public void testMonteCarloLookback()
{
double tolerance = 0.1;
DayCounter dc = new Actual360();
Date today = Date.Today;
double strike = 90;
double t = 1;
double t1 = 0.25;
Date exDate = today + Convert.ToInt32(t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
spot.setValue(100);
qRate.setValue(0);
rRate.setValue(0.06);
vol.setValue(0.1);
BlackScholesMertonProcess stochProcess =
new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
Option.Type[] types = new Option.Type[] { Option.Type.Call, Option.Type.Put };
for (int i = 0; i < types.Length; i++)
{
Option.Type type = types[i];
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
/**
* Partial Fixed
* **/
Date lookbackStart = today + Convert.ToInt32(t1 * 360 + 0.5);
ContinuousPartialFixedLookbackOption partialFixedLookback
= new ContinuousPartialFixedLookbackOption(lookbackStart,
payoff,
exercise);
IPricingEngine engine =
new AnalyticContinuousPartialFixedLookbackEngine(stochProcess);
partialFixedLookback.setPricingEngine(engine);
double analytical = partialFixedLookback.NPV();
IPricingEngine mcpartialfixedengine =
new MakeMCLookbackEngine <ContinuousPartialFixedLookbackOption.Arguments, ContinuousPartialFixedLookbackOption.Results,
PseudoRandom, Statistics>(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
partialFixedLookback.setPricingEngine(mcpartialfixedengine);
double monteCarlo = partialFixedLookback.NPV();
double diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Partial Fixed", type, analytical, monteCarlo, tolerance);
}
/**
* Fixed
* **/
double minMax = 100;
ContinuousFixedLookbackOption fixedLookback
= new ContinuousFixedLookbackOption(minMax,
payoff,
exercise);
IPricingEngine analyticalfixedengine =
new AnalyticContinuousFixedLookbackEngine(stochProcess);
fixedLookback.setPricingEngine(analyticalfixedengine);
analytical = fixedLookback.NPV();
IPricingEngine mcfixedengine =
new MakeMCLookbackEngine <ContinuousFixedLookbackOption.Arguments, ContinuousFixedLookbackOption.Results,
PseudoRandom, Statistics>(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
fixedLookback.setPricingEngine(mcfixedengine);
monteCarlo = fixedLookback.NPV();
diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Fixed", type, analytical, monteCarlo, tolerance);
}
/**
* Partial Floating
* **/
double lambda = 1;
Date lookbackEnd = today + Convert.ToInt32(t1 * 360 + 0.5);
FloatingTypePayoff floatingPayoff = new FloatingTypePayoff(type);
ContinuousPartialFloatingLookbackOption partialFloating
= new ContinuousPartialFloatingLookbackOption(minMax,
lambda,
lookbackEnd,
floatingPayoff,
exercise);
IPricingEngine analyticalpartialFloatingengine =
new AnalyticContinuousPartialFloatingLookbackEngine(stochProcess);
partialFloating.setPricingEngine(analyticalpartialFloatingengine);
analytical = partialFloating.NPV();
IPricingEngine mcpartialfloatingengine =
new MakeMCLookbackEngine <ContinuousPartialFloatingLookbackOption.Arguments, ContinuousPartialFloatingLookbackOption.Results,
PseudoRandom, Statistics>
(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
partialFloating.setPricingEngine(mcpartialfloatingengine);
monteCarlo = partialFloating.NPV();
diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Partial Floating", type, analytical, monteCarlo, tolerance);
}
/**
* Floating
* **/
ContinuousFloatingLookbackOption floating =
new ContinuousFloatingLookbackOption(minMax,
floatingPayoff,
exercise);
IPricingEngine analyticalFloatingengine =
new AnalyticContinuousFloatingLookbackEngine(stochProcess);
floating.setPricingEngine(analyticalFloatingengine);
analytical = floating.NPV();
IPricingEngine mcfloatingengine =
new MakeMCLookbackEngine <ContinuousFloatingLookbackOption.Arguments, ContinuousFloatingLookbackOption.Results,
PseudoRandom, Statistics>
(stochProcess)
.withSteps(2000)
.withAntitheticVariate()
.withSeed(1)
.withAbsoluteTolerance(tolerance)
.value();
floating.setPricingEngine(mcfloatingengine);
monteCarlo = floating.NPV();
diff = Math.Abs(analytical - monteCarlo);
if (diff > tolerance)
{
REPORT_FAILURE_MC("Floating", type, analytical, monteCarlo, tolerance);
}
}
}
public void testRegression()
{
// Testing fixed-coupon convertible bond in known regression case
Date today = new Date(23, Month.December, 2008);
Date tomorrow = today + 1;
Settings.Instance.setEvaluationDate(tomorrow);
Handle <Quote> u = new Handle <Quote>(new SimpleQuote(2.9084382818797443));
List <Date> dates = new InitializedList <Date>(25);
List <double> forwards = new InitializedList <double>(25);
dates[0] = new Date(29, Month.December, 2008); forwards[0] = 0.0025999342800;
dates[1] = new Date(5, Month.January, 2009); forwards[1] = 0.0025999342800;
dates[2] = new Date(29, Month.January, 2009); forwards[2] = 0.0053123275500;
dates[3] = new Date(27, Month.February, 2009); forwards[3] = 0.0197049598721;
dates[4] = new Date(30, Month.March, 2009); forwards[4] = 0.0220524845296;
dates[5] = new Date(29, Month.June, 2009); forwards[5] = 0.0217076395643;
dates[6] = new Date(29, Month.December, 2009); forwards[6] = 0.0230349627478;
dates[7] = new Date(29, Month.December, 2010); forwards[7] = 0.0087631647476;
dates[8] = new Date(29, Month.December, 2011); forwards[8] = 0.0219084299499;
dates[9] = new Date(31, Month.December, 2012); forwards[9] = 0.0244798766219;
dates[10] = new Date(30, Month.December, 2013); forwards[10] = 0.0267885498456;
dates[11] = new Date(29, Month.December, 2014); forwards[11] = 0.0266922867562;
dates[12] = new Date(29, Month.December, 2015); forwards[12] = 0.0271052126386;
dates[13] = new Date(29, Month.December, 2016); forwards[13] = 0.0268829891648;
dates[14] = new Date(29, Month.December, 2017); forwards[14] = 0.0264594744498;
dates[15] = new Date(31, Month.December, 2018); forwards[15] = 0.0273450367424;
dates[16] = new Date(30, Month.December, 2019); forwards[16] = 0.0294852614749;
dates[17] = new Date(29, Month.December, 2020); forwards[17] = 0.0285556119719;
dates[18] = new Date(29, Month.December, 2021); forwards[18] = 0.0305557764659;
dates[19] = new Date(29, Month.December, 2022); forwards[19] = 0.0292244738422;
dates[20] = new Date(29, Month.December, 2023); forwards[20] = 0.0263917004194;
dates[21] = new Date(29, Month.December, 2028); forwards[21] = 0.0239626970243;
dates[22] = new Date(29, Month.December, 2033); forwards[22] = 0.0216417108090;
dates[23] = new Date(29, Month.December, 2038); forwards[23] = 0.0228343838422;
dates[24] = new Date(31, Month.December, 2199); forwards[24] = 0.0228343838422;
Handle <YieldTermStructure> r = new Handle <YieldTermStructure>(new InterpolatedForwardCurve <BackwardFlat>(dates, forwards, new Actual360()));
Handle <BlackVolTermStructure> sigma = new Handle <BlackVolTermStructure>(new BlackConstantVol(tomorrow, new NullCalendar(), 21.685235548092248,
new Thirty360(Thirty360.Thirty360Convention.BondBasis)));
BlackProcess process = new BlackProcess(u, r, sigma);
Handle <Quote> spread = new Handle <Quote>(new SimpleQuote(0.11498700678012874));
Date issueDate = new Date(23, Month.July, 2008);
Date maturityDate = new Date(1, Month.August, 2013);
Calendar calendar = new UnitedStates();
Schedule schedule = new MakeSchedule().from(issueDate)
.to(maturityDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(calendar)
.withConvention(BusinessDayConvention.Unadjusted).value();
int settlementDays = 3;
Exercise exercise = new EuropeanExercise(maturityDate);
double conversionRatio = 100.0 / 20.3175;
List <double> coupons = new InitializedList <double>(schedule.size() - 1, 0.05);
DayCounter dayCounter = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
CallabilitySchedule no_callability = new CallabilitySchedule();
DividendSchedule no_dividends = new DividendSchedule();
double redemption = 100.0;
ConvertibleFixedCouponBond bond = new ConvertibleFixedCouponBond(exercise, conversionRatio,
no_dividends, no_callability,
spread, issueDate, settlementDays,
coupons, dayCounter,
schedule, redemption);
bond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein> (process, 600));
try
{
double x = bond.NPV(); // should throw; if not, an INF was not detected.
QAssert.Fail("INF result was not detected: " + x + " returned");
}
catch (Exception)
{
// as expected. Do nothing.
// Note: we're expecting an Error we threw, not just any
// exception. If something else is thrown, then there's
// another problem and the test must fail.
