private void ResetStrikeOptionParityCalc(String ValuationDate = "2017-12-20", Double vol = 0.28, Double spot = 2.0, Double strike = 1.03, Boolean isCall = true, Boolean isPercentage = true)
{
var valuationDate = DateFromStr(ValuationDate);
var strikefixingDate = valuationDate;
var exerciseDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var option1 = new ResetStrikeOption(
valuationDate,
exerciseDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isPercentage ? ResetStrikeType.PercentagePayoff : ResetStrikeType.NormalPayoff,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { exerciseDate },
new[] { exerciseDate },
strikefixingDate
);
var option2 = new VanillaOption(
valuationDate,
exerciseDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { exerciseDate },
new[] { exerciseDate }
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var engine = new AnalyticalResetStrikeOptionEngine();
var result = engine.Calculate(option1, market, PricingRequest.All);
var engineVanilla = new AnalyticalVanillaEuropeanOptionEngine();
var resultVanilla = engineVanilla.Calculate(option2, market, PricingRequest.All);
var result1 = (isPercentage) ? result.Pv * strike : result.Pv;
Assert.AreEqual(result1, resultVanilla.Pv, 1e-8);
}
private void ResetStrikeOptionGreekCalc(double expectedPv, double expectedDelta, double expectedGamma, double expectedVega, double expectedTheta, double expectedRho,
String ValuationDate = "2017-12-20", Double vol = 0.28, Double spot = 1.0, Double strike = 1.03, Boolean isCall = true, Boolean isPercentage = true)
{
var valuationDate = DateFromStr(ValuationDate);
var strikefixingDate = new Term("50D").Next(valuationDate);
var exerciseDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var option = new ResetStrikeOption(
valuationDate,
exerciseDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isPercentage ? ResetStrikeType.PercentagePayoff : ResetStrikeType.NormalPayoff,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { exerciseDate },
new[] { exerciseDate },
strikefixingDate
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalResetStrikeOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
Assert.AreEqual(expectedPv, analyticalResult.Pv, 1e-8);
Assert.AreEqual(expectedDelta, analyticalResult.Delta, 1e-8);
Assert.AreEqual(expectedGamma, analyticalResult.Gamma, 1e-8);
Assert.AreEqual(expectedVega, analyticalResult.Vega, 1e-8);
Assert.AreEqual(expectedTheta, analyticalResult.Theta, 1e-8);
Assert.AreEqual(expectedRho, analyticalResult.Rho, 1e-8);
}
private void ResetStrikeOptionPnLCalc(double vol = 0.28, double spot = 1.0, double strike = 1.03, Boolean isCall = true, Boolean isPercentage = true,
string t0 = "2017-12-20", string t1 = "2017-12-21", 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 strikefixingDate = new Term("50D").Next(T0);
var exerciseDate = new Term("176D").Next(T0);
var calendar = CalendarImpl.Get("chn");
var valuationDay = t0;
var valuationDayNew = t1;
var option = new ResetStrikeOption(
T0,
exerciseDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isPercentage ? ResetStrikeType.PercentagePayoff : ResetStrikeType.NormalPayoff,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { exerciseDate },
new[] { exerciseDate },
strikefixingDate
);
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 AnalyticalResetStrikeOptionEngine();
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);
}
