[TestMethod] //TODO: fix this one
public void TestFdAmericanOptionEngine()
{
var startDate = new Date(2010, 08, 31);
var endDate = new Date(2016, 08, 31);
var calendar = CalendarImpl.Get("chn");
var option = new VanillaOption(startDate,
endDate,
OptionExercise.American,
OptionType.Call,
3.53,
InstrumentType.Stock,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
calendar.BizDaysBetweenDatesInclEndDay(startDate, endDate).ToArray(),
null,
1.0
);
var engine = new FdAmericanOptionEngine(100);
var result = engine.Calculate(option, TestMarket(), PricingRequest.All);
Assert.AreEqual(result.Pv, 0.4459260143, 1e-8);
Assert.AreEqual(result.Delta, 0.71918151, 1e-8);
Assert.AreEqual(result.Gamma, 0.487730202, 1e-8);
Assert.AreEqual(result.Vega, 0.0177395037, 1e-8);
Assert.AreEqual(result.Theta, -0.00045427, 1e-8);
}
private Bond ZheBaoBondPart()
{
var bond = new Bond(
"010002",
new Date(2017, 8, 17),
new Date(2022, 8, 17),
100.0,
CurrencyCode.CNY,
new StepWiseCoupon(new Dictionary <Date, double>
{
{ new Date(2017, 8, 17), 0.01 },
{ new Date(2018, 8, 17), 0.01 },
{ new Date(2019, 8, 17), 0.01 },
{ new Date(2020, 8, 17), 0.01 },
{ new Date(2021, 8, 17), 0.01 },
},
CalendarImpl.Get("chn_ib")
),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new Act365NoLeap(),
new ModifiedAfb(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaExShg,
redemption: new Qdp.Pricing.Library.Common.Utilities.Redemption(1.03, RedemptionType.SeparatePrincipal)
);
return(bond);
}
/// <summary>
/// Return fixing curve by historicalIndexRates
/// </summary>
/// <param name="settlementDate"></param>
/// <param name="historicalIndexRates"></param>
/// <param name="floatingBondInfo"></param>
/// <returns></returns>
public static InstrumentCurveDefinition GetFixingCurve(string settlementDate, Dictionary <string, Dictionary <string, double> > historicalIndexRates, FloatingRateBondInfo floatingBondInfo)
{
var resetCalendar = CalendarImpl.Get(floatingBondInfo.Calendar);
var index = floatingBondInfo.Index;
var rates = historicalIndexRates[index];
var tradeId = floatingBondInfo.TradeId;
var indexDate = new DayGap(floatingBondInfo.ResetToFixingGap).Get(resetCalendar, settlementDate.ToDate());
var fixingTuple = rates.TryGetValue(indexDate.ToString(), resetCalendar);
var indexRate = rates.GetAverageIndex(fixingTuple.Item1, resetCalendar, floatingBondInfo.ResetAverageDays, floatingBondInfo.ResetRateDigits);
string fixingCurveName = "FixingCurve_" + tradeId;
var fixingRateDefinition = new[]
{
new RateMktData("1D", indexRate, index, "None", fixingCurveName),
new RateMktData("50Y", indexRate, index, "None", fixingCurveName),
};
var curveConvention = new CurveConvention("fixingCurveConvention_" + tradeId,
"CNY",
"ModifiedFollowing",
"Chn_ib",
index == null ? "Act365" : index.ToIndexType().DayCountEnum(),
"Continuous",
"ForwardFlat");
floatingBondInfo.ValuationParamters.FixingCurveName = fixingCurveName;
AddTrades(new [] { floatingBondInfo });
return(new InstrumentCurveDefinition(fixingCurveName, curveConvention, fixingRateDefinition, "ForwardCurve"));
}
private Bond TianJiBondPart()
{
var bond = new Bond(
"010002",
new Date(2015, 6, 8),
new Date(2020, 6, 8),
100,
CurrencyCode.CNY,
new StepWiseCoupon(new Dictionary <Date, double>
{
{ new Date(2015, 6, 8), 0.01 },
{ new Date(2016, 6, 8), 0.01 },
{ new Date(2017, 6, 8), 0.01 },
{ new Date(2018, 6, 8), 0.01 },
{ new Date(2019, 6, 8), 0.01 },
},
CalendarImpl.Get("chn_ib")
),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new Act365NoLeap(),
new ModifiedAfb(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaExShg
);
return(bond);
}