}
}
public void testAnalyticContinuousFloatingLookback()
{
// Testing analytic continuous floating-strike lookback options
LookbackOptionData[] values =
{
// data from "Option Pricing Formulas", Haug, 1998, pg.61-62
new LookbackOptionData(Option.Type.Call, 0, 100, 120.0, 0.06, 0.10, 0.50, 0.30, 0, 0, 25.3533, 1.0e-4),
// data from "Connecting discrete and continuous path-dependent options",
// Broadie, Glasserman & Kou, 1999, pg.70-74
new LookbackOptionData(Option.Type.Call, 0, 100, 100.0, 0.00, 0.05, 1.00, 0.30, 0, 0, 23.7884, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 100, 100.0, 0.00, 0.05, 0.20, 0.30, 0, 0, 10.7190, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 100, 110.0, 0.00, 0.05, 0.20, 0.30, 0, 0, 14.4597, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 15.3526, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 16.8468, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 120, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 21.0645, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
FloatingTypePayoff payoff = new FloatingTypePayoff(values[i].type);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticContinuousFloatingLookbackEngine(stochProcess);
ContinuousFloatingLookbackOption option = new ContinuousFloatingLookbackOption(values[i].minmax,
payoff,
exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_FLOATING("value", values[i].minmax, payoff,
exercise, values[i].s, values[i].q,
values[i].r, today, values[i].v,
expected, calculated, error,
values[i].tol);
}
}
}
public void testAnalyticContinuousPartialFloatingLookback()
{
// Testing analytic continuous partial floating-strike lookback options...");
LookbackOptionData[] values =
{
// data from "Option Pricing Formulas, Second Edition", Haug, 2006, pg.146
//type, strike, minmax, s, q, r, t, v, l, t1, result, tol
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.1, 1, 0.25, 8.6524, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.1, 1, 0.5, 9.2128, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.1, 1, 0.75, 9.5567, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.1, 1, 0.25, 10.5751, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.1, 1, 0.5, 11.2601, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.1, 1, 0.75, 11.6804, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.2, 1, 0.25, 13.3402, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.2, 1, 0.5, 14.5121, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.2, 1, 0.75, 15.314, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.2, 1, 0.25, 16.3047, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.2, 1, 0.5, 17.737, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.2, 1, 0.75, 18.7171, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.3, 1, 0.25, 17.9831, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.3, 1, 0.5, 19.6618, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 90, 90, 0, 0.06, 1, 0.3, 1, 0.75, 20.8493, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.3, 1, 0.25, 21.9793, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.3, 1, 0.5, 24.0311, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 0, 110, 110, 0, 0.06, 1, 0.3, 1, 0.75, 25.4825, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.1, 1, 0.25, 2.7189, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.1, 1, 0.5, 3.4639, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.1, 1, 0.75, 4.1912, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.1, 1, 0.25, 3.3231, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.1, 1, 0.5, 4.2336, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.1, 1, 0.75, 5.1226, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.2, 1, 0.25, 7.9153, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.2, 1, 0.5, 9.5825, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.2, 1, 0.75, 11.0362, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.2, 1, 0.25, 9.6743, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.2, 1, 0.5, 11.7119, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.2, 1, 0.75, 13.4887, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.3, 1, 0.25, 13.4719, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.3, 1, 0.5, 16.1495, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 90, 90, 0, 0.06, 1, 0.3, 1, 0.75, 18.4071, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.3, 1, 0.25, 16.4657, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.3, 1, 0.5, 19.7383, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 0, 110, 110, 0, 0.06, 1, 0.3, 1, 0.75, 22.4976, 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
FloatingTypePayoff payoff = new FloatingTypePayoff(values[i].type);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticContinuousPartialFloatingLookbackEngine(stochProcess);
Date lookbackEnd = today + Convert.ToInt32(values[i].t1 * 360 + 0.5);
ContinuousPartialFloatingLookbackOption option = new ContinuousPartialFloatingLookbackOption(
values[i].minmax, values[i].l, lookbackEnd, payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_FLOATING("value", values[i].minmax, payoff,
exercise, values[i].s, values[i].q,
values[i].r, today, values[i].v,
expected, calculated, error,
values[i].tol);
}
}
}
public void testVannaVolgaDoubleBarrierValues()
{
// Testing double-barrier FX options against Vanna/Volga values
SavedSettings backup = new SavedSettings();
DoubleBarrierFxOptionData[] values =
{
// BarrierType, barr.1, barr.2, rebate, type, strike, s, q, r, t, vol25Put, volAtm,vol25Call, vol, result, tol
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.14413, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.07456, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02710, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.00569, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Call, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.00013, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.00017, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.00353, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02221, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.06049, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.1, 1.5, 0.0, Option.Type.Put, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.11103, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Call, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.14486, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Call, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.07534, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Call, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02707, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Call, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.00536, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Call, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 4.14862e-005, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Put, 1.13321, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.11638, 0.00095, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Put, 1.22687, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.10088, 0.00437, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Put, 1.31179, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08925, 0.02224, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Put, 1.38843, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08463, 0.06021, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.1, 1.5, 0.0, Option.Type.Put, 1.46047, 1.30265, 0.0003541, 0.0033871, 1.0, 0.10087, 0.08925, 0.08463, 0.08412, 0.11100, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.19981, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.10389, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03555, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.00634, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Call, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.00436, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03173, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.09346, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockOut, 1.0, 1.6, 0.0, Option.Type.Put, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.17704, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Call, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.20202, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Call, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.10521, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Call, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03589, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Call, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.00601, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Call, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.00000, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Put, 1.06145, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.12511, 0.00153, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Put, 1.19545, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.10890, 0.00578, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Put, 1.32238, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09444, 0.03218, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Put, 1.44298, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09197, 0.09325, 1.0e-4),
new DoubleBarrierFxOptionData(DoubleBarrier.Type.KnockIn, 1.0, 1.6, 0.0, Option.Type.Put, 1.56345, 1.30265, 0.0009418, 0.0039788, 2.0, 0.10891, 0.09525, 0.09197, 0.09261, 0.17804, 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = new Date(05, Month.Mar, 2013);
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol25Put = new SimpleQuote(0.0);
SimpleQuote volAtm = new SimpleQuote(0.0);
SimpleQuote vol25Call = new SimpleQuote(0.0);
for (int i = 0; i < values.Length; i++)
{
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol25Put.setValue(values[i].vol25Put);
volAtm.setValue(values[i].volAtm);
vol25Call.setValue(values[i].vol25Call);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + (int)(values[i].t * 365 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Handle <DeltaVolQuote> volAtmQuote = new Handle <DeltaVolQuote>(
new DeltaVolQuote(new Handle <Quote>(volAtm), DeltaVolQuote.DeltaType.Fwd, values[i].t,
DeltaVolQuote.AtmType.AtmDeltaNeutral));
//always delta neutral atm
Handle <DeltaVolQuote> vol25PutQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(-0.25,
new Handle <Quote>(vol25Put), values[i].t, DeltaVolQuote.DeltaType.Fwd));
Handle <DeltaVolQuote> vol25CallQuote = new Handle <DeltaVolQuote>(new DeltaVolQuote(0.25,
new Handle <Quote>(vol25Call), values[i].t, DeltaVolQuote.DeltaType.Fwd));
DoubleBarrierOption doubleBarrierOption = new DoubleBarrierOption(values[i].barrierType,
values[i].barrier1, values[i].barrier2, values[i].rebate, payoff, exercise);
double bsVanillaPrice = Utils.blackFormula(values[i].type, values[i].strike,
spot.value() * qTS.discount(values[i].t) / rTS.discount(values[i].t),
values[i].v * Math.Sqrt(values[i].t), rTS.discount(values[i].t));
IPricingEngine vannaVolgaEngine;
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(rTS),
new Handle <YieldTermStructure>(qTS),
(process, series) => new WulinYongDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
double calculated = doubleBarrierOption.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
vannaVolgaEngine = new VannaVolgaDoubleBarrierEngine(volAtmQuote, vol25PutQuote, vol25CallQuote,
new Handle <Quote> (spot),
new Handle <YieldTermStructure> (rTS),
new Handle <YieldTermStructure> (qTS),
(process, series) => new AnalyticDoubleBarrierEngine(process, series),
true,
bsVanillaPrice);
doubleBarrierOption.setPricingEngine(vannaVolgaEngine);
calculated = doubleBarrierOption.NPV();
expected = values[i].result;
error = Math.Abs(calculated - expected);
double maxtol = 5.0e-3; // different engines have somewhat different results
if (error > maxtol)
{
REPORT_FAILURE_VANNAVOLGA("value", values[i].barrierType,
values[i].barrier1, values[i].barrier2,
values[i].rebate, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].vol25Put,
values[i].volAtm, values[i].vol25Call, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
public void testEuroTwoValues()
{
// Testing two-asset European basket options...
/*
* Data from:
* Excel spreadsheet www.maths.ox.ac.uk/~firth/computing/excel.shtml
* and
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 56-58
* European two asset max basket options
*/
BasketOptionTwoData[] values =
{
// basketType, optionType, strike, s1, s2, q1, q2, r, t, v1, v2, rho, result, tol
// data from http://www.maths.ox.ac.uk/~firth/computing/excel.shtml
