public void testPastFixings() { //BOOST_MESSAGE("Testing use of past fixings in Asian options..."); DayCounter dc = new Actual360(); Date today = Date.Today ; SimpleQuote spot = new SimpleQuote(100.0); SimpleQuote qRate = new SimpleQuote(0.03); YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc); SimpleQuote rRate = new SimpleQuote(0.06); YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc); SimpleQuote vol = new SimpleQuote(0.20); BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc); StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, 100.0); Exercise exercise = new EuropeanExercise(today + new Period(1,TimeUnit.Years)); BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle<Quote>(spot), new Handle<YieldTermStructure>(qTS), new Handle<YieldTermStructure>(rTS), new Handle<BlackVolTermStructure>(volTS)); // MC arithmetic average-price double runningSum = 0.0; int pastFixings = 0; List<Date> fixingDates1 = new InitializedList<Date>(); for (int i=0; i<=12; ++i) fixingDates1.Add(today + new Period(i,TimeUnit.Months)); DiscreteAveragingAsianOption option1 = new DiscreteAveragingAsianOption(Average.Type.Arithmetic, runningSum, pastFixings, fixingDates1, payoff, exercise); pastFixings = 2; runningSum = pastFixings * spot.value() * 0.8; List<Date> fixingDates2 = new InitializedList<Date>(); for (int i=-2; i<=12; ++i) fixingDates2.Add(today + new Period(i,TimeUnit.Months)); DiscreteAveragingAsianOption option2 = new DiscreteAveragingAsianOption(Average.Type.Arithmetic, runningSum, pastFixings, fixingDates2, payoff, exercise); IPricingEngine engine = new MakeMCDiscreteArithmeticAPEngine<LowDiscrepancy,Statistics>(stochProcess) .withStepsPerYear(1) .withSamples(2047) .value() ; option1.setPricingEngine(engine); option2.setPricingEngine(engine); double price1 = option1.NPV(); double price2 = option2.NPV(); if (Utils.close(price1, price2)) { Assert.Fail( "past fixings had no effect on arithmetic average-price option" + "\n without fixings: " + price1 + "\n with fixings: " + price2); } // MC arithmetic average-strike engine = new MakeMCDiscreteArithmeticASEngine<LowDiscrepancy,Statistics>(stochProcess) .withSamples(2047) .value(); option1.setPricingEngine(engine); option2.setPricingEngine(engine); price1 = option1.NPV(); price2 = option2.NPV(); if (Utils.close(price1, price2)) { Assert.Fail( "past fixings had no effect on arithmetic average-strike option" + "\n without fixings: " + price1 + "\n with fixings: " + price2); } // analytic geometric average-price double runningProduct = 1.0; pastFixings = 0; DiscreteAveragingAsianOption option3 = new DiscreteAveragingAsianOption(Average.Type.Geometric, runningProduct, pastFixings, fixingDates1, payoff, exercise); pastFixings = 2; runningProduct = spot.value() * spot.value(); DiscreteAveragingAsianOption option4 = new DiscreteAveragingAsianOption(Average.Type.Geometric, runningProduct, pastFixings, fixingDates2, payoff, exercise); engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess); option3.setPricingEngine(engine); option4.setPricingEngine(engine); double price3 = option3.NPV(); double price4 = option4.NPV(); if (Utils.close(price3, price4)) { Assert.Fail( "past fixings had no effect on geometric average-price option" + "\n without fixings: " + price3 + "\n with fixings: " + price4); } // MC geometric average-price engine = new MakeMCDiscreteGeometricAPEngine<LowDiscrepancy,Statistics>(stochProcess) .withStepsPerYear(1) .withSamples(2047) .value(); option3.setPricingEngine(engine); option4.setPricingEngine(engine); price3 = option3.NPV(); price4 = option4.NPV(); if (Utils.close(price3, price4)) { Assert.Fail( "past fixings had no effect on geometric average-price option" + "\n without fixings: " + price3 + "\n with fixings: " + price4); } }
public void testMCDiscreteGeometricAveragePrice() { //BOOST_MESSAGE("Testing Monte Carlo discrete geometric average-price Asians..."); // data from "Implementing Derivatives Model", // Clewlow, Strickland, p.118-123 DayCounter dc = new Actual360(); Date today = Date.Today; SimpleQuote spot = new SimpleQuote(100.0); SimpleQuote qRate = new SimpleQuote(0.03); YieldTermStructure qTS = Utilities.flatRate(today, qRate, dc); SimpleQuote rRate = new SimpleQuote(0.06); YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc); SimpleQuote vol = new SimpleQuote(0.20); BlackVolTermStructure volTS =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)); double tolerance = 4.0e-3; IPricingEngine engine = new MakeMCDiscreteGeometricAPEngine <LowDiscrepancy,Statistics>(stochProcess) .withStepsPerYear(1) .withSamples(8191) .value(); Average.Type averageType = Average.Type.Geometric; double runningAccumulator = 1.0; int pastFixings = 0; int futureFixings = 10; Option.Type type = Option.Type.Call; double strike = 100.0; StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike); Date exerciseDate = today + 360; Exercise exercise = new EuropeanExercise(exerciseDate); List<Date> fixingDates = new InitializedList<Date>(futureFixings); int dt = (int)(360/futureFixings+0.5); fixingDates[0] = today + dt; for (int j=1; j<futureFixings; j++) fixingDates[j] = fixingDates[j-1] + dt; DiscreteAveragingAsianOption option = new DiscreteAveragingAsianOption(averageType, runningAccumulator, pastFixings, fixingDates, payoff, exercise); option.setPricingEngine(engine); double calculated = option.NPV(); IPricingEngine engine2 = new AnalyticDiscreteGeometricAveragePriceAsianEngine(stochProcess); option.setPricingEngine(engine2); double expected = option.NPV(); if (Math.Abs(calculated-expected) > tolerance) { REPORT_FAILURE("value", averageType, runningAccumulator, pastFixings, fixingDates, payoff, exercise, spot.value(), qRate.value(), rRate.value(), today, vol.value(), expected, calculated, tolerance); } }