private Bond HangXinBondPart()
{
var bond = new Bond(
"010002",
new Date(2015, 6, 12),
new Date(2021, 6, 12),
100,
CurrencyCode.CNY,
new StepWiseCoupon(new Dictionary <Date, double>
{
{ new Date(2015, 6, 12), 0.002 },
{ new Date(2016, 6, 12), 0.005 },
{ new Date(2017, 6, 12), 0.01 },
{ new Date(2018, 6, 12), 0.015 },
{ new Date(2019, 6, 12), 0.015 },
{ new Date(2020, 6, 12), 0.016 },
},
CalendarImpl.Get("chn_ib")
),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new Act365NoLeap(),
new ModifiedAfb(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaExShg,
redemption: new Redemption(1.07, RedemptionType.SeparatePrincipalWithLastCoupon)
);
return(bond);
}
public void BasicBondTest()
{
var bond = new Bond(
id: "bond",
startDate: new Date(2016, 3, 15),
maturityDate: new Date(2019, 3, 15),
notional: 100.0,
currency: CurrencyCode.CNY,
coupon: new FixedCoupon(0.05),
calendar: CalendarImpl.Get("chn"),
paymentFreq: Frequency.SemiAnnual,
stub: Stub.ShortEnd,
accrualDayCount: new Act365(),
paymentDayCount: new Act365(),
accrualBizDayRule: BusinessDayConvention.ModifiedFollowing,
paymentBizDayRule: BusinessDayConvention.ModifiedFollowing,
settlementGap: new DayGap("+0D"),
bondTradingMarket: TradingMarket.ChinaInterBank);
var engine = new BondEngineCn(new BondYieldPricerCn());
var market = new MarketCondition(
x => x.ValuationDate.Value = new Date(2018, 8, 1),
x => x.MktQuote.Value =
new Dictionary <string, Tuple <PriceQuoteType, double> >
{
{ "bond", Tuple.Create(PriceQuoteType.Clean, 100.0) }
}
);
var result = engine.Calculate(bond, market, PricingRequest.Ytm);
}
public Bond[] CreateBonds()
{
var bondPrices = new Dictionary <string, Tuple <PriceQuoteType, double> >();
var deliverableBonds = File.ReadAllLines(@"./Data/BondFuture/TF1509DeliverableBondInfo.txt")
.Select(x =>
{
var splits = x.Split(',');
bondPrices[splits[0]] = Tuple.Create(PriceQuoteType.Dirty, Convert.ToDouble(splits[6]));
return(new Bond(
splits[0],
new Date(DateTime.Parse(splits[4])),
new Date(DateTime.Parse(splits[5])),
100.0,
CurrencyCode.CNY,
new FixedCoupon(Convert.ToDouble(splits[2])),
CalendarImpl.Get("chn_ib"),
Convert.ToInt32(splits[3]) == 1 ? Frequency.Annual : Frequency.SemiAnnual,
Stub.LongEnd,
new ActActIsma(),
new ActAct(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
new DayGap("0D"),
TradingMarket.ChinaInterBank
));
}).ToArray();
return(deliverableBonds);
}
private static Bond GeliBondPart(String cbTicker)
{
var bond = new Bond(
cbTicker,
new Date(2014, 12, 25),
new Date(2019, 12, 25),
100,
CurrencyCode.CNY,
new StepWiseCoupon(new Dictionary <Date, double>
{
{ new Date(2014, 12, 25), 0.006 },
{ new Date(2015, 12, 25), 0.008 },
{ new Date(2016, 12, 25), 0.01 },
{ new Date(2017, 12, 25), 0.015 },
{ new Date(2018, 12, 25), 0.02 }
},
CalendarImpl.Get("chn_ib")
),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new Act365NoLeap(),
new ModifiedAfb(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaExShg,
redemption: new Redemption(1.06, RedemptionType.SeparatePrincipalWithLastCoupon)
);
return(bond);
}
private void AsianOptionGreekCalc(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 1.0, Double strike = 1.03,
string asianType = "ArithmeticAverage", Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344,
double expectedDelta = 0.431553260493781,
double expectedGamma = 4319.00095926793,
double expectedVega = 0.00146247323594882,
double expectedRho = -1.62432084616776E-06,
double expectedTheta = -0.000398443365606245
)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
#region comment
//var fixings = File.ReadAllLines(@"./Data/HistoricalEquityPrices/hs300.csv")
