public static relativeError ( double x1, double x2, double reference ) : double | ||
x1 | double | |
x2 | double | |
reference | double | |
return | double |
public void testATMRate() { CommonVars vars = new CommonVars(); int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 }; double[] strikes = { 0.0, 0.03, 0.04, 0.05, 0.06, 0.07 }; double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 }; Date startDate = vars.termStructure.link.referenceDate(); for (int i = 0; i < lengths.Length; i++) { List <CashFlow> leg = vars.makeLeg(startDate, lengths[i]); Date maturity = vars.calendar.advance(startDate, lengths[i], TimeUnit.Years, vars.convention); Schedule schedule = new Schedule(startDate, maturity, new Period(vars.frequency), vars.calendar, vars.convention, vars.convention, DateGeneration.Rule.Forward, false); for (int j = 0; j < strikes.Length; j++) { for (int k = 0; k < vols.Length; k++) { CapFloor cap = vars.makeCapFloor(CapFloorType.Cap, leg, strikes[j], vols[k]); CapFloor floor = vars.makeCapFloor(CapFloorType.Floor, leg, strikes[j], vols[k]); double capATMRate = cap.atmRate(vars.termStructure); double floorATMRate = floor.atmRate(vars.termStructure); if (!checkAbsError(floorATMRate, capATMRate, 1.0e-10)) { Assert.Fail( "Cap ATM Rate and floor ATM Rate should be equal :\n" + " length: " + lengths[i] + " years\n" + " volatility: " + vols[k] + "\n" + " strike: " + strikes[j] + "\n" + " cap ATM rate: " + capATMRate + "\n" + " floor ATM rate:" + floorATMRate + "\n" + " relative Error:" + Utilities.relativeError(capATMRate, floorATMRate, capATMRate) * 100 + "%"); } VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, vars.nominals[0], schedule, floorATMRate, vars.index.dayCounter(), schedule, vars.index, 0.0, vars.index.dayCounter()); swap.setPricingEngine((IPricingEngine)( new DiscountingSwapEngine(vars.termStructure))); double swapNPV = swap.NPV(); if (!checkAbsError(swapNPV, 0, 1.0e-10)) { Assert.Fail( "the NPV of a Swap struck at ATM rate " + "should be equal to 0:\n" + " length: " + lengths[i] + " years\n" + " volatility: " + vols[k] + "\n" + " ATM rate: " + floorATMRate + "\n" + " swap NPV: " + swapNPV); } } } } }
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 testFdGreeks <Engine>() where Engine : IFDEngine, new() { //SavedSettings backup; Dictionary <string, double> calculated = new Dictionary <string, double>(), expected = new Dictionary <string, double>(), tolerance = new Dictionary <string, double>(); tolerance.Add("delta", 7.0e-4); tolerance.Add("gamma", 2.0e-4); //tolerance["theta"] = 1.0e-4; Option.Type[] types = new Option.Type[] { Option.Type.Call, Option.Type.Put }; double[] strikes = { 50.0, 99.5, 100.0, 100.5, 150.0 }; double[] underlyings = { 100.0 }; double[] qRates = { 0.04, 0.05, 0.06 }; double[] rRates = { 0.01, 0.05, 0.15 }; int[] years = { 1, 2 }; double[] vols = { 0.11, 0.50, 1.20 }; Date today = Date.Today; Settings.setEvaluationDate(today); DayCounter dc = new Actual360(); 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 < types.Length; i++) { for (int j = 0; j < strikes.Length; j++) { for (int k = 0; k < years.Length; k++) { Date exDate = today + new Period(years[k], TimeUnit.Years); Exercise exercise = new AmericanExercise(today, exDate); StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], strikes[j]); BlackScholesMertonProcess stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), new Handle <YieldTermStructure>(qTS), new Handle <YieldTermStructure>(rTS), new Handle <BlackVolTermStructure>(volTS)); IPricingEngine engine = new Engine().factory(stochProcess); VanillaOption option = new VanillaOption(payoff, exercise); 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.Add("delta", option.delta()); calculated.Add("gamma", option.gamma()); //calculated["theta"] = option.theta(); 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.Add("delta", (value_p - value_m) / (2 * du)); expected.Add("gamma", (delta_p - delta_m) / (2 * du)); /* * // perturb date and get theta * Time dT = dc.yearFraction(today-1, today+1); * Settings::instance().setEvaluationDate(today-1); * value_m = option.NPV(); * Settings::instance().setEvaluationDate(today+1); * value_p = option.NPV(); * Settings::instance().setEvaluationDate(today); * expected["theta"] = (value_p - value_m)/dT; */ // compare 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); } } } calculated.Clear(); expected.Clear(); } } } } } } } }
void testFdGreeks <Engine>(Date today, Exercise exercise) where Engine : IFDEngine, new() { Dictionary <string, double> calculated = new Dictionary <string, double>(), expected = new Dictionary <string, double>(), tolerance = new Dictionary <string, double>(); tolerance.Add("delta", 5.0e-3); tolerance.Add("gamma", 7.0e-3); // tolerance["theta"] = 1.0e-2; 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, 0.20 }; double[] rRates = { 0.01, 0.05, 0.15 }; double[] vols = { 0.05, 0.20, 0.50 }; DayCounter dc = new Actual360(); 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++) { 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 Engine().factory(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); // FLOATING_POINT_EXCEPTION double value = option.NPV(); calculated["delta"] = option.delta(); calculated["gamma"] = option.gamma(); // calculated["theta"] = option.theta(); 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 date and get theta /* * Time dT = dc.yearFraction(today-1, today+1); * Settings::instance().evaluationDate() = today-1; * value_m = option.NPV(); * Settings::instance().evaluationDate() = today+1; * value_p = option.NPV(); * Settings::instance().evaluationDate() = today; * expected["theta"] = (value_p - value_m)/dT; */ // compare 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); } } } } } } } } } }
//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 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); } } } } } } } } } } } }
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); } } } } } } } } } } } }
private void testForwardGreeks(Type engine_type) { 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 }; int[] startMonths = { 6, 9 }; 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 stochProcess = new BlackScholesMertonProcess(new Handle <Quote>(spot), qTS, rTS, volTS); IPricingEngine engine = engine_type == typeof(ForwardVanillaEngine) ? new ForwardVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)) : new ForwardPerformanceVanillaEngine(stochProcess, process => new AnalyticEuropeanEngine(process)); 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 h = 0; h < startMonths.Length; h++) { Date exDate = today + new Period(lengths[k], TimeUnit.Years); Exercise exercise = new EuropeanExercise(exDate); Date reset = today + new Period(startMonths[h], TimeUnit.Months); StrikedTypePayoff payoff = new PlainVanillaPayoff(types[i], 0.0); ForwardVanillaOption option = new ForwardVanillaOption(moneyness[j], reset, payoff, exercise); 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 //std::map<std::string,double>::iterator it; 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, moneyness[j], reset, expct, calcl, error, tol); } } } } } } } } } } } }