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 10.898, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 8.483, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 6.844, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 5.531, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 4.413, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.70, 0.00, 4.981, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.30, 0.00, 4.159, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.10, 0.00, 2.597, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.10, 0.50, 4.030, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 17.565, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 19.980, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 21.619, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 22.932, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 24.049, 1.1e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 16.508, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 80.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 8.049, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 120.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 30.141, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 120.0, 120.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 42.889, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 11.369, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 12.856, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 13.890, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 14.741, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 15.485, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 0.50, 0.30, 0.30, 0.10, 11.893, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 0.25, 0.30, 0.30, 0.10, 8.881, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 2.00, 0.30, 0.30, 0.10, 19.268, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 7.339, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 5.853, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 4.818, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 3.967, 1.1e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 3.223, 1.0e-3),
// basketType, optionType, strike, s1, s2, q1, q2, r, t, v1, v2, rho, result, tol
// data from "Option pricing formulas" VB code + spreadsheet
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 4.8177, 1.0e-4),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 11.6323, 1.0e-4),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 2.0376, 1.0e-4),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 0.5731, 1.0e-4),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 2.9340, 1.0e-4),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 3.5224, 1.0e-4),
// data from "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 58
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 8.0701, 1.0e-4),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 1.2181, 1.0e-4),
/* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 59-60
* Kirk approx. for a european spread option on two futures*/
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, -0.5, 4.7530, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, 0.0, 3.7970, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, 0.5, 2.5537, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, -0.5, 5.4275, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, 0.0, 4.3712, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, 0.5, 3.0086, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, -0.5, 5.4061, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, 0.0, 4.3451, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, 0.5, 2.9723, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, -0.5, 10.7517, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, 0.0, 8.7020, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, 0.5, 6.0257, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, -0.5, 12.1941, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, 0.0, 9.9340, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, 0.5, 7.0067, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, -0.5, 12.1483, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, 0.0, 9.8780, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, 0.5, 6.9284, 1.0e-3)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot1 = new SimpleQuote(0.0);
SimpleQuote spot2 = new SimpleQuote(0.0);
SimpleQuote qRate1 = new SimpleQuote(0.0);
YieldTermStructure qTS1 = Utilities.flatRate(today, qRate1, dc);
SimpleQuote qRate2 = new SimpleQuote(0.0);
YieldTermStructure qTS2 = Utilities.flatRate(today, qRate2, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol1 = new SimpleQuote(0.0);
BlackVolTermStructure volTS1 = Utilities.flatVol(today, vol1, dc);
SimpleQuote vol2 = new SimpleQuote(0.0);
BlackVolTermStructure volTS2 = Utilities.flatVol(today, vol2, dc);
//double mcRelativeErrorTolerance = 0.01;
//double fdRelativeErrorTolerance = 0.01;
for (int i = 0; i < values.Length; i++)
{
PlainVanillaPayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + (int)(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot1.setValue(values[i].s1);
spot2.setValue(values[i].s2);
qRate1.setValue(values[i].q1);
qRate2.setValue(values[i].q2);
rRate.setValue(values[i].r);
vol1.setValue(values[i].v1);
vol2.setValue(values[i].v2);
IPricingEngine analyticEngine = null;
GeneralizedBlackScholesProcess p1 = null, p2 = null;
switch (values[i].basketType)
{
case BasketType.MaxBasket:
case BasketType.MinBasket:
p1 = new BlackScholesMertonProcess(new Handle <Quote>(spot1),
new Handle <YieldTermStructure>(qTS1),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS1));
p2 = new BlackScholesMertonProcess(new Handle <Quote>(spot2),
new Handle <YieldTermStructure>(qTS2),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS2));
analyticEngine = new StulzEngine(p1, p2, values[i].rho);
break;
case BasketType.SpreadBasket:
p1 = new BlackProcess(new Handle <Quote>(spot1),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS1));
p2 = new BlackProcess(new Handle <Quote>(spot2),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS2));
analyticEngine = new KirkEngine((BlackProcess)p1, (BlackProcess)p2, values[i].rho);
break;
default:
Utils.QL_FAIL("unknown basket type");
break;
}
List <StochasticProcess1D> procs = new List <StochasticProcess1D> {
p1, p2
};
Matrix correlationMatrix = new Matrix(2, 2, values[i].rho);
for (int j = 0; j < 2; j++)
{
correlationMatrix[j, j] = 1.0;
}
StochasticProcessArray process = new StochasticProcessArray(procs, correlationMatrix);
//IPricingEngine mcEngine = MakeMCEuropeanBasketEngine<PseudoRandom, Statistics>(process)
// .withStepsPerYear(1)
// .withSamples(10000)
// .withSeed(42);
//IPricingEngine fdEngine = new Fd2dBlackScholesVanillaEngine(p1, p2, values[i].rho, 50, 50, 15);
BasketOption basketOption = new BasketOption(basketTypeToPayoff(values[i].basketType, payoff), exercise);
// analytic engine
basketOption.setPricingEngine(analyticEngine);
double calculated = basketOption.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_2("value", values[i].basketType, payoff, exercise,
values[i].s1, values[i].s2, values[i].q1,
values[i].q2, values[i].r, today, values[i].v1,
values[i].v2, values[i].rho, values[i].result,
calculated, error, values[i].tol);
}
// // fd engine
// basketOption.setPricingEngine(fdEngine);
// calculated = basketOption.NPV();
// double relError = relativeError(calculated, expected, expected);
// if (relError > mcRelativeErrorTolerance )
// {
// REPORT_FAILURE_2("FD value", values[i].basketType, payoff,
// exercise, values[i].s1, values[i].s2,
// values[i].q1, values[i].q2, values[i].r,
// today, values[i].v1, values[i].v2, values[i].rho,
// values[i].result, calculated, relError,
// fdRelativeErrorTolerance);
// }
//// mc engine
//basketOption.setPricingEngine(mcEngine);
//calculated = basketOption.NPV();
//relError = relativeError(calculated, expected, values[i].s1);
//if (relError > mcRelativeErrorTolerance )
//{
// REPORT_FAILURE_2("MC value", values[i].basketType, payoff,
// exercise, values[i].s1, values[i].s2,
// values[i].q1, values[i].q2, values[i].r,
// today, values[i].v1, values[i].v2, values[i].rho,
// values[i].result, calculated, relError,
// mcRelativeErrorTolerance);
//}
}
}
public void testAnalyticHestonHullWhitePricing()
{
// Testing analytic Heston Hull-White option pricing
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.Instance.setEvaluationDate(today);
// construct a strange yield curve to check drifts and discounting
// of the joint stochastic process
List <Date> dates = new List <Date>();
List <double> times = new List <double>();
List <double> rates = new List <double>(), divRates = new List <double>();
for (int i = 0; i <= 40; ++i)
{
dates.Add(today + new Period(i, TimeUnit.Years));
// FLOATING_POINT_EXCEPTION
rates.Add(0.03 + 0.0001 * Math.Exp(Math.Sin(i / 4.0)));
divRates.Add(0.02 + 0.0002 * Math.Exp(Math.Sin(i / 3.0)));
times.Add(dc.yearFraction(today, dates.Last()));
}
Date maturity = today + new Period(5, TimeUnit.Years);
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(new InterpolatedZeroCurve <Linear>(dates, rates, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(new InterpolatedZeroCurve <Linear>(dates, divRates, dc));
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, s0, 0.08, 1.5, 0.0625, 0.5, -0.8);
HestonModel hestonModel = new HestonModel(hestonProcess);
HullWhiteForwardProcess hwFwdProcess = new HullWhiteForwardProcess(rTS, 0.01, 0.01);
hwFwdProcess.setForwardMeasureTime(dc.yearFraction(today, maturity));
HullWhite hullWhiteModel = new HullWhite(rTS, hwFwdProcess.a(), hwFwdProcess.sigma());
double tol = 0.002;
double[] strike = { 80, 120 };
Option.Type[] types = { Option.Type.Put, Option.Type.Call };
for (int i = 0; i < types.Length; ++i)
{
for (int j = 0; j < strike.Length; ++j)
{
HybridHestonHullWhiteProcess jointProcess = new HybridHestonHullWhiteProcess(hestonProcess,
hwFwdProcess, 0.0, HybridHestonHullWhiteProcess.Discretization.Euler);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strike[j]);
Exercise exercise = new EuropeanExercise(maturity);
VanillaOption optionHestonHW = new VanillaOption(payoff, exercise);
optionHestonHW.setPricingEngine(new MakeMCHestonHullWhiteEngine <PseudoRandom, Statistics>(jointProcess)
.withSteps(1)
.withAntitheticVariate()
.withControlVariate()
.withAbsoluteTolerance(tol)
.withSeed(42).getAsPricingEngine());
VanillaOption optionPureHeston = new VanillaOption(payoff, exercise);
optionPureHeston.setPricingEngine(new AnalyticHestonHullWhiteEngine(hestonModel, hullWhiteModel, 128));
double calculated = optionHestonHW.NPV();
double error = optionHestonHW.errorEstimate();
double expected = optionPureHeston.NPV();
if (Math.Abs(calculated - expected) > 3 * error &&
Math.Abs(calculated - expected) > tol)
{
QAssert.Fail("Failed to reproduce hw heston vanilla prices"
+ "\n strike: " + strike[j]
+ "\n calculated: " + calculated
+ "\n error: " + error
+ "\n expected: " + expected);
}
}
}
}
public void testFdEuropeanValues()
{
// Testing finite-difference dividend European option values...
SavedSettings backup = new SavedSettings();
double tolerance = 1.0e-2;
int gridPoints = 300;
int timeSteps = 40;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
// Rate qRates[] = { 0.00, 0.10, 0.30 };
// Analytic dividend may not be handling q correctly
double[] qRates = { 0.00 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.40 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new FDDividendEuropeanEngine(stochProcess, timeSteps, gridPoints);
IPricingEngine ref_engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
DividendVanillaOption ref_option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
ref_option.setPricingEngine(ref_engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
// FLOATING_POINT_EXCEPTION
double calculated = option.NPV();
if (calculated > spot.value() * 1.0e-5)
{
double expected = ref_option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
}
}
}
}
}
}
}
public void testCompareBsmHWandHestonHW()
{
// Comparing European option pricing for a BSM process with one-factor Hull-White model
DayCounter dc = new Actual365Fixed();
Date today = Date.Today;
Settings.Instance.setEvaluationDate(today);
Handle <Quote> spot = new Handle <Quote>(new SimpleQuote(100.0));
List <Date> dates = new List <Date>();
List <double> rates = new List <double>(), divRates = new List <double>();
for (int i = 0; i <= 40; ++i)
{
dates.Add(today + new Period(i, TimeUnit.Years));
// FLOATING_POINT_EXCEPTION
rates.Add(0.01 + 0.0002 * Math.Exp(Math.Sin(i / 4.0)));
divRates.Add(0.02 + 0.0001 * Math.Exp(Math.Sin(i / 5.0)));
}
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(
new InterpolatedZeroCurve <Linear>(dates, rates, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(
new InterpolatedZeroCurve <Linear>(dates, divRates, dc));
SimpleQuote vol = new SimpleQuote(0.25);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(spot, qTS, rTS, volTS);
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, spot,
vol.value() * vol.value(), 1.0, vol.value() * vol.value(), 1e-4, 0.0);
HestonModel hestonModel = new HestonModel(hestonProcess);
HullWhite hullWhiteModel = new HullWhite(new Handle <YieldTermStructure>(rTS), 0.01, 0.01);
IPricingEngine bsmhwEngine = new AnalyticBSMHullWhiteEngine(0.0, bsmProcess, hullWhiteModel);
IPricingEngine hestonHwEngine = new AnalyticHestonHullWhiteEngine(hestonModel, hullWhiteModel, 128);
double tol = 1e-5;
