public void TestValuationCoordinator()
{
Date exerciseDate = new Date(2017, 08, 28);
string shareCode = "AAA";
double strike = 100.0;
Product p = new EuropeanOption(new Share(shareCode, Currency.ZAR), strike, exerciseDate);
Share[] shares = new Share[] { new Share(shareCode, Currency.ZAR) };// One needs to know the index that will be required by the product to simulate it.
Date valueDate = new Date(2016, 08, 28);
double[] divYield = new double[] { 0.02 };
double[] vol = new double[] { 0.22 };
double[] spotPrice = new double[] { 100.0 };
double[,] correlations = new double[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate,
new Date[] { valueDate, valueDate.AddMonths(120) },
new double[] { 0.07, 0.07 });
IFloatingRateSource[] rateForecastCurves = new IFloatingRateSource[0];
EquitySimulator sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
Coordinator coordinator = new Coordinator(sim, new List <Simulator>(), 10000);
double value = coordinator.Value(new Product[] { p }, valueDate);
double refValue = Formulae.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365.0, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, value, refValue * 0.05);
}
public void TestDynamicCallFromFile()
{
Stopwatch watch;
// Make a product at runtime
Product runtimeProduct = RuntimeProduct.CreateFromSourceFile(@"ScriptEuropeanOption.txt");
// Setup an approriate simulation
Share[] shares = new Share[] { new Share("AAA", Currency.ZAR) };// One needs to know the index that will be required by the product to simulate it.
Date valueDate = new Date(2016, 08, 28);
double[] divYield = new double[] { 0.02 };
double[] vol = new double[] { 0.22 };
double[] spotPrice = new double[] { 100.0 };
double[,] correlations = new double[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate,
new Date[] { valueDate, valueDate.AddMonths(120) },
new double[] { 0.07, 0.07 });
IFloatingRateSource[] rateForecastCurves = new IFloatingRateSource[0];
EquitySimulator sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
// Value the runtime product
Coordinator coordinator;
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
watch = Stopwatch.StartNew();
double valueRuntime = coordinator.Value(new Product[] { runtimeProduct }, valueDate);
watch.Stop();
long timeRuntime = watch.ElapsedMilliseconds;
// Setup the same product statically
Date exerciseDate = new Date(2017, 08, 28);
double strike = 100.0;
Product staticProduct = new EuropeanOption(new Share("AAA", Currency.ZAR), strike, exerciseDate);
// Value the static product
coordinator = new Coordinator(sim, new List <Simulator> (), 100000);
watch = Stopwatch.StartNew();
double valueStatic = coordinator.Value(new Product[] { staticProduct }, valueDate);
watch.Stop();
long timeStatic = watch.ElapsedMilliseconds;
double refValue = Formulae.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
Assert.AreEqual(refValue, valueStatic, refValue * 0.03);
}
public void TestEquitySimulatorMultiAssetCall()
{
// The model
EquitySimulator sim = new EquitySimulator(shares, prices, vols, divYields, correlations, discountCurve, new IFloatingRateSource[0]);
Coordinator coordinator = new Coordinator(sim, new List <Simulator> {
}, 10000);
// Products
Date exerciseDate = new Date(2017, 08, 28);
int p;
double strike;
// ALSI
p = 0;
strike = prices[p] * 1.05;
Product call0 = new EuropeanOption(shares[p], strike, exerciseDate);
double value0 = coordinator.Value(new Product[] { call0 }, anchorDate);
double refValue0 = Formulae.BlackScholes(PutOrCall.Call, strike, (exerciseDate - anchorDate) / 365.0, prices[p],
vols[p], 0.07, divYields[p]);
Assert.AreEqual(refValue0, value0, refValue0 * 0.05);
// AAA