// .Select(x =>
// {
// var splits = x.Split(',');
// return Tuple.Create(new Date(DateTime.Parse(splits[0])), Double.Parse(splits[1]));
// }).ToDictionary(x => x.Item1, x => x.Item2);
//var initialSpot = fixings[startDate];
//fixings = fixings.Select(x => Tuple.Create(x.Key, x.Value / initialSpot)).Where(x => x.Item1 < startDate).ToDictionary(x => x.Item1, x => x.Item2);
#endregion comment
var option = new AsianOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed:StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>()
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalAsianOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
//var engine = new GenericMonteCarloEngine(2, 30000);
//var result = engine.Calculate(option, market, PricingRequest.All);
//Console.WriteLine("Analytical: {0},{1},{2},{3},{4},{5}", analyticalResult.Pv, analyticalResult.Delta, analyticalResult.Gamma, analyticalResult.Vega, analyticalResult.Rho, analyticalResult.Theta);
//Console.WriteLine("Monte Carlo: {0},{1},{2},{3},{4},{5}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
Assert.AreEqual(analyticalResult.Pv, expectedPv, 1e-1);
Assert.AreEqual(analyticalResult.Delta, expectedDelta, 1e-1);
Assert.AreEqual(analyticalResult.Gamma, expectedGamma, 1e4);
Assert.AreEqual(analyticalResult.Vega, expectedVega, 1e-1);
Assert.AreEqual(analyticalResult.Rho, expectedRho, 1e-1);
Assert.AreEqual(analyticalResult.Theta, expectedTheta, 1e-1);
}
//[TestMethod]
public void AsianArithmeticOptionTest()
{
var valuationDate = DateFromStr("2018-03-14");
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
//var obsDates = new[] { new Date(2018, 3, 14), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
}
public void TestNumberOfBizDates()
{
var cny = CalendarImpl.Get("chn");
var start = new Date(2018, 4, 26); // 2 days
var end = new Date(2018, 5, 4); //3 days
var numDays = cny.NumberBizDaysBetweenDate(start, end, true);
Assert.AreEqual(4, numDays);
}
public void TestTfDeliverableBondCf()
{
var startDates = new[] { new Date(2016, 04, 06), new Date(2016, 04, 06), new Date(2016, 04, 06), };
var maturityDates = new[] { new Date(2016, 06, 15), new Date(2016, 09, 14), new Date(2016, 12, 13), };
var files = new[] { "QbTF1606CfTest.txt", "QbTF1609CfTest.txt", "QbTF1612CfTest.txt" };
var futuresNames = new[] { "TF1606", "TF1609", "TF1612" };
for (var k = 0; k < startDates.Length; ++k)
{
var bondPrices = new Dictionary <string, double>();
var targetConversionFactors = new List <double>();
var bonds = File.ReadAllLines(@"./Data/BondFuture/" + files[k])
.Select(x =>
{
var splits = x.Split(',');
var startDate = new Date(DateTime.Parse(splits[3]));
var maturityDate = new Date(DateTime.Parse(splits[4]));
var rate = Convert.ToDouble(splits[1]);
var frequency = splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual;
targetConversionFactors.Add(Convert.ToDouble(splits[5]));
bondPrices[splits[0]] = Convert.ToDouble(splits[6]);
return(new Bond(
splits[0],
startDate,
maturityDate,
100.0,
CurrencyCode.CNY,
new FixedCoupon(rate),
CalendarImpl.Get("chn_ib"),
frequency,
Stub.LongEnd,
new Act365(),
new Act365(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank));
}).ToArray();
var bondfuture = new BondFutures(
futuresNames[k],
startDates[k],
maturityDates[k],
maturityDates[k],
CalendarImpl.Get("chn"),
bonds,
new Act365()
);
var market = new BondFutureTests().TestMarket("2016-04-06");
for (var i = 0; i < bonds.Length; ++i)
{
Assert.AreEqual(bondfuture.GetConversionFactor(bonds[i], market), targetConversionFactors[i]);
}
}
}
