public unsafe void PriceTestQuanto()
{
double maturity = 3.0;
double strike = 100.0;
int nbSamples = 1000000;
double currFXRate = 1.0;
double[] interestRates = new double[2] {
0.05, 0.05
};
double[] spots = new double[2] {
100.0, currFXRate *Math.Exp(-interestRates[1] * maturity)
};
double[] volatilities = new double[2] {
0.05, 0.00
};
double[] correlations = new double[4] {
1.0, 0.0, 0.0, 1.0
};
double price;
double ic;
API1.PriceQuanto(
maturity, //maturity in years
strike, //strike when applicable
nbSamples, //nbSamples
spots, //spots
volatilities, //volatilities
interestRates, //interest rate
correlations, //correlations
0.0,
spots,
&price,
&ic);
double date = 0.0;
//price et ics contiennent prix et intervalle de couverture selon le pricer
double realPrice = TestsQuanto.RealPriceCallQuanto(maturity,
strike,
spots,
volatilities,
interestRates,
correlations,
date);
Assert.IsTrue((realPrice < price + 1.5 * ic / 2) || (realPrice > price - 1.5 * ic / 2));
}
public void DeltaTest0()
{
double maturity = 3.0;
double strike = 100.0;
int nbSamples = 10000;
double currFXRate = 1.2;
double[] interestRates = new double[2] {
0.05, 0.03
};;
double[] spots = new double[2] {
100.0, currFXRate *Math.Exp(-interestRates[1] * maturity)
};
double[] volatilities = new double[2] {
0.01, 0.02
};
double[] correlations = new double[4] {
1.0, 0.05, 0.05, 1.0
};
//call quanto = une seule monnaie pour l'actif (un actif quoi), elle est etrangère
API1.SimulDeltasQuanto(
maturity,
strike,
nbSamples,
spots,
volatilities,
interestRates,
correlations,
0,
spots,
out IntPtr deltasAssets,
out IntPtr deltasFXRates);
double date = 0.0;
//price et ics contiennent prix et intervalle de couverture selon le pricer
double[] realDelta = TestsQuanto.RealDeltaQuanto0(maturity,
strike,
spots,
volatilities,
interestRates,
correlations,
new double[1] {
currFXRate
},
date);
double[] deltas = new double[2];
double[] tmp = new double[1];
System.Runtime.InteropServices.Marshal.Copy(deltasAssets, tmp, 0, 1);
deltas[0] = tmp[0];
System.Runtime.InteropServices.Marshal.Copy(deltasFXRates, tmp, 0, 1);
deltas[1] = tmp[0];
double realPrice = TestsQuanto.RealPriceCallQuanto(maturity, strike, spots, volatilities, interestRates, correlations, 0);
double tmpD = realPrice - realDelta[0] * spots[0] * currFXRate - realDelta[1] * Math.Exp(-interestRates[0] * maturity);
tmpD /= spots[1];
realDelta[1] = tmpD;
Assert.IsTrue(Math.Abs((realDelta[0] - deltas[0]) / deltas[0]) < 0.05);
}