private void AsianOptionGreekCalc(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 1.0, Double strike = 1.03,
string asianType = "ArithmeticAverage", Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344,
double expectedDelta = 0.431553260493781,
double expectedGamma = 4319.00095926793,
double expectedVega = 0.00146247323594882,
double expectedRho = -1.62432084616776E-06,
double expectedTheta = -0.000398443365606245
)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
#region comment
//var fixings = File.ReadAllLines(@"./Data/HistoricalEquityPrices/hs300.csv")
// .Select(x =>
// {
// var splits = x.Split(',');
// return Tuple.Create(new Date(DateTime.Parse(splits[0])), Double.Parse(splits[1]));
// }).ToDictionary(x => x.Item1, x => x.Item2);
//var initialSpot = fixings[startDate];
//fixings = fixings.Select(x => Tuple.Create(x.Key, x.Value / initialSpot)).Where(x => x.Item1 < startDate).ToDictionary(x => x.Item1, x => x.Item2);
#endregion comment
var option = new AsianOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed:StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>()
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalAsianOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
//var engine = new GenericMonteCarloEngine(2, 30000);
//var result = engine.Calculate(option, market, PricingRequest.All);
//Console.WriteLine("Analytical: {0},{1},{2},{3},{4},{5}", analyticalResult.Pv, analyticalResult.Delta, analyticalResult.Gamma, analyticalResult.Vega, analyticalResult.Rho, analyticalResult.Theta);
//Console.WriteLine("Monte Carlo: {0},{1},{2},{3},{4},{5}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
Assert.AreEqual(analyticalResult.Pv, expectedPv, 1e-1);
Assert.AreEqual(analyticalResult.Delta, expectedDelta, 1e-1);
Assert.AreEqual(analyticalResult.Gamma, expectedGamma, 1e4);
Assert.AreEqual(analyticalResult.Vega, expectedVega, 1e-1);
Assert.AreEqual(analyticalResult.Rho, expectedRho, 1e-1);
Assert.AreEqual(analyticalResult.Theta, expectedTheta, 1e-1);
}
private void AsianOptionGTJACalc(String ValuationDate = "2018-06-29", Double vol = 0.12, Double spot = 1820, Double strike = 1850, string asianType = "ArithmeticAverage", Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = DateFromStr("2018-11-01");
var calendar = CalendarImpl.Get("chn");
var obsStartDate = DateFromStr("2018-10-01");
var obsDates = calendar.BizDaysBetweenDatesInclEndDay(obsStartDate, maturityDate).ToArray();
#region comment
//var fixings = File.ReadAllLines(@"./Data/HistoricalEquityPrices/hs300.csv")
// .Select(x =>
// {
// var splits = x.Split(',');
// return Tuple.Create(new Date(DateTime.Parse(splits[0])), Double.Parse(splits[1]));
// }).ToDictionary(x => x.Item1, x => x.Item2);
//var initialSpot = fixings[startDate];
//fixings = fixings.Select(x => Tuple.Create(x.Key, x.Value / initialSpot)).Where(x => x.Item1 < startDate).ToDictionary(x => x.Item1, x => x.Item2);
#endregion comment
var option = new AsianOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.CommodityFutures,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 30000
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalAsianOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
//var engine = new GenericMonteCarloEngine(2, 30000);
//var result = engine.Calculate(option, market, PricingRequest.All);
//Console.WriteLine("Analytical: {0},{1},{2},{3},{4},{5}", analyticalResult.Pv, analyticalResult.Delta, analyticalResult.Gamma, analyticalResult.Vega, analyticalResult.Rho, analyticalResult.Theta);
//Console.WriteLine("Monte Carlo: {0},{1},{2},{3},{4},{5}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
Assert.AreEqual(analyticalResult.Pv, expectedPv, 1e-1);
}
private void AsianOptionGreekTest(double vol = 0.28, double spot = 1.0, double strike = 1.03, Boolean isCall = true, string asianType = "ArithmeticAverage", Boolean isFixed = true,
string t0 = "2015-03-19", string t1 = "2015-03-20", double volMove = 0.10, double mktMove = 1e-4, double toleranceInPct = 2)
{
var T0 = DateFromStr(t0);
var T1 = DateFromStr(t1);
var spotNew = spot + spot * mktMove;
var volNew = vol + volMove;
var maturityDate = new Term("176D").Next(T0);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] {
new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2)
};
var valuationDay = t0;
var valuationDayNew = t1;
var option = new AsianOption(
T0,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>()
);
var market = TestMarket(referenceDate: t0, vol: vol, spot: spot);
var marketNew = TestMarket(referenceDate: t1, vol: volNew, spot: spotNew);
var marketPI = TestMarket(referenceDate: t0, vol: vol, spot: spotNew);
var marketVI = TestMarket(referenceDate: t0, vol: volNew, spot: spot);
var marketPVC = TestMarket(referenceDate: t0, vol: volNew, spot: spotNew);
var engine = new AnalyticalAsianOptionEngine();
var result = engine.Calculate(option, market, PricingRequest.All);
var resultNew = engine.Calculate(option, marketNew, PricingRequest.All);
var resultPI = engine.Calculate(option, marketPI, PricingRequest.All);
var resultVI = engine.Calculate(option, marketVI, PricingRequest.All);
var resultPVC = engine.Calculate(option, marketPVC, PricingRequest.All);
var actualPL = resultNew.Pv - result.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv = result.Pv;
var PI = resultPI.Pv - basePv;
var thetapl = result.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI = resultVI.Pv - basePv;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC = resultPVC.Pv - basePv - PI - VI;
var newEstimate = PI + VI + PVC + thetapl;
var newUnexplained = actualPL - newEstimate;
//Time impact
//TI = PV(t, all OldInfo) - Pv(t-1)
//TODO:
//Time/ price cross Impact
//TPC = PV(t, priceNew) - pv(t-1) - (TI +PI)
//Time/vol cross impact
//TVC = PV(t, volNew) - pv(t-1) -(TI+VI)
//TODO:
//in case of big move ( vol and spot), we need high order risk to explain pnl
//var diff = actualPL - esimstatedPL;
//Assert.AreEqual(true, Math.Abs(diff / actualPL) * 100.0 < toleranceInPct); //pnl well explained in not too extreme moves
Assert.AreEqual(true, Math.Abs(newUnexplained / actualPL) * 100.0 < toleranceInPct);
}
