rho();
calculated["divRho"] = option.dividendRho();
calculated["vega"] = option.vega();
if (value > spot.value() * 1.0e-5)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb rates and get rho and dividend rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = option.NPV();
rRate.setValue(r - dr);
value_m = option.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
double dq = q * 1.0e-4;
qRate.setValue(q + dq);
value_p = option.NPV();
qRate.setValue(q - dq);
value_m = option.NPV();
qRate.setValue(q);
expected["divRho"] = (value_p - value_m) / (2 * dq);
// perturb volatility and get vega
double dv = v * 1.0e-4;
vol.setValue(v + dv);
value_p = option.NPV();
vol.setValue(v - dv);
value_m = option.NPV();
vol.setValue(v);
expected["vega"] = (value_p - value_m) / (2 * dv);
// perturb date and get theta
double dT = dc.yearFraction(today - 1, today + 1);
Settings.setEvaluationDate(today - 1);
value_m = option.NPV();
Settings.setEvaluationDate(today + 1);
value_p = option.NPV();
Settings.setEvaluationDate(today);
expected["theta"] = (value_p - value_m) / dT;
// compare
foreach (var it in calculated)
{
String greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, maturity,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
int settlementDays = 3;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// Building of the bonds discounting yield curve
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote = 0.0096;
double zc6mQuote = 0.0145;
double zc1yQuote = 0.0194;
Quote zc3mRate = new SimpleQuote(zc3mQuote);
Quote zc6mRate = new SimpleQuote(zc6mQuote);
Quote zc1yRate = new SimpleQuote(zc1yQuote);
DayCounter zcBondsDayCounter = new Actual365Fixed();
RateHelper zc3m = new DepositRateHelper(new Handle <Quote>(zc3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc6m = new DepositRateHelper(new Handle <Quote>(zc6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc1y = new DepositRateHelper(new Handle <Quote>(zc1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const int numberOfBonds = 5;
Date[] issueDates =
{
new Date(15, Month.March, 2005),
new Date(15, Month.June, 2005),
new Date(30, Month.June, 2006),
new Date(15, Month.November, 2002),
new Date(15, Month.May, 1987)
};
Date[] maturities =
{
new Date(31, Month.August, 2010),
new Date(31, Month.August, 2011),
new Date(31, Month.August, 2013),
new Date(15, Month.August, 2018),
new Date(15, Month.May, 2038)
};
double[] couponRates =
{
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
double[] marketQuotes =
{
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
List <SimpleQuote> quote = new List <SimpleQuote>();
for (int i = 0; i < numberOfBonds; i++)
{
SimpleQuote cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
List <RelinkableHandle <Quote> > quoteHandle = new InitializedList <RelinkableHandle <Quote> >(numberOfBonds);
for (int i = 0; i < numberOfBonds; i++)
{
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
List <FixedRateBondHelper> bondsHelpers = new List <FixedRateBondHelper>();
for (int i = 0; i < numberOfBonds; i++)
{
Schedule schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new List <double>()
{
couponRates[i]
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-bond curve
List <RateHelper> bondInstruments = new List <RateHelper>();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i = 0; i < numberOfBonds; i++)
{
bondInstruments.Add(bondsHelpers[i]);
}
YieldTermStructure bondDiscountingTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
new List <Handle <Quote> >(),
new List <Date>(),
tolerance);
// Building of the Libor forecasting curve
// deposits
double d1wQuote = 0.043375;
double d1mQuote = 0.031875;
double d3mQuote = 0.0320375;
double d6mQuote = 0.03385;
double d9mQuote = 0.0338125;
double d1yQuote = 0.0335125;
// swaps
double s2yQuote = 0.0295;
double s3yQuote = 0.0323;
double s5yQuote = 0.0359;
double s10yQuote = 0.0412;
double s15yQuote = 0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(
new Handle <Quote>(d1wRate),
new Period(1, TimeUnit.Weeks), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(
new Handle <Quote>(d1mRate),
new Period(1, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(
new Handle <Quote>(d3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(
new Handle <Quote>(d6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(
new Handle <Quote>(d9mRate),
new Period(9, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(
new Handle <Quote>(d1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
Period forwardStart = new Period(1, TimeUnit.Days);
RateHelper s2y = new SwapRateHelper(
new Handle <Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s3y = new SwapRateHelper(
new Handle <Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s5y = new SwapRateHelper(
new Handle <Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s10y = new SwapRateHelper(
new Handle <Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s15y = new SwapRateHelper(
new Handle <Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
List <RateHelper> depoSwapInstruments = new List <RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
new List <Handle <Quote> >(),
new List <Date>(),
tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle <YieldTermStructure> discountingTermStructure = new RelinkableHandle <YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle <YieldTermStructure> forecastingTermStructure = new RelinkableHandle <YieldTermStructure>();