private void CommodityLookbackVanillaComparison(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 240, Double strike = 240,
Boolean isCall = true, Boolean isFixed = true)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
var option = new LookbackOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 1
);
var vanilla = new VanillaOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
notional: 1
);
var market1 = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var market2 = TestMarket(referenceDate: ValuationDate, vol: vol * 0.8, spot: spot);
var analyticalEngine = new AnalyticalLookbackOptionEngine();
var vanillaEngine = new AnalyticalVanillaEuropeanOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market1, PricingRequest.All);
var vanillaResult = vanillaEngine.Calculate(vanilla, market1, PricingRequest.All);
var volResult = analyticalEngine.Calculate(option, market2, PricingRequest.All);
//Floating Lookback Option >= ATM vanilla
//High volatility Floating >= Low volatility Floating
Assert.AreEqual(analyticalResult.Pv >= vanillaResult.Pv, true);
Assert.AreEqual(analyticalResult.Pv >= volResult.Pv, true);
}
private void TradeVolLinearInterpCalc(double expectedValue, Date valuationDate, double tradeOpenVol, double tradeCloseVol, DayCountMode dayCountMode)
{
var startDate = new Date(2018, 3, 21);
var maturityDate = new Date(2018, 5, 21);
var numOfSmoothingDays = 30;
var calendar = CalendarImpl.Get("chn");
double vol = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate, tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
Assert.AreEqual(expectedValue, vol, 1e-10);
}
public void CommodityBinaryEuropeanOptionTest()
{
var goldOption = new BinaryOption(
new Date(2015, 03, 20),
new Date(2015, 06, 16),
OptionExercise.European,
OptionType.Put,
231.733,
InstrumentType.Futures,
BinaryOptionPayoffType.CashOrNothing,
10.0,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { new Date(2015, 06, 16) },
new[] { new Date(2015, 06, 16) },
5.5
);
var market = GetMarket();
IMarketCondition marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = market.GetData <CurveData>("Fr007").YieldCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", market.GetData <CurveData>("Fr007").YieldCurve }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", 240.6 }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", market.GetData <VolSurfMktData>("goldVolSurf").ToImpliedVolSurface(market.ReferenceDate) }
}
);
var engine = new AnalyticalBinaryEuropeanOptionEngine();
var result = engine.Calculate(goldOption, marketCondition, PricingRequest.All);
Assert.AreEqual(0.615985804, result.Pv, 1e-8);
Assert.AreEqual(-0.409184000310747, result.Delta, 1e-8);
Assert.AreEqual(0.239395655872165, result.Gamma, 1e-8);
Assert.AreEqual(0.265082040475919, result.Vega, 1e-8);
Assert.AreEqual(-8.43816170E-07, result.Rho, 1e-8);
var engine2 = new AnalyticalBinaryEuropeanOptionReplicationEngine(2.0, BinaryOptionReplicationStrategy.Up);
result = engine2.Calculate(goldOption, marketCondition, PricingRequest.All);
Assert.AreEqual(1.25655313, result.Pv, 1e-8);
Assert.AreEqual(-0.745647330608376, result.Delta, 1e-8);
Assert.AreEqual(0.377738685022888, result.Gamma, 1e-8);
Assert.AreEqual(0.417379971819684, result.Vega, 1e-8);
Assert.AreEqual(-1.72130447839702E-06, result.Rho, 1e-8);
}
public void TestQbTfDeliverableBondYield()
{
var files = new[] { "QbTF1606CfTest.txt", "QbTF1609CfTest.txt", "QbTF1612CfTest.txt" };
for (var k = 0; k < files.Length; ++k)
{
var bondPrices = new Dictionary <string, Tuple <PriceQuoteType, double> >();
var targetYtm = new List <double>();
var targetAi = new List <double>();
