public void BinRelativeLongDated()
{
double _spot = 26.4;
double _strike = 40.0;
double[] _rt = { 0.0531835066,
0.0533209825,
0.0505847905,
0.0476071704,
0.0462601791,
0.0413960339,
0.0395067537,
0.0391989121,
0.0397679692,
0.0409565679,
0.0424276371,
0.0436165574,
0.0447919141,
0.0459378964,
0.047129656,
0.0483301138,
0.0490433005,
0.049747259,
0.0504720079,
0.051218 };
int[] _rtdays = { 3, 33, 66, 95, 119, 210,
301, 392, 483,
574, 665, 733, 825, 914,
1006, 1098, 1190,
1280, 1372, 1466 };
int[] _dvdays = { 101, 297, 465, 661, 829, 1025, 1193, 1389 };
double[] _dd = { 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1 };
double _vol = 0.50;
DateTime _today = new DateTime(2008, 11, 14);
DateTime _expiry = new DateTime(2012, 05, 17);
int _steps = 120;
string _style = "American";
double _tau = _expiry.Subtract(_today).Days / 365.0;
string _smoothing = "N";
BinomialTreePricer lhs = new BinomialTreePricer(_spot, _strike, false, _tau, _vol, _steps, true, _style, _smoothing, _rtdays, _rt, _dvdays, _dd, typeof(EquityDiscreteDivTree));
double price = lhs.GetPrice();
double delta = lhs.GetDelta();
double gamma = lhs.GetGamma();
double vega = lhs.GetVega();
double theta = lhs.GetTheta();
//Price
Assert.AreEqual(7.20339, price, 0.001);
//Delta
Assert.AreEqual(0.5685058, delta, 0.001);
//Gamma
Assert.AreEqual(0.0162134, gamma, 0.001);
//Vega
Assert.AreEqual(0.191464, vega, 0.001);
//Theta
Assert.AreEqual(-0.0048253, theta, 0.001);
}
public void TestBinomialRelativeCall()
{
SetUpExampleOption1();
BinomialTreePricer lhs = new BinomialTreePricer(spot, strike, false, tau, vol, steps, true, style, smoothing, rtdays, rtamts, divdays, dd, typeof(EquityPropDivTree));
double price = lhs.GetPrice();
double delta = lhs.GetDelta();
double gamma = lhs.GetGamma();
double vega = lhs.GetVega();
double theta = lhs.GetTheta();
Assert.AreEqual(19.19592, price, 0.0001);
Assert.AreEqual(0.59397, delta, 0.0001);
Assert.AreEqual(0.00832, gamma, 0.0001);
Assert.AreEqual(0.36613, vega, 0.0001);
Assert.AreEqual(-0.02997, theta, 0.0001);
}
public void TestBinomialRelativePut()
{
SetUpExampleOption1();
BinomialTreePricer lhs = new BinomialTreePricer(spot, strike, true, tau, vol, steps, true, style, smoothing, rtdays, rtamts, divdays, dd, typeof(EquityPropDivTree));
double price = lhs.GetPrice();
double delta = lhs.GetDelta();
double gamma = lhs.GetGamma();
double vega = lhs.GetVega();
double theta = lhs.GetTheta();
Assert.AreEqual(20.79427, price, 0.0001);
Assert.AreEqual(-0.4023769, delta, 0.0001);
Assert.AreEqual(0.00721022, gamma, 0.0001);
Assert.AreEqual(0.35311, vega, 0.0001);
Assert.AreEqual(-0.0155038, theta, 0.0001);
}
public void DiscreteDivAtExpiry()
{
double _spot = 385.5;
double _strike = 400;
double[] _rt = { 0.0425,
0.0452,
0.0457,
0.0462 };
int[] _rtdays = { 1, 32, 63, 93 };
int[] _dvdays = { 0, 48 };
double[] _divs = { 20, 10 };
double _vol = 0.2046;
DateTime _today = new DateTime(2010, 05, 07);
DateTime _expiry = new DateTime(2010, 06, 24);
double _tau = _expiry.Subtract(_today).Days / 365.0;
int _steps = 120;
string _style = "American";
string _smoothing = "N";
BinomialTreePricer lhs = new BinomialTreePricer(_spot, _strike, true, _tau, _vol, _steps, true, _style, _smoothing, _rtdays, _rt, _dvdays, _divs, typeof(EquityPropDivTree));
double price = lhs.GetPrice();
double delta = lhs.GetDelta();
double gamma = lhs.GetGamma();
double vega = lhs.GetVega();
double theta = lhs.GetTheta();
//Price
Assert.AreEqual(25.7028, price, 0.001);
//Delta
Assert.AreEqual(-0.74884, delta, 0.001);
//Gamma
Assert.AreEqual(0.01041, gamma, 0.001);
//Vega
Assert.AreEqual(0.42628, vega, 0.001);
//Theta
Assert.AreEqual(-0.0512, theta, 0.001);
}