public void TestLargeImpliedVol()
{
var stock = TestDataHelper.GetStock("RIO");
Assert.AreEqual("RIO", stock.Name);
var stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("24-09-2009"), 5818);
Strike str = new Strike(5800, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 5800 && (fwdExp.ExpiryDate == DateTime.Parse("24-09-2009")))
{
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, false, "A", 450.0, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "P", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 450, 0.01);
}
}
}
}
public void TestImpliedVol2()
{
var stock = TestDataHelper.GetStock("ANZ");
Assert.AreEqual("ANZ", stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
ForwardExpiry fwd = new ForwardExpiry(DateTime.Parse("29-10-2009"), 3676);
Strike str = new Strike(3650, null, null, Units.Cents);
fwd.AddStrike(str, true);
stockObject.VolatilitySurface.AddExpiry(fwd);
foreach (ForwardExpiry fwdExp in stockObject.VolatilitySurface.Expiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
if (strike.StrikePrice == 3650 && (fwdExp.ExpiryDate == DateTime.Parse("29-10-2009")))
{
stockObject.Spot = 3676;
var vol0 = OptionHelper.GetImpliedVol(stockObject, fwdExp.ExpiryDate, strike.StrikePrice, true, "A", 224.5, 120);
AmOptionAnalytics call = new AmOptionAnalytics(stockObject.Date, fwdExp.ExpiryDate, Convert.ToDouble(stockObject.Spot), strike.StrikePrice, vol0, "A", "C", stockObject.RateCurve, stockObject.Dividends, 120);
Assert.AreEqual(call.Price(), 224.5, 0.01);
}
}
}
}
public void TestImpliedVol4()
{
DateTime today = new DateTime(2010, 07, 14);
RateCurve rc = new RateCurve("AUD", "Continuous", DateTime.Parse("14-Jul-2010"), new[] { DateTime.Parse("14-Jul-2010"), DateTime.Parse("28-Jun-2012") }, new[] { 0.045507, 0.050645 });
Dividend d1 = new Dividend(DateTime.Parse("6-9-2010"), 49.90M);
Dividend d2 = new Dividend(DateTime.Parse("28-2-2011"), 54.43M);
Dividend d3 = new Dividend(DateTime.Parse("5-9-2011"), 58.97M);
Dividend d4 = new Dividend(DateTime.Parse("27-2-2012"), 61.24M);
Dividend d5 = new Dividend(DateTime.Parse("3-9-2012"), 65.78M);
Dividend d6 = new Dividend(DateTime.Parse("25-2-2013"), 68.05M);
Dividend d7 = new Dividend(DateTime.Parse("2-9-2013"), 72.58M);
Dividend d8 = new Dividend(DateTime.Parse("2-9-2013"), 72.58M);
Dividend d9 = new Dividend(DateTime.Parse("24-2-2014"), 73.72M);
Dividend d10 = new Dividend(DateTime.Parse("1-9-2014"), 75.99M);
List <Dividend> divCurve = new List <Dividend>()
{
d1, d2, d3, d4, d5, d6, d7, d8, d9, d10
};
var stockObject0 = new Stock(today, 3840, "BHP12JUN4100P.WY", "BHP_Vanilla_ETO_Jun12_41.00_Put", rc, divCurve);
double vol = OptionHelper.GetImpliedVol(stockObject0, DateTime.Parse("28-Jun-2012"), 4100, false, "American", 719, 120);
}
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 TestImpliedVolLargeDiv()
{
var mig = TestDataHelper.GetStock("MIG_20091211.xml");
var migStock = TestHelper.CreateStock(mig);
double vol = OptionHelper.GetImpliedVol(migStock, new DateTime(2010, 01, 28), 0.30, 110, true, "A", 21, 120);
}
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);
}