double[] strike = { 0.25, 0.5, 0.75, 0.8, 0.9, 1.0, 1.1, 1.2, 1.5, 2.0, 4.0 };
int[] maturity = { 1, 2, 3, 5, 10, 15, 20, 25, 30 };
Option.Type[] types = { Option.Type.Put, Option.Type.Call };
for (int i = 0; i < types.Length; ++i)
{
for (int j = 0; j < strike.Length; ++j)
{
for (int l = 0; l < maturity.Length; ++l)
{
Date maturityDate = today + new Period(maturity[l], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(maturityDate);
double fwd = strike[j] * spot.link.value()
* qTS.link.discount(maturityDate) / rTS.link.discount(maturityDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], fwd);
EuropeanOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(bsmhwEngine);
double calculated = option.NPV();
option.setPricingEngine(hestonHwEngine);
double expected = option.NPV();
if (Math.Abs(calculated - expected) > calculated * tol &&
Math.Abs(calculated - expected) > tol)
{
QAssert.Fail("Failed to reproduce npvs"
+ "\n calculated: " + calculated
+ "\n expected : " + expected
+ "\n strike : " + strike[j]
+ "\n maturity : " + maturity[l]
+ "\n type : "
+ ((types[i] == QLCore.Option.Type.Put) ? "Put" : "Call"));
}
}
}
}
}
public void testBsmHullWhiteEngine()
{
// Testing European option pricing for a BSM process with one-factor Hull-White model
DayCounter dc = new Actual365Fixed();
Date today = Date.Today;
Date maturity = today + new Period(20, TimeUnit.Years);
Settings.Instance.setEvaluationDate(today);
Handle <Quote> spot = new Handle <Quote>(new SimpleQuote(100.0));
SimpleQuote qRate = new SimpleQuote(0.04);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0525);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, rRate, dc));
SimpleQuote vol = new SimpleQuote(0.25);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
// FLOATING_POINT_EXCEPTION
HullWhite hullWhiteModel = new HullWhite(new Handle <YieldTermStructure>(rTS), 0.00883, 0.00526);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(spot, qTS, rTS, volTS);
Exercise exercise = new EuropeanExercise(maturity);
double fwd = spot.link.value() * qTS.link.discount(maturity) / rTS.link.discount(maturity);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, fwd);
EuropeanOption option = new EuropeanOption(payoff, exercise);
double tol = 1e-8;
double[] corr = { -0.75, -0.25, 0.0, 0.25, 0.75 };
double[] expectedVol = { 0.217064577, 0.243995801, 0.256402830, 0.268236596, 0.290461343 };
for (int i = 0; i < corr.Length; ++i)
{
IPricingEngine bsmhwEngine = new AnalyticBSMHullWhiteEngine(corr[i], stochProcess, hullWhiteModel);
option.setPricingEngine(bsmhwEngine);
double npv = option.NPV();
Handle <BlackVolTermStructure> compVolTS = new Handle <BlackVolTermStructure>(
Utilities.flatVol(today, expectedVol[i], dc));
BlackScholesMertonProcess bsProcess = new BlackScholesMertonProcess(spot, qTS, rTS, compVolTS);
IPricingEngine bsEngine = new AnalyticEuropeanEngine(bsProcess);
EuropeanOption comp = new EuropeanOption(payoff, exercise);
comp.setPricingEngine(bsEngine);
double impliedVol = comp.impliedVolatility(npv, bsProcess, 1e-10, 100);
if (Math.Abs(impliedVol - expectedVol[i]) > tol)
{
QAssert.Fail("Failed to reproduce implied volatility"
+ "\n calculated: " + impliedVol
+ "\n expected : " + expectedVol[i]);
}
if (Math.Abs((comp.NPV() - npv) / npv) > tol)
{
QAssert.Fail("Failed to reproduce NPV"
+ "\n calculated: " + npv
+ "\n expected : " + comp.NPV());
}
if (Math.Abs(comp.delta() - option.delta()) > tol)
{
QAssert.Fail("Failed to reproduce NPV"
+ "\n calculated: " + npv
+ "\n expected : " + comp.NPV());
}
if (Math.Abs((comp.gamma() - option.gamma()) / npv) > tol)
{
QAssert.Fail("Failed to reproduce NPV"
+ "\n calculated: " + npv
+ "\n expected : " + comp.NPV());
}
if (Math.Abs((comp.theta() - option.theta()) / npv) > tol)
{
QAssert.Fail("Failed to reproduce NPV"
+ "\n calculated: " + npv
+ "\n expected : " + comp.NPV());
}
if (Math.Abs((comp.vega() - option.vega()) / npv) > tol)
{
QAssert.Fail("Failed to reproduce NPV"
+ "\n calculated: " + npv
+ "\n expected : " + comp.NPV());
}
}
}
static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Option.Type optionType = Option.Type.Put;
double underlyingPrice = 36;
double strikePrice = 40;
double dividendYield = 0.0;
double riskFreeRate = 0.06;
double volatility = 0.2;
Date todaysDate = new Date(17, Month.May, 1998);
Settings.instance().setEvaluationDate(todaysDate);
Date settlementDate = new Date(17, Month.May, 1998);
Date maturityDate = new Date(17, Month.May, 1999);
Calendar calendar = new TARGET();
DateVector exerciseDates = new DateVector(4);
for (int i = 1; i <= 4; i++)
{
Period forwardPeriod = new Period(3 * i, TimeUnit.Months);
Date forwardDate = settlementDate.Add(forwardPeriod);
exerciseDates.Add(forwardDate);
}
EuropeanExercise europeanExercise =
new EuropeanExercise(maturityDate);
BermudanExercise bermudanExercise =
new BermudanExercise(exerciseDates);
AmericanExercise americanExercise =
new AmericanExercise(settlementDate, maturityDate);
// bootstrap the yield/dividend/vol curves and create a
// BlackScholesMerton stochastic process
DayCounter dayCounter = new Actual365Fixed();
YieldTermStructureHandle flatRateTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, riskFreeRate,
dayCounter));
YieldTermStructureHandle flatDividendTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, dividendYield,
dayCounter));
BlackVolTermStructureHandle flatVolTSH =
new BlackVolTermStructureHandle(
new BlackConstantVol(settlementDate, calendar,
volatility, dayCounter));
QuoteHandle underlyingQuoteH =
new QuoteHandle(new SimpleQuote(underlyingPrice));
BlackScholesMertonProcess stochasticProcess =
new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH,
flatRateTSH,
flatVolTSH);
PlainVanillaPayoff payoff =
new PlainVanillaPayoff(optionType, strikePrice);
// options
VanillaOption europeanOption =
new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption =
new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption =
new VanillaOption(payoff, americanExercise);
// report the parameters we are using
ReportParameters(optionType, underlyingPrice, strikePrice,
dividendYield, riskFreeRate,
volatility, maturityDate);
// write out the column headings
ReportHeadings();
#region Analytic Formulas
// Black-Scholes for European
try {
europeanOption.setPricingEngine(
new AnalyticEuropeanEngine(stochasticProcess));
ReportResults("Black-Scholes",
europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Barone-Adesi and Whaley approximation for American
try {
americanOption.setPricingEngine(
new BaroneAdesiWhaleyEngine(stochasticProcess));
ReportResults("Barone-Adesi/Whaley",
null, null, americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Bjerksund and Stensland approximation for American
try {
americanOption.setPricingEngine(
new BjerksundStenslandEngine(stochasticProcess));
ReportResults("Bjerksund/Stensland",
null, null, americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Integral
try {
europeanOption.setPricingEngine(
new IntegralEngine(stochasticProcess));
ReportResults("Integral",
europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
uint timeSteps = 801;
// Finite differences
try {
europeanOption.setPricingEngine(
new FDEuropeanEngine(stochasticProcess,
timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(
new FDBermudanEngine(stochasticProcess,
timeSteps, timeSteps - 1));
americanOption.setPricingEngine(
new FDAmericanEngine(stochasticProcess,
timeSteps, timeSteps - 1));
ReportResults("Finite differences",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
//Variance Gamma
try
{
VarianceGammaProcess vgProcess = new VarianceGammaProcess(underlyingQuoteH,
flatDividendTSH,
flatRateTSH,
volatility, 0.01, 0.0
);
europeanOption.setPricingEngine(
new VarianceGammaEngine(vgProcess));
ReportResults("Variance-Gamma",
europeanOption.NPV(), null, null);
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
#endregion Analytic Formulas
#region Binomial Methods
// Binomial Jarrow-Rudd
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"jarrowrudd", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"jarrowrudd", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"jarrowrudd", timeSteps));
ReportResults("Binomial Jarrow-Rudd",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Cox-Ross-Rubinstein
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"coxrossrubinstein", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"coxrossrubinstein", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"coxrossrubinstein", timeSteps));
ReportResults("Binomial Cox-Ross-Rubinstein",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Additive Equiprobabilities
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"eqp", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"eqp", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"eqp", timeSteps));
ReportResults("Additive Equiprobabilities",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Trigeorgis
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"trigeorgis", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"trigeorgis", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"trigeorgis", timeSteps));
ReportResults("Binomial Trigeorgis",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Tian
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"tian", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"tian", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"tian", timeSteps));
ReportResults("Binomial Tian",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Leisen-Reimer
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"leisenreimer", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"leisenreimer", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"leisenreimer", timeSteps));
ReportResults("Binomial Leisen-Reimer",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Joshi
try {
europeanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"joshi4", timeSteps));
bermudanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"joshi4", timeSteps));
americanOption.setPricingEngine(
new BinomialVanillaEngine(stochasticProcess,
"joshi4", timeSteps));
ReportResults("Binomial Joshi",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
#endregion Binomial Methods
#region Monte Carlo Methods
// quantlib appears to use max numeric (int and real) values to test for 'null' (or rather 'default') values
// MC (crude)
try {
string traits = "pseudorandom";
int mcTimeSteps = 1;
int timeStepsPerYear = int.MaxValue;
bool brownianBridge = false;
bool antitheticVariate = false;
int requiredSamples = int.MaxValue;
double requiredTolerance = 1e-2;
int maxSamples = int.MaxValue;
int seed = 42;
europeanOption.setPricingEngine(
new MCEuropeanEngine(stochasticProcess,
traits, mcTimeSteps,
timeStepsPerYear,
brownianBridge,
antitheticVariate,
requiredSamples,
requiredTolerance,
maxSamples, seed));
ReportResults("MC (crude)", europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// MC (Sobol)
try {
string traits = "lowdiscrepancy";
int mcTimeSteps = 1;
int timeStepsPerYear = int.MaxValue;
bool brownianBridge = false;
bool antitheticVariate = false;
int requiredSamples = 32768; // 2^15
double requiredTolerance = 1e-2; //double.MaxValue;
int maxSamples = int.MaxValue;
int seed = 0;
europeanOption.setPricingEngine(
new MCEuropeanEngine(stochasticProcess,
traits, mcTimeSteps,
timeStepsPerYear,
brownianBridge,
antitheticVariate,
requiredSamples,
requiredTolerance, maxSamples, seed));
ReportResults("MC (Sobol)", europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// MC (Longstaff Schwartz)
/*
* try {
* // MCAmericanEngine is not currently exposed in SWIG
* //americanOption.setPricingEngine(new MCAmericanEngine());
* ReportResults("MC (Longstaff Schwartz)", null, null, null);
* }
* catch (Exception e) {
* Console.WriteLine(e.ToString());
* }
*/
#endregion Monte Carlo Methods
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
private void testOptionGreeks(ForwardVanillaEngine.GetOriginalEngine getEngine)
{
SavedSettings backup = new SavedSettings();
Dictionary <String, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance["delta"] = 1.0e-5;
tolerance["gamma"] = 1.0e-5;
tolerance["theta"] = 1.0e-5;
tolerance["rho"] = 1.0e-5;
tolerance["divRho"] = 1.0e-5;
tolerance["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] moneyness = { 0.9, 1.0, 1.1 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
Frequency[] frequencies = { Frequency.Semiannual, Frequency.Quarterly, };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
BlackScholesMertonProcess process = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < moneyness.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
for (int kk = 0; kk < frequencies.Length; kk++)
{
EuropeanExercise maturity = new EuropeanExercise(today + new Period(lengths[k], TimeUnit.Years));
PercentageStrikePayoff payoff = new PercentageStrikePayoff(types[i], moneyness[j]);
List <Date> reset = new List <Date>();
for (Date d = today + new Period(frequencies[kk]);
d < maturity.lastDate();
d += new Period(frequencies[kk]))
{
reset.Add(d);
}
IPricingEngine engine = getEngine(process);
CliquetOption option = new CliquetOption(payoff, maturity, reset);