/*********************
* BONDS TO BE PRICED *
**********************/
// Common data
double faceAmount = 100;
// Pricing engine
IPricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);
// Zero coupon bond
ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August, 2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August, 2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15, Month.May, 2017), new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond fixedRateBond = new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
new List <double>()
{
0.045
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
RelinkableHandle <YieldTermStructure> liborTermStructure = new RelinkableHandle <YieldTermStructure>();
IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625);
Schedule floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true);
FloatingRateBond floatingRateBond = new FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new List <double>()
{
1.0
},
// Spreads
new List <double>()
{
0.001
},
// Caps
new List <double?>(),
// Floors
new List <double?>(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
IborCouponPricer pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
Handle <OptionletVolatilityStructure> vol;
vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(
settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
Utils.setCouponPricer(floatingRateBond.cashflows(), pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
// write column headings
int[] widths = { 18, 10, 10, 10 };
Console.WriteLine("{0,18}{1,10}{2,10}{3,10}", "", "ZC", "Fixed", "Floating");
int width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
string rule = "".PadLeft(width, '-'), dblrule = "".PadLeft(width, '=');
string tab = "".PadLeft(8, ' ');
Console.WriteLine(rule);
Console.WriteLine("Net present value".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.NPV(),
fixedRateBond.NPV(),
floatingRateBond.NPV());
Console.WriteLine("Clean price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.cleanPrice(),
fixedRateBond.cleanPrice(),
floatingRateBond.cleanPrice());
Console.WriteLine("Dirty price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.dirtyPrice(),
fixedRateBond.dirtyPrice(),
floatingRateBond.dirtyPrice());
Console.WriteLine("Accrued coupon".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.accruedAmount(),
fixedRateBond.accruedAmount(),
floatingRateBond.accruedAmount());
Console.WriteLine("Previous coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.previousCouponRate(),
floatingRateBond.previousCouponRate());
Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.nextCouponRate(),
floatingRateBond.nextCouponRate());
Console.WriteLine("Yield".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0:n2}",
floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
Console.WriteLine("Clean Price to Yield: {0:0.00%}",
floatingRateBond.yield(floatingRateBond.cleanPrice(), new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
/* "Yield to Price"
* "Price to Yield" */
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testTheoretical()
{
// "Testing theoretical bond price/yield calculation...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-7;
int maxEvaluations = 100;
int[] lengths = new int[] { 3, 5, 10, 15, 20 };
int settlementDays = 3;
double[] coupons = new double[] { 0.02, 0.05, 0.08 };
Frequency[] frequencies = new Frequency[] { Frequency.Semiannual, Frequency.Annual };
DayCounter bondDayCount = new Actual360();
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
double redemption = 100.0;
double[] yields = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
for (int j = 0; j < lengths.Length; j++)
{
for (int k = 0; k < coupons.Length; k++)
{
for (int l = 0; l < frequencies.Length; l++)
{
Date dated = vars.today;
Date issue = dated;
Date maturity = vars.calendar.advance(issue, lengths[j], TimeUnit.Years);
SimpleQuote rate = new SimpleQuote(0.0);
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(vars.today, rate, bondDayCount));
Schedule sch = new Schedule(dated, maturity, new Period(frequencies[l]), vars.calendar,
accrualConvention, accrualConvention, DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(settlementDays, vars.faceAmount, sch, new List<double>() { coupons[k] },
bondDayCount, paymentConvention, redemption, issue);
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond.setPricingEngine(bondEngine);
for (int m = 0; m < yields.Length; m++)
{
rate.setValue(yields[m]);
double price = bond.cleanPrice(yields[m], bondDayCount, Compounding.Continuous, frequencies[l]);
double calculatedPrice = bond.cleanPrice();
if (Math.Abs(price - calculatedPrice) > tolerance)
{
Assert.Fail("price calculation failed:"
+ "\n issue: " + issue
+ "\n maturity: " + maturity
+ "\n coupon: " + coupons[k]
+ "\n frequency: " + frequencies[l] + "\n"
+ "\n yield: " + yields[m]
+ "\n expected: " + price
+ "\n calculated': " + calculatedPrice
+ "\n error': " + (price - calculatedPrice));
}
double calculatedYield = bond.yield(bondDayCount, Compounding.Continuous, frequencies[l],
tolerance, maxEvaluations);
if (Math.Abs(yields[m] - calculatedYield) > tolerance)
{
Assert.Fail("yield calculation failed:"
+ "\n issue: " + issue
+ "\n maturity: " + maturity
+ "\n coupon: " + coupons[k]
+ "\n frequency: " + frequencies[l] + "\n"
+ "\n yield: " + yields[m]
+ "\n price: " + price
+ "\n yield': " + calculatedYield);
}
}
}
}
}
}
