public override IEngine <ConvertibleBond> GenerateEngine()
{
var optionInfo = TradeInfo.ConversionOption;
var exercise = optionInfo.Exercise.ToOptionExercise();
IEngine <VanillaOption> optionEngine = null;
if (exercise == OptionExercise.European)
{
//不该用MonteCarlo 直接判断 逻辑更合理
if (optionInfo.MonteCarlo)
{
optionEngine = new GenericMonteCarloEngine(optionInfo.ParallelDegree ?? 2, optionInfo.NSimulations ?? 50000);
return(new SimpleConvertibleBondEngine <GenericMonteCarloEngine>(optionEngine as GenericMonteCarloEngine));
}
else
{
optionEngine = new AnalyticalVanillaEuropeanOptionEngine();
return(new SimpleConvertibleBondEngine <AnalyticalVanillaEuropeanOptionEngine>(optionEngine as AnalyticalVanillaEuropeanOptionEngine));
}
}
else if (exercise == OptionExercise.American)
{
optionEngine = new BinomialTreeAmericanEngine(BinomialTreeType.CoxRossRubinstein, 100);
return(new SimpleConvertibleBondEngine <BinomialTreeAmericanEngine>(optionEngine as BinomialTreeAmericanEngine));
}
else
{
throw new PricingBaseException("Conversion option exercise type should be European or American!");
}
}
//TODO: enable true MC pricer after CB MC model improvement
public void TestConvertibleBond_American_MCPricer()
{
var convertibleBond = GeliCB(American: true);
var optionEngine = new GenericMonteCarloEngine(2, 50000);
var engine = new SimpleConvertibleBondEngine <GenericMonteCarloEngine>(optionEngine as GenericMonteCarloEngine);
var market = TestMarket_Jin("2017-10-20", spot: 6.07);
var result = engine.Calculate(convertibleBond, market, PricingRequest.All);
var optionPrem = market.MktQuote.Value[convertibleBond.Bond.Id].Item2 - result.Pv;
Assert.AreEqual(convertibleBond.ConversionRatio * 1.603780133, optionPrem, 1e-7);
}
public void TestVanillaEuropeanCallMc()
{
var startDate = new Date(2014, 03, 18);
var maturityDate = new Date(2015, 03, 18);
var market = TestMarket();
var call = new VanillaOption(startDate,
maturityDate,
OptionExercise.European,
OptionType.Call,
1.0,
InstrumentType.Stock,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
new[] { maturityDate });
var mcengine = new GenericMonteCarloEngine(2, 200000);
var result = mcengine.Calculate(call, market, PricingRequest.All);
var analyticalResult = new AnalyticalVanillaEuropeanOptionEngine().Calculate(call, market, PricingRequest.All);
Console.WriteLine("{0},{1}", analyticalResult.Pv, result.Pv);
Console.WriteLine("{0},{1}", analyticalResult.Delta, result.Delta);
Console.WriteLine("{0},{1}", analyticalResult.Gamma, result.Gamma);
Console.WriteLine("{0},{1}", analyticalResult.Vega, result.Vega);
Console.WriteLine("{0},{1}", analyticalResult.Rho, result.Rho);
Console.WriteLine("{0},{1}", analyticalResult.Theta, result.Theta);
Assert.AreEqual(analyticalResult.Pv, result.Pv, 0.002);
Assert.AreEqual(analyticalResult.Delta, result.Delta, 0.02);
Assert.AreEqual(analyticalResult.Gamma, result.Gamma, 0.05);
Assert.AreEqual(analyticalResult.Theta, result.Theta, 1e-5);
Assert.AreEqual(analyticalResult.Rho, result.Rho, 1e-6);
Assert.AreEqual(analyticalResult.Vega, result.Vega, 1e-4);
}
//Takes too long time
//[TestMethod]
public void CommodityBinaryEuropeanOptionMcTest()
{
var goldOption = new BinaryOption(
new Date(2015, 03, 20),
new Date(2015, 06, 16),
OptionExercise.European,
OptionType.Put,
231.733,
InstrumentType.Futures,
BinaryOptionPayoffType.CashOrNothing,
10.0,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { new Date(2015, 06, 16) },
new[] { new Date(2015, 06, 16) },
1.0
);
var market = GetMarket();
var volsurf = market.GetData <VolSurfMktData>("goldVolSurf").ToImpliedVolSurface(market.ReferenceDate);
var yc = market.GetData <CurveData>("Fr007").YieldCurve;
IMarketCondition marketCondition = new MarketCondition(
x => x.ValuationDate.Value = market.ReferenceDate,
x => x.DiscountCurve.Value = yc,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", yc }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", 240.6 }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volsurf }
}
);
// set first point on dividend curve to 0
//MC pricing
var dc = ZeroRateCurve(marketCondition.DividendCurves.Value.Values.First());
marketCondition = marketCondition.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, IYieldCurve> >(x => x.DividendCurves, new Dictionary <string, IYieldCurve> {
{ "", dc }
}));
var engine = new GenericMonteCarloEngine(2, 500000);
var result = engine.Calculate(goldOption, marketCondition, PricingRequest.All);
//analytical pricing
var analyticalResult = new AnalyticalBinaryEuropeanOptionEngine().Calculate(goldOption, marketCondition, PricingRequest.All);
Console.WriteLine("Pv:{0},{1}", analyticalResult.Pv, result.Pv);
Console.WriteLine("Delta: {0},{1}", analyticalResult.Delta, result.Delta);
Console.WriteLine("Gamma: {0},{1}", analyticalResult.Gamma, result.Gamma);
Console.WriteLine("Vega: {0},{1}", analyticalResult.Vega, result.Vega);
Console.WriteLine("Rho: {0},{1}", analyticalResult.Rho, result.Rho); //TODO binary option monte carlo rho
Console.WriteLine("Theta: {0},{1}", analyticalResult.Theta, result.Theta);
//Assert.AreEqual(analyticalResult.Pv, result.Pv, 0.02);
//Assert.AreEqual(analyticalResult.Delta, result.Delta, 0.02);
//Assert.AreEqual(analyticalResult.Gamma, result.Gamma, 0.05);
//Assert.AreEqual(analyticalResult.Vega, result.Vega, 1e-2);
//Assert.AreEqual(analyticalResult.Rho, result.Rho, 1e-6);
//Assert.AreEqual(analyticalResult.Theta, result.Theta, 1e-5);
}