option.setPricingEngine(engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
calculated["theta"] = option.theta();
calculated["rho"] = option.rho();
calculated["divRho"] = option.dividendRho();
calculated["vega"] = option.vega();
if (value > spot.value() * 1.0e-5)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb rates and get rho and dividend rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = option.NPV();
rRate.setValue(r - dr);
value_m = option.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
double dq = q * 1.0e-4;
qRate.setValue(q + dq);
value_p = option.NPV();
qRate.setValue(q - dq);
value_m = option.NPV();
qRate.setValue(q);
expected["divRho"] = (value_p - value_m) / (2 * dq);
// perturb volatility and get vega
double dv = v * 1.0e-4;
vol.setValue(v + dv);
value_p = option.NPV();
vol.setValue(v - dv);
value_m = option.NPV();
vol.setValue(v);
expected["vega"] = (value_p - value_m) / (2 * dv);
// perturb date and get theta
double dT = dc.yearFraction(today - 1, today + 1);
Settings.setEvaluationDate(today - 1);
value_m = option.NPV();
Settings.setEvaluationDate(today + 1);
value_p = option.NPV();
Settings.setEvaluationDate(today);
expected["theta"] = (value_p - value_m) / dT;
// compare
foreach (var it in calculated)
{
String greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, maturity,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(EuropeanExercise obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
// set up dates
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.May, 1998);
Date settlementDate = new Date(17, Month.May, 1998);
Settings.setEvaluationDate(todaysDate);
// our options
Option.Type type = Option.Type.Put;
double underlying = 36;
double strike = 40;
double dividendYield = 0.00;
double riskFreeRate = 0.06;
double volatility = 0.20;
Date maturity = new Date(17, Month.May, 1999);
DayCounter dayCounter = new Actual365Fixed();
Console.WriteLine("Option type = " + type);
Console.WriteLine("Maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Strike = " + strike);
Console.WriteLine("Risk-free interest rate = {0:0.000000%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.000000%}", dividendYield);
Console.WriteLine("Volatility = {0:0.000000%}", volatility);
Console.Write("\n");
string method;
Console.Write("\n");
// write column headings
int[] widths = new int[] { 35, 14, 14, 14 };
Console.Write("{0,-" + widths[0] + "}", "Method");
Console.Write("{0,-" + widths[1] + "}", "European");
Console.Write("{0,-" + widths[2] + "}", "Bermudan");
Console.WriteLine("{0,-" + widths[3] + "}", "American");
List <Date> exerciseDates = new List <Date>();;
for (int i = 1; i <= 4; i++)
{
exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
}
Exercise europeanExercise = new EuropeanExercise(maturity);
Exercise bermudanExercise = new BermudanExercise(exerciseDates);
Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle <Quote> underlyingH = new Handle <Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption = new VanillaOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Integral
method = "Integral";
europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Finite differences
int timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps - 1));
americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps - 1));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(new BinomialVanillaEngine <JarrowRudd>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <JarrowRudd>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <JarrowRudd>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(new BinomialVanillaEngine <CoxRossRubinstein>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <CoxRossRubinstein>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <CoxRossRubinstein>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(new BinomialVanillaEngine <AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(new BinomialVanillaEngine <Trigeorgis>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <Trigeorgis>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <Trigeorgis>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(new BinomialVanillaEngine <Tian>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <Tian>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <Tian>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(new BinomialVanillaEngine <LeisenReimer>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <LeisenReimer>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <LeisenReimer>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(new BinomialVanillaEngine <Joshi4>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <Joshi4>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <Joshi4>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
ulong mcSeed = 42;
IPricingEngine mcengine1 = new MakeMCEuropeanEngine <PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
int nSamples = 32768; // 2^15
IPricingEngine mcengine2 = new MakeMCEuropeanEngine <LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples)
.value();
europeanOption.setPricingEngine(mcengine2);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
IPricingEngine mcengine3 = new MakeMCAmericanEngine <PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
americanOption.setPricingEngine(mcengine3);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", "N/A");
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// End test
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testDiscretizationError()
{
// Testing the discretization error of the Heston Hull-White process
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.Instance.setEvaluationDate(today);
// construct a strange yield curve to check drifts and discounting
// of the joint stochastic process
List <Date> dates = new List <Date>();
List <double> times = new List <double>();
List <double> rates = new List <double>(), divRates = new List <double>();
for (int i = 0; i <= 31; ++i)
{
dates.Add(today + new Period(i, TimeUnit.Years));
// FLOATING_POINT_EXCEPTION
rates.Add(0.04 + 0.0001 * Math.Exp(Math.Sin(i)));
divRates.Add(0.04 + 0.0001 * Math.Exp(Math.Sin(i)));
times.Add(dc.yearFraction(today, dates.Last()));
}
Date maturity = today + new Period(10, TimeUnit.Years);
double v = 0.25;
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100));
SimpleQuote vol = new SimpleQuote(v);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(new InterpolatedZeroCurve <Linear>(dates, rates, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(new InterpolatedZeroCurve <Linear>(dates, divRates, dc));
BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(s0, qTS, rTS, volTS);
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, s0, v * v, 1, v * v, 1e-6, -0.4);
HullWhiteForwardProcess hwProcess = new HullWhiteForwardProcess(rTS, 0.01, 0.01);
hwProcess.setForwardMeasureTime(20.1472222222222222);
double tol = 0.05;
double[] corr = { -0.85, 0.5 };
double[] strike = { 50, 100, 125 };
for (int i = 0; i < corr.Length; ++i)
{
for (int j = 0; j < strike.Length; ++j)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, strike[j]);
Exercise exercise = new EuropeanExercise(maturity);
VanillaOption optionBsmHW = new VanillaOption(payoff, exercise);
HullWhite hwModel = new HullWhite(rTS, hwProcess.a(), hwProcess.sigma());
optionBsmHW.setPricingEngine(new AnalyticBSMHullWhiteEngine(corr[i], bsmProcess, hwModel));
double expected = optionBsmHW.NPV();
VanillaOption optionHestonHW = new VanillaOption(payoff, exercise);
HybridHestonHullWhiteProcess jointProcess = new HybridHestonHullWhiteProcess(hestonProcess,
hwProcess, corr[i]);
optionHestonHW.setPricingEngine(
new MakeMCHestonHullWhiteEngine <PseudoRandom, Statistics>(jointProcess)
.withSteps(1)
.withAntitheticVariate()
.withAbsoluteTolerance(tol)
.withSeed(42).getAsPricingEngine());
double calculated = optionHestonHW.NPV();
double error = optionHestonHW.errorEstimate();
if ((Math.Abs(calculated - expected) > 3 * error &&
Math.Abs(calculated - expected) > 1e-5))
{
QAssert.Fail("Failed to reproduce discretization error"
+ "\n corr: " + corr[i]
+ "\n strike: " + strike[j]
+ "\n calculated: " + calculated
+ "\n error: " + error
+ "\n expected: " + expected);
}
}
}
}
public void testEuropeanGreeks()
{
// Testing dividend European option greeks...
SavedSettings backup = new SavedSettings();
Dictionary <string, double> calculated = new Dictionary <string, double>(),
expected = new Dictionary <string, double>(),
tolerance = new Dictionary <string, double>();
tolerance["delta"] = 1.0e-5;
tolerance["gamma"] = 1.0e-5;
tolerance["theta"] = 1.0e-5;
tolerance["rho"] = 1.0e-5;
tolerance["vega"] = 1.0e-5;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.30 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.40 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
for (Date d = today + new Period(3, TimeUnit.Months);
d < exercise.lastDate();
d += new Period(6, TimeUnit.Months))
{
dividendDates.Add(d);
dividends.Add(5.0);
}
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates,
dividends);
option.setPricingEngine(engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double value = option.NPV();
calculated["delta"] = option.delta();
calculated["gamma"] = option.gamma();
calculated["theta"] = option.theta();
calculated["rho"] = option.rho();
calculated["vega"] = option.vega();
if (value > spot.value() * 1.0e-5)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV(),
delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV(),
delta_m = option.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb risk-free rate and get rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = option.NPV();
rRate.setValue(r - dr);
value_m = option.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
// perturb volatility and get vega
double dv = v * 1.0e-4;
vol.setValue(v + dv);
value_p = option.NPV();
vol.setValue(v - dv);
value_m = option.NPV();
vol.setValue(v);
expected["vega"] = (value_p - value_m) / (2 * dv);
// perturb date and get theta
double dT = dc.yearFraction(today - 1, today + 1);
Settings.setEvaluationDate(today - 1);
value_m = option.NPV();
Settings.setEvaluationDate(today + 1);
value_p = option.NPV();
Settings.setEvaluationDate(today);
expected["theta"] = (value_p - value_m) / dT;
// compare
foreach (KeyValuePair <string, double> it in calculated)
{
string greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
}
public void testH1HWPricingEngine()
{
/*
* Example taken from Lech Aleksander Grzelak,
* Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity
* Financial Derivatives,
* http://repository.tudelft.nl/assets/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf
*/
Date today = new Date(15, Month.July, 2012);
Settings.Instance.setEvaluationDate(today);
Date exerciseDate = new Date(13, Month.July, 2022);
DayCounter dc = new Actual365Fixed();
Exercise exercise = new EuropeanExercise(exerciseDate);
Handle <Quote> s0 = new Handle <Quote>(new SimpleQuote(100.0));
double r = 0.02;
double q = 0.00;
double v0 = 0.05;
double theta = 0.05;
double kappa_v = 0.3;
double[] sigma_v = { 0.3, 0.6 };
double rho_sv = -0.30;
double rho_sr = 0.6;
double kappa_r = 0.01;
double sigma_r = 0.01;
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, r, dc));
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, q, dc));
Handle <BlackVolTermStructure> flatVolTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, 0.20, dc));
GeneralizedBlackScholesProcess bsProcess = new GeneralizedBlackScholesProcess(s0, qTS, rTS, flatVolTS);
HullWhiteProcess hwProcess = new HullWhiteProcess(rTS, kappa_r, sigma_r);
HullWhite hullWhiteModel = new HullWhite(new Handle <YieldTermStructure>(rTS), kappa_r, sigma_r);
double tol = 0.0001;
double[] strikes = { 40, 80, 100, 120, 180 };
double[][] expected =
{
new double[] { 0.267503, 0.235742, 0.228223, 0.223461, 0.217855 },
new double[] { 0.263626, 0.211625, 0.199907, 0.193502, 0.190025 }
};
for (int j = 0; j < sigma_v.Length; ++j)
{
HestonProcess hestonProcess = new HestonProcess(rTS, qTS, s0, v0, kappa_v, theta, sigma_v[j], rho_sv);
HestonModel hestonModel = new HestonModel(hestonProcess);
for (int i = 0; i < strikes.Length; ++i)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, strikes[i]);
VanillaOption option = new VanillaOption(payoff, exercise);
IPricingEngine analyticH1HWEngine = new AnalyticH1HWEngine(hestonModel, hullWhiteModel, rho_sr, 144);
option.setPricingEngine(analyticH1HWEngine);
double impliedH1HW = option.impliedVolatility(option.NPV(), bsProcess);
if (Math.Abs(expected[j][i] - impliedH1HW) > tol)
{
QAssert.Fail("Failed to reproduce H1HW implied volatility"
+ "\n expected : " + expected[j][i]
+ "\n calculated : " + impliedH1HW
+ "\n tol : " + tol
+ "\n strike : " + strikes[i]
+ "\n sigma : " + sigma_v[j]);
}
}
}
}
public void testEuropeanHaugValues()
{
// Testing double barrier european options against Haug's values
Exercise.Type european = Exercise.Type.European;
NewBarrierOptionData[] values =
{
/* The data below are from
* "The complete guide to option pricing formulas 2nd Ed",E.G. Haug, McGraw-Hill, p.156 and following.