var bonds = File.ReadAllLines(@"./Data/BondFuture/" + files[k])
.Select(x =>
{
var splits = x.Split(',');
var startDate = new Date(DateTime.Parse(splits[3]));
var maturityDate = new Date(DateTime.Parse(splits[4]));
var rate = Convert.ToDouble(splits[1]);
var frequency = splits[2] == "Annual" ? Frequency.Annual : Frequency.SemiAnnual;
targetYtm.Add(Convert.ToDouble(splits[8]));
targetAi.Add(Convert.ToDouble(splits[6]) - Convert.ToDouble(splits[7]));
bondPrices[splits[0]] = Tuple.Create(PriceQuoteType.Dirty, Convert.ToDouble(splits[6]));
return(new Bond(
splits[0],
startDate,
maturityDate,
100.0,
CurrencyCode.CNY,
new FixedCoupon(rate),
CalendarImpl.Get("chn_ib"),
frequency,
Stub.LongEnd,
new ActActIsma(),
new ActActIsma(),
BusinessDayConvention.None,
BusinessDayConvention.None,
null,
TradingMarket.ChinaInterBank));
}).ToArray();
var market = new BondFutureTests().TestMarket("2016-04-06", bondPrices);
var engine = new BondEngine();
for (var i = 0; i < bonds.Length; ++i)
{
var result = engine.Calculate(bonds[i], market, PricingRequest.Ytm | PricingRequest.Ai);
Assert.AreEqual(Math.Round(result.Ai, 4), targetAi[i], 1e-5);
Assert.AreEqual(Math.Round(result.Ytm, 6), targetYtm[i], 1e-7);
}
}
}
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 AsianOptionGTJACalc(String ValuationDate = "2018-06-29", Double vol = 0.12, Double spot = 1820, Double strike = 1850, string asianType = "ArithmeticAverage", Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = DateFromStr("2018-11-01");
var calendar = CalendarImpl.Get("chn");
var obsStartDate = DateFromStr("2018-10-01");
var obsDates = calendar.BizDaysBetweenDatesInclEndDay(obsStartDate, maturityDate).ToArray();
#region comment
//var fixings = File.ReadAllLines(@"./Data/HistoricalEquityPrices/hs300.csv")
// .Select(x =>
// {
// var splits = x.Split(',');
// return Tuple.Create(new Date(DateTime.Parse(splits[0])), Double.Parse(splits[1]));
// }).ToDictionary(x => x.Item1, x => x.Item2);
//var initialSpot = fixings[startDate];
//fixings = fixings.Select(x => Tuple.Create(x.Key, x.Value / initialSpot)).Where(x => x.Item1 < startDate).ToDictionary(x => x.Item1, x => x.Item2);
#endregion comment
var option = new AsianOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.CommodityFutures,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 30000
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalAsianOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
//var engine = new GenericMonteCarloEngine(2, 30000);
//var result = engine.Calculate(option, market, PricingRequest.All);
//Console.WriteLine("Analytical: {0},{1},{2},{3},{4},{5}", analyticalResult.Pv, analyticalResult.Delta, analyticalResult.Gamma, analyticalResult.Vega, analyticalResult.Rho, analyticalResult.Theta);
//Console.WriteLine("Monte Carlo: {0},{1},{2},{3},{4},{5}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
Assert.AreEqual(analyticalResult.Pv, expectedPv, 1e-1);
}
private void TradeVolLinearInterpSlopeCalc(double tradeOpenVol, double tradeCloseVol, DayCountMode dayCountMode = DayCountMode.TradingDay)
{
var startDate = new Date(2018, 3, 21);
var maturityDate = new Date(2018, 5, 21);
var valuationDate = new Date[] { new Date(2018, 3, 22), new Date(2018, 3, 23), new Date(2018, 3, 26) };
var numOfSmoothingDays = 30;
var calendar = CalendarImpl.Get("chn");
double vol1 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[0], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
double vol2 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[1], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
double vol3 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[2], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