p = 1;
strike = prices[p] * 1.05;
Product call1 = new EuropeanOption(shares[p], strike, exerciseDate);
double value1 = coordinator.Value(new Product[] { call1 }, anchorDate);
double refValue1 = Formulae.BlackScholes(PutOrCall.Call, strike, (exerciseDate - anchorDate) / 365.0, prices[p],
vols[p], 0.07, divYields[p]);
Assert.AreEqual(refValue1, value1, refValue1 * 0.05);
// BBB
p = 2;
strike = prices[p] * 1.05;
Product call2 = new EuropeanOption(shares[p], strike, exerciseDate);
double value2 = coordinator.Value(new Product[] { call2 }, anchorDate);
double refValue2 = Formulae.BlackScholes(PutOrCall.Call, strike, (exerciseDate - anchorDate) / 365.0, prices[p],
vols[p], 0.07, divYields[p]);
Assert.AreEqual(refValue1, value1, refValue1 * 0.05);
// All at once
double valueAll = coordinator.Value(new Product[] { call0, call1, call2 }, anchorDate);
double refTotal = refValue0 + refValue1 + refValue2;
Assert.AreEqual(refTotal, valueAll, refTotal * 0.05);
}
public void TestDynamicCallFromString()
{
string source =
@"Date exerciseDate = new Date(2017, 08, 28);
Share share = new Share(""AAA"", Currency.ZAR);
double strike = 100.0;
public override List<Cashflow> GetCFs()
{
double amount = Math.Max(0, Get(share, exerciseDate) - strike);
return new List<Cashflow>() { new Cashflow(exerciseDate, amount, share.currency) };
}";
// Make a product at runtime
Product runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Setup an approriate simulation
Share[] shares = new Share[] { new Share("AAA", Currency.ZAR) };// One needs to know the index that will be required by the product to simulate it.
Date valueDate = new Date(2016, 08, 28);
double[] divYield = new double[] { 0.02 };
double[] vol = new double[] { 0.22 };
double[] spotPrice = new double[] { 100.0 };
double[,] correlations = new double[, ] {
{ 1.0 }
};
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate,
new Date[] { valueDate, valueDate.AddMonths(120) },
new double[] { 0.07, 0.07 });
IFloatingRateSource[] rateForecastCurves = new IFloatingRateSource[0];
EquitySimulator sim = new EquitySimulator(shares, spotPrice, vol, divYield,
correlations, discountCurve, rateForecastCurves);
// Value the runtime product
Coordinator coordinator;
coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
double valueRuntime = coordinator.Value(new Product[] { runtimeProduct }, valueDate);
Date exerciseDate = new Date(2017, 08, 28);
double strike = 100.0;
double refValue = Formulae.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
vol[0], 0.07, divYield[0]);
Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
}
public static object FormulaBlackScholes([ExcelArgument(Description = "Strike")] object[,] strike,
[ExcelArgument(Description = "The value date as and Excel date.")] object[,] valueDate,
[ExcelArgument(Description = "The exercise date of the option. Must be greater than the value date.")] object[,] exerciseDate,
[ExcelArgument(Description = "The spot proce of the underlying at the value date.")] object[,] spotPrice,
[ExcelArgument(Description = "Annualized volatility.")] object[,] vol,
[ExcelArgument(Description = "Continuously compounded risk free rate.")] object[,] riskfreeRate,
[ExcelArgument(Description = "Continuously compounded dividend yield.")] object[,] divYield)
{
try {
return(Formulae.BlackScholes(PutOrCall.Call, XU.GetDouble0D(strike, "strike"),
(XU.GetDate0D(exerciseDate, "exerciseDate") - XU.GetDate0D(valueDate, "valueDate")) / 365.0,
XU.GetDouble0D(spotPrice, "spotPrice"), XU.GetDouble0D(vol, "vol"),
XU.GetDouble0D(riskfreeRate, "riskfreeRate"), XU.GetDouble0D(divYield, "divYield")));
} catch (Exception e)
{
return(XU.Error0D(e));
}
}