*
* Note:
* The book uses b instead of q (q=r-b)
*/
// BarrierType, barr.lo, barr.hi, type, exercise,strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3515, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 6.1644, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 7.0373, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.9853, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 7.9336, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 6.5088, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3505, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 5.8500, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.7726, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.8082, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 6.3383, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 4.3841, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 4.3139, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 4.8293, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 3.7765, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 5.9697, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.0004, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 2.2563, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 3.7516, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 2.6387, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 1.4903, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 3.5805, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.5098, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.5635, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.2055, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.3098, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 0.0477, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.5537, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 0.0441, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.0011, 1.0e-4),
// BarrierType, barr.lo, barr.hi, type, exercise,strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7855, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.7191, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1374, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.7033, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 50.0, 150.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 7.1683, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7845, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 5.6060, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1374, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 4.6236, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 60.0, 140.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 6.1062, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8825, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.7014, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 4.6472, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 2.1325, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 3.8944, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 70.0, 130.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 3.5868, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 1.8600, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 2.6866, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 2.0719, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 1.8883, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.7851, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 80.0, 120.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.8244, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.9473, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.3449, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 0.0578, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.4555, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 0.0491, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockOut, 90.0, 110.0, Option.Type.Put, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 0.0013, 1.0e-4),
// BarrierType, barr.lo, barr.hi, type, strk, s, q, r, t, v, result, tol
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0000, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.0900, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 1.1537, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.0292, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 1.6487, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 50.0, 150.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 5.7321, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0010, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 0.4045, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 2.4184, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 0.2062, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 3.2439, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 60.0, 140.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 7.8569, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.0376, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 1.4252, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 4.4145, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 1.0447, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 5.5818, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 70.0, 130.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 9.9846, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 0.5999, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 3.6158, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 6.7007, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 3.4340, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 8.0724, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 80.0, 120.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 11.6774, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.15, 3.1460, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.25, 5.9447, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.25, 0.35, 8.1432, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.15, 6.4608, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.25, 9.5382, 1.0e-4),
new NewBarrierOptionData(DoubleBarrier.Type.KnockIn, 90.0, 110.0, Option.Type.Call, european, 100, 100.0, 0.0, 0.1, 0.50, 0.35, 12.2398, 1.0e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + (int)(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
DoubleBarrierOption opt = new DoubleBarrierOption(values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, 0, // no rebate
payoff, exercise);
// Ikeda/Kunitomo engine
IPricingEngine engine = new AnalyticDoubleBarrierEngine(stochProcess);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE("Ikeda/Kunitomo value", values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
expected, calculated, error, values[i].tol);
}
// Wulin Suo/Yong Wang engine
engine = new WulinYongDoubleBarrierEngine(stochProcess);
opt.setPricingEngine(engine);
calculated = opt.NPV();
expected = values[i].result;
error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE("Wulin/Yong value", values[i].barrierType, values[i].barrierlo,
values[i].barrierhi, payoff, exercise, values[i].s,
values[i].q, values[i].r, today, values[i].v,
expected, calculated, error, values[i].tol);
}
}
}
public void testCashAtHitOrNothingAmericanGreeks()
{
// Testing American cash-(at-hit)-or-nothing digital option greeks
using (SavedSettings backup = new SavedSettings())
{
SortedDictionary <string, double> calculated = new SortedDictionary <string, double>();
SortedDictionary <string, double> expected = new SortedDictionary <string, double>();
SortedDictionary <string, double> tolerance = new SortedDictionary <string, double>(); // std::map<std::string,Real> calculated, expected, tolerance;
tolerance["delta"] = 5.0e-5;
tolerance["gamma"] = 5.0e-5;
tolerance["rho"] = 5.0e-5;
Option.Type[] types = { QLNet.Option.Type.Call, QLNet.Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.5, 150.0 };
double cashPayoff = 100.0;
double[] underlyings = { 100 };
double[] qRates = { 0.04, 0.05, 0.06 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.11, 0.5, 1.2 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
// there is no cycling on different residual times
Date exDate = today + 360;
Exercise exercise = new EuropeanExercise(exDate);
Exercise amExercise = new AmericanExercise(today, exDate, false);
Exercise[] exercises = { exercise, amExercise };
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS);
IPricingEngine euroEngine = new AnalyticEuropeanEngine(stochProcess);
IPricingEngine amEngine = new AnalyticDigitalAmericanEngine(stochProcess);
IPricingEngine[] engines = { euroEngine, amEngine };
bool knockin = true;
for (int j = 0; j < engines.Length; j++)
{
for (int i1 = 0; i1 < types.Length; i1++)
{
for (int i6 = 0; i6 < strikes.Length; i6++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(types[i1], strikes[i6], cashPayoff);
VanillaOption opt = new VanillaOption(payoff, exercises[j]);
opt.setPricingEngine(engines[j]);
for (int i2 = 0; i2 < underlyings.Length; i2++)
{
for (int i4 = 0; i4 < qRates.Length; i4++)
{
for (int i3 = 0; i3 < rRates.Length; i3++)
{
for (int i7 = 0; i7 < vols.Length; i7++)
{
// test data
double u = underlyings[i2];
double q = qRates[i4];
double r = rRates[i3];
double v = vols[i7];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
// theta, dividend rho and vega are not available for
// digital option with american exercise. Greeks of
// digital options with european payoff are tested
// in the europeanoption.cpp test
double value = opt.NPV();
calculated["delta"] = opt.delta();
calculated["gamma"] = opt.gamma();
calculated["rho"] = opt.rho();
if (value > 1.0e-6)
{
// perturb spot and get delta and gamma
double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = opt.NPV(),
delta_p = opt.delta();
spot.setValue(u - du);
double value_m = opt.NPV(),
delta_m = opt.delta();
spot.setValue(u);
expected["delta"] = (value_p - value_m) / (2 * du);
expected["gamma"] = (delta_p - delta_m) / (2 * du);
// perturb rates and get rho and dividend rho
double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = opt.NPV();
rRate.setValue(r - dr);
value_m = opt.NPV();
rRate.setValue(r);
expected["rho"] = (value_p - value_m) / (2 * dr);
// check
//std::map<std::string,Real>::iterator it;
foreach (var it in calculated)
{
string greek = it.Key;
double expct = expected [greek],
calcl = calculated[greek],
tol = tolerance [greek];
double error = Utilities.relativeError(expct, calcl, value);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol, knockin);
}
}
}
}
}
}
}
}
}
}
}
}
public void testSwaptionPricing()
{
// Testing forward swap and swaption pricing
const int size = 10;
const int steps = 8 * size;
#if QL_USE_INDEXED_COUPON
const double tolerance = 1e-6;
#else
const double tolerance = 1e-12;
#endif
List <Date> dates = new List <Date>();
List <double> rates = new List <double>();
dates.Add(new Date(4, 9, 2005));
dates.Add(new Date(4, 9, 2011));
rates.Add(0.04);
rates.Add(0.08);
IborIndex index = makeIndex(dates, rates);
LiborForwardModelProcess process = new LiborForwardModelProcess(size, index);
LmCorrelationModel corrModel = new LmExponentialCorrelationModel(size, 0.5);
LmVolatilityModel volaModel = new LmLinearExponentialVolatilityModel(process.fixingTimes(),
0.291, 1.483, 0.116, 0.00001);
// set-up pricing engine
process.setCovarParam((LfmCovarianceParameterization)
new LfmCovarianceProxy(volaModel, corrModel));
// set-up a small Monte-Carlo simulation to price swations
List <double> tmp = process.fixingTimes();
TimeGrid grid = new TimeGrid(tmp, tmp.Count, steps);
List <int> location = new List <int>();
for (int i = 0; i < tmp.Count; ++i)
{
location.Add(grid.index(tmp[i]));
}
ulong seed = 42;
const int nrTrails = 5000;
LowDiscrepancy.icInstance = new InverseCumulativeNormal();
IRNG rsg = (InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>
, InverseCumulativeNormal>)
new PseudoRandom().make_sequence_generator(process.factors() * (grid.size() - 1), seed);
MultiPathGenerator <IRNG> generator = new MultiPathGenerator <IRNG>(process,
grid,
rsg, false);
LiborForwardModel liborModel = new LiborForwardModel(process, volaModel, corrModel);
Calendar calendar = index.fixingCalendar();
DayCounter dayCounter = index.forwardingTermStructure().link.dayCounter();
BusinessDayConvention convention = index.businessDayConvention();
Date settlement = index.forwardingTermStructure().link.referenceDate();
SwaptionVolatilityMatrix m = liborModel.getSwaptionVolatilityMatrix();
for (int i = 1; i < size; ++i)
{
for (int j = 1; j <= size - i; ++j)
{
Date fwdStart = settlement + new Period(6 * i, TimeUnit.Months);
Date fwdMaturity = fwdStart + new Period(6 * j, TimeUnit.Months);
Schedule schedule = new Schedule(fwdStart, fwdMaturity, index.tenor(), calendar,
convention, convention, DateGeneration.Rule.Forward, false);
double swapRate = 0.0404;
VanillaSwap forwardSwap = new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
schedule, swapRate, dayCounter,
schedule, index, 0.0, index.dayCounter());
forwardSwap.setPricingEngine(new DiscountingSwapEngine(index.forwardingTermStructure()));
// check forward pricing first
double expected = forwardSwap.fairRate();
double calculated = liborModel.S_0(i - 1, i + j - 1);
if (Math.Abs(expected - calculated) > tolerance)
{
QAssert.Fail("Failed to reproduce fair forward swap rate"
+ "\n calculated: " + calculated
+ "\n expected: " + expected);
}
swapRate = forwardSwap.fairRate();
forwardSwap =
new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
schedule, swapRate, dayCounter,
schedule, index, 0.0, index.dayCounter());
forwardSwap.setPricingEngine(new DiscountingSwapEngine(index.forwardingTermStructure()));
if (i == j && i <= size / 2)
{
IPricingEngine engine =
new LfmSwaptionEngine(liborModel, index.forwardingTermStructure());
Exercise exercise =
new EuropeanExercise(process.fixingDates()[i]);
Swaption swaption =
new Swaption(forwardSwap, exercise);
swaption.setPricingEngine(engine);
GeneralStatistics stat = new GeneralStatistics();
for (int n = 0; n < nrTrails; ++n)
{
Sample <IPath> path = (n % 2 != 0) ? generator.antithetic()
: generator.next();
MultiPath value = path.value as MultiPath;
Utils.QL_REQUIRE(value != null, () => "Invalid Path");
//Sample<MultiPath> path = generator.next();
List <double> rates_ = new InitializedList <double>(size);
for (int k = 0; k < process.size(); ++k)
{
rates_[k] = value[k][location[i]];
}
List <double> dis = process.discountBond(rates_);
double npv = 0.0;
for (int k = i; k < i + j; ++k)
{
npv += (swapRate - rates_[k])
* (process.accrualEndTimes()[k]
- process.accrualStartTimes()[k]) * dis[k];
}
stat.add(Math.Max(npv, 0.0));
}
if (Math.Abs(swaption.NPV() - stat.mean())
> stat.errorEstimate() * 2.35)
{
QAssert.Fail("Failed to reproduce swaption npv"
+ "\n calculated: " + stat.mean()
+ "\n expected: " + swaption.NPV());
}
}
}
}
}
public void testHaugValues()
{
// Testing cash-or-nothing double barrier options against Haug's values
DoubleBinaryOptionData[] values =
{
/* The data below are from
* "Option pricing formulas 2nd Ed.", E.G. Haug, McGraw-Hill 2007 pag. 181
* Note: book uses cost of carry b, instead of dividend rate q
*/
// barrierType, bar_lo, bar_hi, cash, spot, q, r, t, vol, value, tol
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 9.8716, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 8.9307, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 6.3272, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 1.9094, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 9.7961, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 7.2300, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 3.7100, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 0.4271, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 8.9054, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 3.6752, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 0.7960, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 0.0059, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 3.6323, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 0.0911, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 0.0002, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 0.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 0.2402, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 1.4076, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 3.8160, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.0075, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 0.9910, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 2.8098, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 4.6612, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.2656, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 2.7954, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 4.4024, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 4.9266, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 2.6285, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 4.7523, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 4.9096, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 4.9675, 1e-4),
// following values calculated with haug's VBA code