Assert.AreEqual(vol2 - vol1, vol3 - vol2, 1e-10);
}
private void SpreadOptionBjerksundCalc(string spreadType = "TwoAssetsSpread", Boolean isCall = true, string ValuationDate = "2017-12-26", double vol1 = 0.28, double spot1 = 1.0, double vol2 = 0.30, double spot2 = 2.0,
double vol3 = 0.28, double spot3 = 1.0, double vol4 = 0.28, double spot4 = 1.0, double strike = 1.03, double tol = 1e-8)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var asset3 = "asset3";
var asset4 = "asset4";
var option = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: (isCall) ? OptionType.Call : OptionType.Put,
spreadType: ToSpreadType(spreadType),
strike: strike,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var market = TestMarket(referenceDate: ValuationDate, vol1: vol1, vol2: vol2, vol3: vol3, vol4: vol4, spot1: spot1, spot2: spot2, spot3: spot3, spot4: spot4,
asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
var analyticalEngine = new AnalyticalSpreadOptionBjerksundEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
var Engine = new AnalyticalSpreadOptionKirkEngine();
var Result = Engine.Calculate(option, market, PricingRequest.All);
Assert.AreEqual(analyticalResult.Pv, Result.Pv, tol);
}
private void SpreadOptionGreekCalc(double ExpectedPv, string spreadType = "TwoAssetsSpread", string ValuationDate = "2017-12-26")
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var asset3 = "asset3";
var asset4 = "asset4";
var option = new SpreadOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: OptionType.Call,
spreadType: ToSpreadType(spreadType),
strike: 1.03,
weights: new double[] { 1.0, 1.0, 1.0, 1.0 },
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2, asset3, asset4 }
)
{
UnderlyingTickers = new string[] { asset1, asset2, asset3, asset4 }
};
var market = TestMarket(referenceDate: ValuationDate, asset1: asset1, asset2: asset2, asset3: asset3, asset4: asset4);
//var analyticalEngine = new AnalyticalSpreadOptionEngine();
//var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
var Engine = new AnalyticalSpreadOptionKirkEngine();
var Result = Engine.Calculate(option, market, PricingRequest.All);
//Assert.AreEqual(ExpectedPv, analyticalResult.Pv, 1e-8);
Assert.AreEqual(ExpectedPv, Result.Pv, 1e-8);
}
private void CommodityLookbackOptionGreekCalc(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 240, Double strike = 240,
Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344,
double expectedDelta = 0.431553260493781,
double expectedGamma = 4319.00095926793,
double expectedVega = 0.00146247323594882,
double expectedRho = -1.62432084616776E-06,
double expectedTheta = -0.000398443365606245
)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
var option = new LookbackOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 1
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalLookbackOptionEngine();
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(expectedRho, analyticalResult.Rho, 1e-8);
Assert.AreEqual(expectedTheta, analyticalResult.Theta, 1e-8);
}
public void Fr007CurveConstructionTest()
{
var historiclIndexRates = HistoricalDataLoadHelper.HistoricalIndexRates;
var fr007CurveName = "Swap_Fr007";
var fr007CurveConvention = new CurveConvention("fr007CurveConvention",
"CNY",
"ModifiedFollowing",
"Chn_ib",
"Act365",
"Continuous",
"CubicHermiteMonotic");
var rateDefinition = new[]
{
new RateMktData("1D", 0.0431, "Fr007", "Deposit", fr007CurveName),
new RateMktData("7D", 0.053, "Fr007", "Deposit", fr007CurveName),
new RateMktData("3M", 0.0494, "Fr007", "InterestRateSwap", fr007CurveName),
