public void TestConvertibleBond_BSPricer()
{
var convertibleBond = GeliCB(American: false);
var optionEngine = new AnalyticalVanillaEuropeanOptionEngine();
var engine = new SimpleConvertibleBondEngine <AnalyticalVanillaEuropeanOptionEngine>(optionEngine as AnalyticalVanillaEuropeanOptionEngine);
var market = TestMarket_Jin("2017-10-25", spot: 6.14);
var result = engine.Calculate(convertibleBond, market, PricingRequest.All);
var optionPrem = market.MktQuote.Value[convertibleBond.Bond.Id].Item2 - result.Pv;
Assert.AreEqual(convertibleBond.ConversionRatio * 1.634147761, optionPrem, 1e-7);
}
//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 TestConvertibleBond_14BaoGangE_BSPricer_NoFailure()
{
var convertibleBond = BaoGangCB();
var optionEngine = new AnalyticalVanillaEuropeanOptionEngine();
var engine = new SimpleConvertibleBondEngine <AnalyticalVanillaEuropeanOptionEngine>(optionEngine as AnalyticalVanillaEuropeanOptionEngine);
var market = TestMarket_Jin("2017-10-24", spot: 58.6800, CBprice: 141.97);
var result = engine.Calculate(convertibleBond, market, PricingRequest.All);
var optionPrem = market.MktQuote.Value[convertibleBond.Bond.Id].Item2 - result.Pv;
Assert.AreEqual(convertibleBond.ConversionRatio * 16.74444583, optionPrem, 1e-7);
}
public void TestConvertibleBond_TreePricer()
{
var convertibleBond = GeliCB();
var engine = new SimpleConvertibleBondEngine <BinomialTreeAmericanEngine>(
new BinomialTreeAmericanEngine(BinomialTreeType.CoxRossRubinstein, 2000)
);
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 * 1.598263004, optionPrem, 1e-7);
}