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.0042, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 0.9450, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 3.5486, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 7.9663, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.0797, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 2.6458, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 6.1658, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 9.4486, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.9704, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 6.2006, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 9.0798, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 9.8699, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 6.2434, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 9.7847, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 9.8756, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 9.8758, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.0041, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 0.7080, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 2.1581, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 80.00, 120.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 4.2061, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.0723, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 1.6663, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 3.3930, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 85.00, 115.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 4.8679, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 0.7080, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 3.4424, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 4.7496, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 90.00, 110.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 5.0475, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.10, 3.6524, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.20, 5.1256, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.30, 5.0763, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 95.00, 105.00, 10.00, 100.00, 0.02, 0.05, 0.25, 0.50, 5.0275, 1e-4),
// degenerate cases
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 95.00, 105.00, 10.00, 80.00, 0.02, 0.05, 0.25, 0.10, 0.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockOut, 95.00, 105.00, 10.00, 110.00, 0.02, 0.05, 0.25, 0.10, 0.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 95.00, 105.00, 10.00, 80.00, 0.02, 0.05, 0.25, 0.10, 10.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KnockIn, 95.00, 105.00, 10.00, 110.00, 0.02, 0.05, 0.25, 0.10, 10.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 95.00, 105.00, 10.00, 80.00, 0.02, 0.05, 0.25, 0.10, 10.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KIKO, 95.00, 105.00, 10.00, 110.00, 0.02, 0.05, 0.25, 0.10, 0.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 95.00, 105.00, 10.00, 80.00, 0.02, 0.05, 0.25, 0.10, 0.0000, 1e-4),
new DoubleBinaryOptionData(DoubleBarrier.Type.KOKI, 95.00, 105.00, 10.00, 110.00, 0.02, 0.05, 0.25, 0.10, 10.0000, 1e-4),
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
SimpleQuote qRate = new SimpleQuote(0.04);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.01);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.25);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new CashOrNothingPayoff(Option.Type.Call, 0, values[i].cash);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise;
if (values[i].barrierType == DoubleBarrier.Type.KIKO ||
values[i].barrierType == DoubleBarrier.Type.KOKI)
{
exercise = new AmericanExercise(today, exDate, true);
}
else
{
exercise = new EuropeanExercise(exDate);
}
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticDoubleBarrierBinaryEngine(stochProcess);
DoubleBarrierOption opt = new DoubleBarrierOption(values[i].barrierType,
values[i].barrier_lo,
values[i].barrier_hi,
0,
payoff,
exercise);
opt.setPricingEngine(engine);
double calculated = opt.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - values[i].result);
if (error > values[i].tol)
{
REPORT_FAILURE("value", payoff, exercise, values[i].barrierType,
values[i].barrier_lo, values[i].barrier_hi, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, values[i].tol);
}
int steps = 500;
// checking with binomial engine
engine = new BinomialDoubleBarrierEngine(
(d, end, step, strike) => new CoxRossRubinstein(d, end, step, strike),
(args, process, grid) => new DiscretizedDoubleBarrierOption(args, process, grid),
stochProcess, steps);
opt.setPricingEngine(engine);
calculated = opt.NPV();
expected = values[i].result;
error = Math.Abs(calculated - expected);
double tol = 0.22;
if (error > tol)
{
REPORT_FAILURE("Binomial value", payoff, exercise, values[i].barrierType,
values[i].barrier_lo, values[i].barrier_hi, values[i].s,
values[i].q, values[i].r, today, values[i].v,
values[i].result, calculated, error, tol);
}
}
}
public void testCrankNicolsonWithDamping()
{
SavedSettings backup = new SavedSettings();
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(100.0);
YieldTermStructure qTS = Utilities.flatRate(today, 0.06, dc);
YieldTermStructure rTS = Utilities.flatRate(today, 0.06, dc);
BlackVolTermStructure volTS = Utilities.flatVol(today, 0.35, dc);
StrikedTypePayoff payoff =
new CashOrNothingPayoff(Option.Type.Put, 100, 10.0);
double maturity = 0.75;
Date exDate = today + Convert.ToInt32(maturity * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
BlackScholesMertonProcess process = new
BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine =
new AnalyticEuropeanEngine(process);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
double expectedPV = opt.NPV();
double expectedGamma = opt.gamma();
// fd pricing using implicit damping steps and Crank Nicolson
int csSteps = 25, dampingSteps = 3, xGrid = 400;
List <int> dim = new InitializedList <int>(1, xGrid);
FdmLinearOpLayout layout = new FdmLinearOpLayout(dim);
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(
dim[0], process, maturity, payoff.strike(),
null, null, 0.0001, 1.5,
new Pair <double?, double?>(payoff.strike(), 0.01));
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
FdmBlackScholesOp map =
new FdmBlackScholesOp(mesher, process, payoff.strike());
FdmInnerValueCalculator calculator =
new FdmLogInnerValue(payoff, mesher, 0);
object rhs = new Vector(layout.size());
Vector x = new Vector(layout.size());
FdmLinearOpIterator endIter = layout.end();
for (FdmLinearOpIterator iter = layout.begin(); iter != endIter;
++iter)
{
(rhs as Vector)[iter.index()] = calculator.avgInnerValue(iter, maturity);
x[iter.index()] = mesher.location(iter, 0);
}
FdmBackwardSolver solver = new FdmBackwardSolver(map, new FdmBoundaryConditionSet(),
new FdmStepConditionComposite(),
new FdmSchemeDesc().Douglas());
solver.rollback(ref rhs, maturity, 0.0, csSteps, dampingSteps);
MonotonicCubicNaturalSpline spline = new MonotonicCubicNaturalSpline(x, x.Count, rhs as Vector);
double s = spot.value();
double calculatedPV = spline.value(Math.Log(s));
double calculatedGamma = (spline.secondDerivative(Math.Log(s))
- spline.derivative(Math.Log(s))) / (s * s);
double relTol = 2e-3;
if (Math.Abs(calculatedPV - expectedPV) > relTol * expectedPV)
{
QAssert.Fail("Error calculating the PV of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedPV +
"\n calculated: " + calculatedPV);
}
if (Math.Abs(calculatedGamma - expectedGamma) > relTol * expectedGamma)
{
QAssert.Fail("Error calculating the Gamma of the digital option" +
"\n rel. tolerance: " + relTol +
"\n expected: " + expectedGamma +
"\n calculated: " + calculatedGamma);
}
}
//class Swaption {
// [System.Xml.Serialization.XmlElementAttribute("americanExercise", typeof(AmericanExercise))]
// [System.Xml.Serialization.XmlElementAttribute("bermudaExercise", typeof(BermudaExercise))]
// [System.Xml.Serialization.XmlElementAttribute("europeanExercise", typeof(EuropeanExercise))]
// public Exercise Item {
public static void SwaptionSetEuropeanExercise(Swaption swaption, EuropeanExercise europeanExercise)
{
swaption.Item = europeanExercise;
}
public void testAnalyticContinuousFixedLookback()
{
// Testing analytic continuous fixed-strike lookback options
LookbackOptionData[] values =
{
// data from "Option Pricing Formulas", Haug, 1998, pg.63-64
//type, strike, minmax, s, q, r, t, v, l, t1, result, tol
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 13.2687, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 18.9263, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 24.9857, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 8.5126, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 14.1702, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 20.2296, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 4.3908, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 9.8905, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 15.8512, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 18.3241, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 26.0731, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 34.7116, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 13.8000, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 21.5489, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 30.1874, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 9.5445, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 17.2965, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 25.9002, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 0.6899, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 4.4448, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 8.9213, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 3.3917, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 8.3177, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 13.1579, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.10, 0, 0, 8.1478, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.20, 0, 0, 13.0739, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 0.50, 0.30, 0, 0, 17.9140, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 1.0534, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 6.2813, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 95, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 12.2376, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 3.8079, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 10.1294, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 100, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 16.3889, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.10, 0, 0, 8.3321, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.20, 0, 0, 14.6536, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 105, 100, 100.0, 0.00, 0.10, 1.00, 0.30, 0, 0, 20.9130, 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticContinuousFixedLookbackEngine(stochProcess);
ContinuousFixedLookbackOption option = new ContinuousFixedLookbackOption(values[i].minmax,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_FIXED("value", values[i].minmax, payoff, exercise,
values[i].s, values[i].q, values[i].r, today,
values[i].v, expected, calculated, error,
values[i].tol);
}
}
}
//void testEngineConsistency(EngineType engine, int binomialSteps, int samples, Dictionary<string,double> tolerance,
// bool testGreeks = false) {
void testEngineConsistency(EngineType engine, int binomialSteps, int samples, Dictionary <string, double> tolerance,
bool testGreeks)
{
//QL_TEST_START_TIMING
Dictionary <string, double> calculated = new Dictionary <string, double>(), expected = new Dictionary <string, double>();
// test options
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 75.0, 100.0, 125.0 };
int[] lengths = { 1 };
// test data
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.05 };
double[] rRates = { 0.01, 0.05, 0.15 };
double[] vols = { 0.11, 0.50, 1.20 };
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + lengths[k] * 360;
Exercise exercise = new EuropeanExercise(exDate);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
// reference option
VanillaOption refOption = makeOption(payoff, exercise, spot, qTS, rTS, volTS,
EngineType.Analytic, 0, 0);
// option to check
VanillaOption option = makeOption(payoff, exercise, spot, qTS, rTS, volTS,
engine, binomialSteps, samples);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
expected.Clear();
calculated.Clear();
// FLOATING_POINT_EXCEPTION
expected.Add("value", refOption.NPV());
calculated.Add("value", option.NPV());
if (testGreeks && option.NPV() > spot.value() * 1.0e-5)
{
expected.Add("delta", refOption.delta());
expected.Add("gamma", refOption.gamma());
expected.Add("theta", refOption.theta());
calculated.Add("delta", option.delta());
calculated.Add("gamma", option.gamma());
calculated.Add("theta", option.theta());
}
foreach (string greek in calculated.Keys)
{
double expct = expected[greek],
calcl = calculated[greek],
tol = tolerance[greek];
double error = Utilities.relativeError(expct, calcl, u);
if (error > tol)
{
REPORT_FAILURE(greek, payoff, exercise,
u, q, r, today, v,
expct, calcl, error, tol);
}
}
}
}
}
}
}
}
}
}
public void testAnalyticContinuousPartialFixedLookback()
{
// Testing analytic continuous fixed-strike lookback options
LookbackOptionData[] values =
{
// data from "Option Pricing Formulas, Second Edition", Haug, 2006, pg.148
//type, strike, minmax, s, q, r, t, v, l, t1, result, tol
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.1, 0, 0.25, 20.2845, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.1, 0, 0.5, 19.6239, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.1, 0, 0.75, 18.6244, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.1, 0, 0.25, 4.0432, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.1, 0, 0.5, 3.958, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.1, 0, 0.75, 3.7015, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.2, 0, 0.25, 27.5385, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.2, 0, 0.5, 25.8126, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.2, 0, 0.75, 23.4957, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.2, 0, 0.25, 11.4895, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.2, 0, 0.5, 10.8995, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.2, 0, 0.75, 9.8244, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.3, 0, 0.25, 35.4578, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.3, 0, 0.5, 32.7172, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 90, 0, 100, 0, 0.06, 1, 0.3, 0, 0.75, 29.1473, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.3, 0, 0.25, 19.725, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.3, 0, 0.5, 18.4025, 1.0e-4),
new LookbackOptionData(Option.Type.Call, 110, 0, 100, 0, 0.06, 1, 0.3, 0, 0.75, 16.2976, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.1, 0, 0.25, 0.4973, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.1, 0, 0.5, 0.4632, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.1, 0, 0.75, 0.3863, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.1, 0, 0.25, 12.6978, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.1, 0, 0.5, 10.9492, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.1, 0, 0.75, 9.1555, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.2, 0, 0.25, 4.5863, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.2, 0, 0.5, 4.1925, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.2, 0, 0.75, 3.5831, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.2, 0, 0.25, 19.0255, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.2, 0, 0.5, 16.9433, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.2, 0, 0.75, 14.6505, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.3, 0, 0.25, 9.9348, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.3, 0, 0.5, 9.1111, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 90, 0, 100, 0, 0.06, 1, 0.3, 0, 0.75, 7.9267, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.3, 0, 0.25, 25.2112, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.3, 0, 0.5, 22.8217, 1.0e-4),
new LookbackOptionData(Option.Type.Put, 110, 0, 100, 0, 0.06, 1, 0.3, 0, 0.75, 20.0566, 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol = new SimpleQuote(0.0);
BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
for (int i = 0; i < values.Length; i++)
{
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(
new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new AnalyticContinuousPartialFixedLookbackEngine(stochProcess);
Date lookbackStart = today + Convert.ToInt32(values[i].t1 * 360 + 0.5);
ContinuousPartialFixedLookbackOption option = new ContinuousPartialFixedLookbackOption(lookbackStart,
payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_FIXED("value", values[i].minmax, payoff, exercise,
values[i].s, values[i].q, values[i].r, today,
values[i].v, expected, calculated, error,
values[i].tol);
}
}
}
// Reference pg. 253 - Hull - Options, Futures, and Other Derivatives 5th ed
// Exercise 12.8
// Doesn't quite work. Need to deal with date conventions
void testEuropeanKnownValue()
{
// Testing dividend European option values with known value...
