public void testMonteCarloLookback()
{
double tolerance = 0.1;
DayCounter dc = new Actual360();
Date today = Date.Today;
double strike = 90;
double t = 1;
double t1 = 0.25;
Date exDate = today + Convert.ToInt32(t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
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);
spot.setValue(100);
qRate.setValue(0);
rRate.setValue(0.06);
vol.setValue(0.1);
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
Option.Type[] types = new Option.Type[] { Option.Type.Call, Option.Type.Put };
for (int i = 0; i < types.Length; i++)
{
Option.Type type = types[i];
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
/**
* Partial Fixed
* **/
Date lookbackStart = today + Convert.ToInt32(t1 * 360 + 0.5);
ContinuousPartialFixedLookbackOption partialFixedLookback
= new ContinuousPartialFixedLookbackOption(lookbackStart,
payoff,
exercise);
IPricingEngine engine =
new AnalyticContinuousPartialFixedLookbackEngine(stochProcess);
partialFixedLookback.setPricingEngine(engine);
double analytical = partialFixedLookback.NPV();
IPricingEngine mcpartialfixedengine =
new MakeMCLookbackEngine <ContinuousPartialFixedLookbackOption.Arguments, ContinuousPartialFixedLookbackOption.Results,
PseudoRandom, Statistics>(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
partialFixedLookback.setPricingEngine(mcpartialfixedengine);
double monteCarlo = partialFixedLookback.NPV();
double diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Partial Fixed", type, analytical, monteCarlo, tolerance);
}
/**
* Fixed
* **/
double minMax = 100;
ContinuousFixedLookbackOption fixedLookback
= new ContinuousFixedLookbackOption(minMax,
payoff,
exercise);
IPricingEngine analyticalfixedengine =
new AnalyticContinuousFixedLookbackEngine(stochProcess);
fixedLookback.setPricingEngine(analyticalfixedengine);
analytical = fixedLookback.NPV();
IPricingEngine mcfixedengine =
new MakeMCLookbackEngine <ContinuousFixedLookbackOption.Arguments, ContinuousFixedLookbackOption.Results,
PseudoRandom, Statistics>(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
fixedLookback.setPricingEngine(mcfixedengine);
monteCarlo = fixedLookback.NPV();
diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Fixed", type, analytical, monteCarlo, tolerance);
}
/**
* Partial Floating
* **/
double lambda = 1;
Date lookbackEnd = today + Convert.ToInt32(t1 * 360 + 0.5);
FloatingTypePayoff floatingPayoff = new FloatingTypePayoff(type);
ContinuousPartialFloatingLookbackOption partialFloating
= new ContinuousPartialFloatingLookbackOption(minMax,
lambda,
lookbackEnd,
floatingPayoff,
exercise);
IPricingEngine analyticalpartialFloatingengine =
new AnalyticContinuousPartialFloatingLookbackEngine(stochProcess);
partialFloating.setPricingEngine(analyticalpartialFloatingengine);
analytical = partialFloating.NPV();
IPricingEngine mcpartialfloatingengine =
new MakeMCLookbackEngine <ContinuousPartialFloatingLookbackOption.Arguments, ContinuousPartialFloatingLookbackOption.Results,
PseudoRandom, Statistics>
(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
partialFloating.setPricingEngine(mcpartialfloatingengine);
monteCarlo = partialFloating.NPV();
diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Partial Floating", type, analytical, monteCarlo, tolerance);
}
/**
* Floating
* **/
ContinuousFloatingLookbackOption floating =
new ContinuousFloatingLookbackOption(minMax,
floatingPayoff,
exercise);
IPricingEngine analyticalFloatingengine =
new AnalyticContinuousFloatingLookbackEngine(stochProcess);
floating.setPricingEngine(analyticalFloatingengine);
analytical = floating.NPV();
IPricingEngine mcfloatingengine =
new MakeMCLookbackEngine <ContinuousFloatingLookbackOption.Arguments, ContinuousFloatingLookbackOption.Results,
PseudoRandom, Statistics>
(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
floating.setPricingEngine(mcfloatingengine);
monteCarlo = floating.NPV();
diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Floating", type, analytical, monteCarlo, tolerance);
}
}
}
public void testAnalyticContinuousFixedLookback()
{
// Testing analytic continuous fixed-strike lookback options
LookbackOptionData[] values =
{
// data from "Option Pricing Formulas", Haug, 1998, pg.63-64
//type, strike, minmax, s, q, r, t, v, l, t1, result, tol
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 13.2687, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 18.9263, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 24.9857, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 8.5126, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 14.1702, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 20.2296, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 4.3908, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 9.8905, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 15.8512, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 18.3241, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 26.0731, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 34.7116, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 13.8000, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 21.5489, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 30.1874, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 9.5445, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 17.2965, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 25.9002, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 0.6899, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 4.4448, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 8.9213, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 3.3917, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 8.3177, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 13.1579, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 8.1478, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 13.0739, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 17.9140, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 1.0534, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 6.2813, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 12.2376, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 3.8079, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 10.1294, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 16.3889, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 8.3321, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 14.6536, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 20.9130, 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 + 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);
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));
IPricingEngine engine = new AnalyticContinuousFixedLookbackEngine(stochProcess);
ContinuousFixedLookbackOption option = new ContinuousFixedLookbackOption(values[i].minmax,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_FIXED("value", values[i].minmax, payoff, exercise,
values[i].s, values[i].q, values[i].r, today,
values[i].v, expected, calculated, error,
values[i].tol);
}
}
}
