public void TestBondOptionPrice()
{
var settleDate = new Date(2008, 1, 17); // Option related
var maturityDate = new Date(2009, 8, 1); // Bond related
var forwardDate = new Date(2008, 4, 17); // Forward related
var notional = 1000000.0; //
var annualCouponRate = 0.13; // According to JSE Bond Pricer for R153
var couponMonth1 = 2; //
var couponDay1 = 28; //
var couponMonth2 = 8; //
var couponDay2 = 31; //
var booksCloseDateDays = 10; //
var zaCalendar = new Calendar("Test"); //
var bondOptionR153 = new JSEBondOption(forwardDate, maturityDate, PutOrCall.Call, settleDate); //
var bondForwardR153 = new JSEBondForward(forwardDate, maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0930; //
var repo = 0.1075; // See example
var strike = 0.09; //
var vol = 0.07; //
var results = JSEBondOptionEx.BlackOption(bondOptionR153, strike, vol, repo, bondForwardR153, ytm);
Assert.AreEqual(103.8547113436135, (double)results.GetScalar(JSEBondOptionEx.Keys.BlackOption), 1e-8);
}
public static ResultStore BlackOption(JSEBondOption bondoption, double strike, double vol, double repo, JSEBondForward bond, double yieldToMaturity)
{
var settleDate = bondoption.settleDate;
var timeToMaturity = bondoption.timeToMaturity;
var ytm = yieldToMaturity;
var bondforwardprice1 = (double)bond.ForwardPrice(settleDate, ytm, repo).GetScalar(JSEBondForwardEx.Keys.ForwardPrice);
var discountFactor = Math.Exp(-repo * timeToMaturity);
var optionPrice = BlackEtc.Black(PutOrCall.Call, strike, timeToMaturity, bondforwardprice1, vol, discountFactor);
var resultStore = new ResultStore();
resultStore.Add(Keys.BlackOption, optionPrice);
return(resultStore);
}
// HelpTopic = "http://www.quantsa.org/")] // TODO:
public static double FormulaBondOption([ExcelArgument(Description = "The underlying bond option.")]
JSEBondOption bondOptionR153,
[ExcelArgument(Description = "The strike/struck rate of the option.")]
double strike,
[ExcelArgument(Description = "Annualized volatility.")]
double vol,
[ExcelArgument(Description = "The repo rate of the deal.")]
double repo,
[ExcelArgument(Description = "The yield to maturity of the bond.")]
double ytm,
[ExcelArgument(Description = "The underlying bond forward from which the forward price is derived.")]
JSEBondForward bondForward)
{
var bondOptionPrice = (double)JSEBondOptionEx.BlackOption(bondOptionR153, strike, vol, repo, bondForward, ytm).GetScalar(JSEBondOptionEx.Keys.BlackOption);
return(bondOptionPrice);
}