SavedSettings backup = new SavedSettings();
double tolerance = 1.0e-2;
double expected = 3.67;
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
Date exDate = today + new Period(6, TimeUnit.Months);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
dividendDates.Add(today + new Period(2, TimeUnit.Months));
dividends.Add(0.50);
dividendDates.Add(today + new Period(5, TimeUnit.Months));
dividends.Add(0.50);
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 40.0);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
double u = 40.0;
double q = 0.0, r = 0.09;
double v = 0.30;
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double calculated = option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value start limit",
payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
public void testBond()
{
/* when deeply out-of-the-money, the value of the convertible bond
* should equal that of the underlying plain-vanilla bond. */
// Testing out-of-the-money convertible bonds against vanilla bonds
CommonVars vars = new CommonVars();
vars.conversionRatio = 1.0e-16;
Exercise euExercise = new EuropeanExercise(vars.maturityDate);
Exercise amExercise = new AmericanExercise(vars.issueDate, vars.maturityDate);
int timeSteps = 1001;
IPricingEngine engine = new BinomialConvertibleEngine <CoxRossRubinstein>(vars.process, timeSteps);
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(new ForwardSpreadedTermStructure(vars.riskFreeRate, vars.creditSpread));
// zero-coupon
Schedule schedule = new MakeSchedule().from(vars.issueDate)
.to(vars.maturityDate)
.withFrequency(Frequency.Once)
.withCalendar(vars.calendar)
.backwards().value();
ConvertibleZeroCouponBond euZero = new ConvertibleZeroCouponBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
vars.dayCounter, schedule,
vars.redemption);
euZero.setPricingEngine(engine);
ConvertibleZeroCouponBond amZero = new ConvertibleZeroCouponBond(amExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
vars.dayCounter, schedule,
vars.redemption);
amZero.setPricingEngine(engine);
ZeroCouponBond zero = new ZeroCouponBond(vars.settlementDays, vars.calendar,
100.0, vars.maturityDate,
BusinessDayConvention.Following, vars.redemption, vars.issueDate);
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
zero.setPricingEngine(bondEngine);
double tolerance = 1.0e-2 * (vars.faceAmount / 100.0);
double error = Math.Abs(euZero.NPV() - zero.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce zero-coupon bond price:"
+ "\n calculated: " + euZero.NPV()
+ "\n expected: " + zero.settlementValue()
+ "\n error: " + error);
}
error = Math.Abs(amZero.NPV() - zero.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce zero-coupon bond price:"
+ "\n calculated: " + amZero.NPV()
+ "\n expected: " + zero.settlementValue()
+ "\n error: " + error);
}
// coupon
List <double> coupons = new InitializedList <double>(1, 0.05);
schedule = new MakeSchedule().from(vars.issueDate)
.to(vars.maturityDate)
.withFrequency(vars.frequency)
.withCalendar(vars.calendar)
.backwards().value();
ConvertibleFixedCouponBond euFixed = new ConvertibleFixedCouponBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
coupons, vars.dayCounter,
schedule, vars.redemption);
euFixed.setPricingEngine(engine);
ConvertibleFixedCouponBond amFixed = new ConvertibleFixedCouponBond(amExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
coupons, vars.dayCounter,
schedule, vars.redemption);
amFixed.setPricingEngine(engine);
FixedRateBond fixedBond = new FixedRateBond(vars.settlementDays, vars.faceAmount, schedule,
coupons, vars.dayCounter, BusinessDayConvention.Following,
vars.redemption, vars.issueDate);
fixedBond.setPricingEngine(bondEngine);
tolerance = 2.0e-2 * (vars.faceAmount / 100.0);
error = Math.Abs(euFixed.NPV() - fixedBond.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce fixed-coupon bond price:"
+ "\n calculated: " + euFixed.NPV()
+ "\n expected: " + fixedBond.settlementValue()
+ "\n error: " + error);
}
error = Math.Abs(amFixed.NPV() - fixedBond.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce fixed-coupon bond price:"
+ "\n calculated: " + amFixed.NPV()
+ "\n expected: " + fixedBond.settlementValue()
+ "\n error: " + error);
}
// floating-rate
IborIndex index = new Euribor1Y(discountCurve);
int fixingDays = 2;
List <double> gearings = new InitializedList <double>(1, 1.0);
List <double> spreads = new List <double>();
ConvertibleFloatingRateBond euFloating = new ConvertibleFloatingRateBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
index, fixingDays, spreads,
vars.dayCounter, schedule,
vars.redemption);
euFloating.setPricingEngine(engine);
ConvertibleFloatingRateBond amFloating = new ConvertibleFloatingRateBond(amExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
index, fixingDays, spreads,
vars.dayCounter, schedule,
vars.redemption);
amFloating.setPricingEngine(engine);
IborCouponPricer pricer = new BlackIborCouponPricer(new Handle <OptionletVolatilityStructure>());
Schedule floatSchedule = new Schedule(vars.issueDate, vars.maturityDate,
new Period(vars.frequency),
vars.calendar, BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Backward, false);
FloatingRateBond floating = new FloatingRateBond(vars.settlementDays, vars.faceAmount, floatSchedule,
index, vars.dayCounter, BusinessDayConvention.Following, fixingDays,
gearings, spreads,
new List <double?>(), new List <double?>(),
false,
vars.redemption, vars.issueDate);
floating.setPricingEngine(bondEngine);
Utils.setCouponPricer(floating.cashflows(), pricer);
tolerance = 2.0e-2 * (vars.faceAmount / 100.0);
error = Math.Abs(euFloating.NPV() - floating.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce floating-rate bond price:"
+ "\n calculated: " + euFloating.NPV()
+ "\n expected: " + floating.settlementValue()
+ "\n error: " + error);
}
error = Math.Abs(amFloating.NPV() - floating.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce floating-rate bond price:"
+ "\n calculated: " + amFloating.NPV()
+ "\n expected: " + floating.settlementValue()
+ "\n error: " + error);
}
}
public void testEuropeanStartLimit()
{
// Testing dividend European option with a dividend on today's date...
SavedSettings backup = new SavedSettings();
double tolerance = 1.0e-5;
double dividendValue = 10.0;
Option.Type[] types = { Option.Type.Call, Option.Type.Put };
double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 };
double[] underlyings = { 100.0 };
double[] qRates = { 0.00, 0.10, 0.30 };
double[] rRates = { 0.01, 0.05, 0.15 };
int[] lengths = { 1, 2 };
double[] vols = { 0.05, 0.20, 0.70 };
DayCounter dc = new Actual360();
Date today = Date.Today;
Settings.setEvaluationDate(today);
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(vol, dc));
for (int i = 0; i < types.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < lengths.Length; k++)
{
Date exDate = today + new Period(lengths[k], TimeUnit.Years);
Exercise exercise = new EuropeanExercise(exDate);
List <Date> dividendDates = new List <Date>();
List <double> dividends = new List <double>();
dividendDates.Add(today);
dividends.Add(dividendValue);
StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]);
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
qTS, rTS, volTS);
IPricingEngine engine = new AnalyticDividendEuropeanEngine(stochProcess);
IPricingEngine ref_engine = new AnalyticEuropeanEngine(stochProcess);
DividendVanillaOption option = new DividendVanillaOption(payoff, exercise, dividendDates, dividends);
option.setPricingEngine(engine);
VanillaOption ref_option = new VanillaOption(payoff, exercise);
ref_option.setPricingEngine(ref_engine);
for (int l = 0; l < underlyings.Length; l++)
{
for (int m = 0; m < qRates.Length; m++)
{
for (int n = 0; n < rRates.Length; n++)
{
for (int p = 0; p < vols.Length; p++)
{
double u = underlyings[l];
double q = qRates[m],
r = rRates[n];
double v = vols[p];
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
double calculated = option.NPV();
spot.setValue(u - dividendValue);
double expected = ref_option.NPV();
double error = Math.Abs(calculated - expected);
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise,
u, q, r, today, v,
expected, calculated,
error, tolerance);
}
}
}
}
}
}
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(EuropeanExercise obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public void testValues()
{
// Testing forward option values...
/* The data below are from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
*/
ForwardOptionData[] values =
{
// type, moneyness, spot, div, rate,start, t, vol, result, tol
// "Option pricing formulas", pag. 37
new ForwardOptionData(Option.Type.Call, 1.1, 60.0, 0.04, 0.08, 0.25, 1.0, 0.30, 4.4064, 1.0e-4),
// "Option pricing formulas", VBA code
new ForwardOptionData(Option.Type.Put, 1.1, 60.0, 0.04, 0.08, 0.25, 1.0, 0.30, 8.2971, 1.0e-4)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot = new SimpleQuote(0.0);
SimpleQuote qRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> qTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, qRate, dc));
SimpleQuote rRate = new SimpleQuote(0.0);
Handle <YieldTermStructure> rTS = new Handle <YieldTermStructure>(Utilities.flatRate(today, rRate, dc));
SimpleQuote vol = new SimpleQuote(0.0);
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(Utilities.flatVol(today, vol, dc));
BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot),
new Handle <YieldTermStructure>(qTS), new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
IPricingEngine engine = new ForwardVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)); // AnalyticEuropeanEngine
for (int i = 0; i < values.Length; i++)
{
StrikedTypePayoff payoff = new PlainVanillaPayoff(values[i].type, 0.0);
Date exDate = today + Convert.ToInt32(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
Date reset = today + Convert.ToInt32(values[i].start * 360 + 0.5);
spot.setValue(values[i].s);
qRate.setValue(values[i].q);
rRate.setValue(values[i].r);
vol.setValue(values[i].v);
ForwardVanillaOption option = new ForwardVanillaOption(values[i].moneyness, reset, payoff, exercise);
option.setPricingEngine(engine);
double calculated = option.NPV();
double error = Math.Abs(calculated - values[i].result);
double tolerance = 1e-4;
if (error > tolerance)
{
REPORT_FAILURE("value", payoff, exercise, values[i].s,
values[i].q, values[i].r, today,
values[i].v, values[i].moneyness, reset,
values[i].result, calculated,
error, tolerance);
}
}
}