new RateMktData("6M", 0.0493, "Fr007", "InterestRateSwap", fr007CurveName),
};
var curveDefinition = new[]
{
new InstrumentCurveDefinition(fr007CurveName, fr007CurveConvention, rateDefinition, "SpotCurve")
};
var marketInfo = new MarketInfo("tmpMarket", "2014-02-10", curveDefinition, historiclIndexRates);
var temp = CalendarImpl.Get("chn_ib");
QdpMarket market = null;
var time1 = DateTime.Now;
for (var i = 0; i <= 10; ++i)
{
var result = MarketFunctions.BuildMarket(marketInfo, out market);
}
var time2 = DateTime.Now;
Console.WriteLine("{0}ms", (time2 - time1).TotalMilliseconds);
var fr007Curve = market.GetData <CurveData>(fr007CurveName).YieldCurve;
Assert.AreEqual(fr007Curve.KeyPoints[0].Item2, 0.0430974555290732, 1e-4); // use IrsFloatingLegPvReal
Assert.AreEqual(fr007Curve.KeyPoints[3].Item2, 0.048992349561639, 1e-4); // use IrsFloatingLegPvReal
}
public static Date GetFxSpotDate(Date startDate,
DayGap settlement,
CurrencyCode fgnCcy,
CurrencyCode domCcy,
ICalendar fgnCalendar,
ICalendar domCalendar)
{
//中国外汇交易中心产品指引(外汇市场)V1.8 58页
var foreignSpotDate = settlement.Get(fgnCalendar, startDate);
var domesticSpotDate = settlement.Get(domCalendar, startDate);
var usdCalendar = CalendarImpl.Get(Calendar.Usd);
if (fgnCcy == CurrencyCode.USD)
{
if (!usdCalendar.IsHoliday(domesticSpotDate))
{
return(domesticSpotDate);
}
}
if (domCcy == CurrencyCode.USD)
{
if (!usdCalendar.IsHoliday(foreignSpotDate))
{
return(foreignSpotDate);
}
}
var guessSettlementDate = foreignSpotDate > domesticSpotDate ? foreignSpotDate : domesticSpotDate;
if (usdCalendar.IsHoliday(guessSettlementDate) || fgnCalendar.IsHoliday(guessSettlementDate) || domCalendar.IsHoliday(guessSettlementDate))
{
//find next biz day for foreign currency and domestic currency
while (fgnCalendar.IsHoliday(guessSettlementDate) || domCalendar.IsHoliday(guessSettlementDate))
{
guessSettlementDate = new Term("1D").Next(guessSettlementDate);
}
return(guessSettlementDate);
}
return(guessSettlementDate);
}
public void TestAsianOptionPvAgainistHaugerExcel()
{
var startDate = new Date(2015, 03, 19);
var maturityDate = new Term("183D").Next(startDate);
var calendar = CalendarImpl.Get("chn");
var oneWeek = new Term("7D");
var dates = new List <Date>()
{
new Date(2015, 03, 20)
};
for (int i = 1; i < 27; i++)
{
dates.Add(oneWeek.Next(dates[i - 1]));
}
var option = new AsianOption(
startDate,
maturityDate,
OptionExercise.European,
OptionType.Call,
AsianType.DiscreteArithmeticAverage,
StrikeStyle.Fixed,
100,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
dates.ToArray(),
new Dictionary <Date, double>()
);
var market = TestMarket2();
var analyticalEngine = new AnalyticalAsianOptionEngineLegacy();
var result = analyticalEngine.Calculate(option, market, PricingRequest.All);
Console.WriteLine("{0},{1},{2},{3},{4}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho);
//Note: originally was 1.9622573116
Assert.AreEqual(2.91746104388858, result.Pv, 1e-8);
}
private VanillaOption CreateOption(Double strike, Date expiry, Date firstConversionDate, Boolean American = true)
{
var americanNoticeDates = CalendarImpl.Get("chn").BizDaysBetweenDates(new Date(2015, 06, 30), new Date(2019, 12, 25)).ToArray();
var exerciseStyle = American ? OptionExercise.American : OptionExercise.European;
var noticeDates = American ? americanNoticeDates : new Date[] { expiry };
return(new VanillaOption(firstConversionDate,
expiry,
exerciseStyle,
OptionType.Call,
strike,
InstrumentType.Stock,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
noticeDates,
noticeDates
));
}
public void TestCallableBond()
{
var bond = new Bond(
