/// <summary>
/// Gets the implied vol.
/// </summary>
/// <param name="stock">The stock.</param>
/// <param name="exp">The exp.</param>
/// <param name="volGuess">The vol guess.</param>
/// <param name="strike">The strike.</param>
/// <param name="call">if set to <c>true</c> [call].</param>
/// <param name="style">The style.</param>
/// <param name="prem">The prem.</param>
/// <param name="gridSteps">The grid steps.</param>
/// <returns></returns>
public static double GetImpliedVol(Stock stock, DateTime exp, double volGuess, double strike, bool call, string style, double prem, int gridSteps)
{
DateTime date0 = stock.Date;
DateTime exp0 = exp;
double spot0 = Convert.ToDouble(stock.Spot);
double strike0 = strike;
string paystyle0 = call ? "C" : "P";
string exercise0 = style;
//Override vol guess to test if it effects performance
double fwd = stock.GetForward(date0, exp);
var option = new AmOptionAnalytics(date0, exp0, spot0, strike0, volGuess, exercise0, paystyle0, stock.RateCurve, stock.Dividends, gridSteps);
double vol0 = option.OptSolveVol(prem, fwd);
return(vol0);
}
public void TestImpliedVolPut()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "P";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics amInstr = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
double am = amInstr.Price();
double eu = euInstr.Price();
AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
double avol0 = amInstr0.OptSolveVol(am, 100);
double evol0 = euInstr0.OptSolveVol(eu, 100);
Stock stock = new Stock(date0, 100, "dummy", "BHP", rc, divs);
double vol1 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "A", am, 120);
double vol11 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "American", am, 120);
double vol0 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "E", eu, 120);
double vol00 = OptionHelper.GetImpliedVol(stock, exp, strike, false, "European", eu, 120);
Assert.AreEqual(avol0, 0.50, 0.001);
Assert.AreEqual(evol0, 1.00, 0.001);
Assert.AreEqual(vol1, avol0, 0.001);
Assert.AreEqual(vol11, avol0, 0.001);
Assert.AreEqual(vol0, evol0, 0.001);
Assert.AreEqual(vol00, evol0, 0.001);
}
public void TestImpliedVolCall()
{
DateTime date0 = DateTime.Today;
DateTime exp = date0.AddDays(90);
DateTime ex = date0.AddDays(20);
double spot = 100;
double strike = 100;
double vol = 0.50;
string paystyle = "C";
DateTime[] dates = { date0, exp };
double[] rates = { 0.05, 0.05 };
RateCurve rc = new RateCurve("AUD", "Continuous", date0, dates, rates);
List <Dividend> divs = new List <Dividend> {
new Dividend(ex, 20)
};
AmOptionAnalytics amInstr = new AmOptionAnalytics(date0, exp, spot, strike, vol, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr = new AmOptionAnalytics(date0, exp, spot, strike, 2 * vol, "E", paystyle, rc, divs, 120);
double am = amInstr.Price();
double eu = euInstr.Price();
AmOptionAnalytics amInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.20, "A", paystyle, rc, divs, 120);
AmOptionAnalytics euInstr0 = new AmOptionAnalytics(date0, exp, spot, strike, 0.80, "E", paystyle, rc, divs, 120);
double avol0 = amInstr0.OptSolveVol(am, 100);
double evol0 = euInstr0.OptSolveVol(eu, 100);
var stock = new Stock(date0, 100, "dummy", "BHP", rc, divs);
DateTime start = DateTime.Now;
double vol1 = OptionHelper.GetImpliedVol(stock, exp, 0.3, strike, true, "A", am, 120);
DateTime end = DateTime.Now;
double x1 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol11 = OptionHelper.GetImpliedVol(stock, exp, 0.2, strike, true, "American", am, 120);
end = DateTime.Now;
double x2 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol0 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "E", eu, 120);
end = DateTime.Now;
double x3 = end.Subtract(start).Milliseconds;
start = DateTime.Now;
double vol00 = OptionHelper.GetImpliedVol(stock, exp, 0.8, strike, true, "European", eu, 120);
end = DateTime.Now;
double x4 = end.Subtract(start).Milliseconds;
Assert.AreEqual(avol0, 0.50, 0.001);
Assert.AreEqual(evol0, 1.00, 0.001);
Assert.AreEqual(vol1, avol0, 0.001);
Assert.AreEqual(vol11, avol0, 0.001);
Assert.AreEqual(vol0, evol0, 0.001);
Assert.AreEqual(vol00, evol0, 0.001);
Debug.Print("Time 1 : " + x1);
Debug.Print("Time 2 : " + x2);
Debug.Print("Time 3 : " + x3);
Debug.Print("Time 4 : " + x4);
}