"010001",
new Date(2012, 05, 03),
new Date(2017, 05, 03),
100,
CurrencyCode.CNY,
new FixedCoupon(0.068),
CalendarImpl.Get("chn_ib"),
Frequency.Annual,
Stub.LongEnd,
new ActActIsma(),
new ActAct(),
BusinessDayConvention.None,
BusinessDayConvention.ModifiedFollowing,
null,
TradingMarket.ChinaInterBank
);
var option = new VanillaOption(new Date(2012, 05, 03),
new Date(2017, 05, 03),
OptionExercise.European,
OptionType.Put,
106.8,
InstrumentType.Bond,
CalendarImpl.Get("chn_ib"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { new Date(2015, 05, 03) },
new[] { new Date(2015, 05, 03) }
);
var callableBond = new CallableBond(bond, new[] { option }, new[] { PriceQuoteType.Dirty });
var market = TestMarket();
var engine = new CallableBondEngine <HullWhite>(new HullWhite(0.1, 0.01), true, 40);
var result = engine.Calculate(callableBond, market, PricingRequest.All);
Assert.AreEqual(107.0198942139, result.Pv, 1e-8);
}
private void RainbowOptionGreekCalc(double ExpectedPv, string rainbowType = "Max", string ValuationDate = "2017-12-18", double vol = 0.28, double spot = 1.0, double volNew = 0.30, double spotNew = 2.0,
double strike1 = 1.03, double strike2 = 1.05, Boolean isCall = true)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var asset1 = "asset1";
var asset2 = "asset2";
var option = new RainbowOption(
startDate: valuationDate,
maturityDate: maturityDate,
exercise: OptionExercise.European,
optionType: isCall ? OptionType.Call : OptionType.Put,
rainbowType: ToRainbowType(rainbowType),
strikes: new double[] { strike1, strike2 },
cashAmount: 1.0,
underlyingInstrumentType: InstrumentType.EquityIndex,
calendar: calendar,
dayCount: new Act365(),
payoffCcy: CurrencyCode.CNY,
settlementCcy: CurrencyCode.CNY,
exerciseDates: new[] { maturityDate },
observationDates: new[] { maturityDate },
underlyingTickers: new[] { asset1, asset2 }
)
{
UnderlyingTickers = new string[] { asset1, asset2 }
};
var market = TestMarket(referenceDate: ValuationDate, vol: vol, volNew: volNew, spot: spot, spotNew: spotNew, asset1: asset1, asset2: asset2);
var analyticalEngine = new AnalyticalRainbowOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
Assert.AreEqual(ExpectedPv, analyticalResult.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);
}
public void TestVanillaEuropeanCallMc()
{
var startDate = new Date(2014, 03, 18);
var maturityDate = new Date(2015, 03, 18);
var market = TestMarket();
var call = new VanillaOption(startDate,
maturityDate,
OptionExercise.European,
OptionType.Call,
1.0,
InstrumentType.Stock,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
new[] { maturityDate });
var mcengine = new GenericMonteCarloEngine(2, 200000);
var result = mcengine.Calculate(call, market, PricingRequest.All);
var analyticalResult = new AnalyticalVanillaEuropeanOptionEngine().Calculate(call, market, PricingRequest.All);
Console.WriteLine("{0},{1}", analyticalResult.Pv, result.Pv);
Console.WriteLine("{0},{1}", analyticalResult.Delta, result.Delta);
Console.WriteLine("{0},{1}", analyticalResult.Gamma, result.Gamma);
Console.WriteLine("{0},{1}", analyticalResult.Vega, result.Vega);
Console.WriteLine("{0},{1}", analyticalResult.Rho, result.Rho);
Console.WriteLine("{0},{1}", analyticalResult.Theta, result.Theta);
Assert.AreEqual(analyticalResult.Pv, result.Pv, 0.002);
Assert.AreEqual(analyticalResult.Delta, result.Delta, 0.02);
Assert.AreEqual(analyticalResult.Gamma, result.Gamma, 0.05);
Assert.AreEqual(analyticalResult.Theta, result.Theta, 1e-5);
Assert.AreEqual(analyticalResult.Rho, result.Rho, 1e-6);
Assert.AreEqual(analyticalResult.Vega, result.Vega, 1e-4);
}
