1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
|
#!/usr/bin/python
"""
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
"""
__version__ = "$Revision: 1.14 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/american_option.py,v $
import QuantLib
import unittest
def relErr(x1,x2,reference):
if reference != 0.0:
return abs(x1-x2)/reference
else:
return 10e10
class FdAmericanOptionTest(unittest.TestCase):
def runTest(self):
"Testing step condition options"
nstp = 145
ngrd = nstp + 1
# ranges
rangeUnder = [100]
rangeQrate = [0.04, 0.05, 0.06]
rangeResTime = [1.0]
rangeStrike = [50, 100, 150]
rangeVol = [ 0.05, 0.5, 1.2]
rangeRrate = [ 0.01, 0.05, 0.15]
err_delta = 2e-3
err_gamma = 2e-3
err_theta = 2e-3
err_rho = 2e-3
err_divRho= 2e-3
err_vega = 2e-3
for pricer in [QuantLib.FdAmericanOption, QuantLib.FdShoutOption]:
for typ in ['Call','Put','Straddle']:
for under in rangeUnder:
for Qrate in rangeQrate:
for resTime in rangeResTime:
for Rrate in rangeRrate:
for strike in rangeStrike:
for vol in rangeVol:
#Check Greeks
dS = under/10000.0
dT = resTime/nstp
dVol = vol/10000.0
dR = Rrate/10000.0
dQ = Qrate/10000.0
opt = pricer(typ, under, strike, Qrate, Rrate, resTime,
vol, nstp, ngrd)
opt_val = opt.value()
if opt_val>0.00001*under:
optPs = pricer(typ, under+dS, strike, Qrate, Rrate,
resTime ,vol, nstp, ngrd)
optMs = pricer(typ, under-dS, strike, Qrate, Rrate,
resTime, vol, nstp, ngrd)
optPt = pricer(typ, under, strike, Qrate, Rrate,
resTime+dT, vol, nstp+1, ngrd)
optMt = pricer(typ, under, strike, Qrate, Rrate,
resTime-dT, vol, nstp-1, ngrd)
optPr = pricer(typ, under, strike, Qrate, Rrate+dR,
resTime, vol, nstp, ngrd)
optMr = pricer(typ, under, strike, Qrate, Rrate-dR,
resTime, vol, nstp, ngrd)
optPq = pricer(typ, under, strike, Qrate+dQ, Rrate,
resTime, vol, nstp, ngrd)
optMq = pricer(typ, under, strike, Qrate-dQ, Rrate,
resTime, vol, nstp, ngrd)
optPv = pricer(typ, under, strike, Qrate, Rrate,
resTime, vol+dVol, nstp, ngrd)
optMv = pricer(typ, under, strike, Qrate, Rrate,
resTime, vol-dVol, nstp, ngrd)
# numeric values
deltaNum = (optPs.value()-optMs.value())/(2*dS)
gammaNum = (optPs.delta()-optMs.delta())/(2*dS)
thetaNum =-(optPt.value()-optMt.value())/(2*dT)
rhoNum = (optPr.value()-optMr.value())/(2*dR)
divRhoNum = (optPq.value()-optMq.value())/(2*dQ)
vegaNum = (optPv.value()-optMv.value())/(2*dVol)
# calculated values
delta = opt.delta()
gamma = opt.gamma()
theta = opt.theta()
rho = opt.rho()
divRho = opt.dividendRho()
vega = opt.vega()
if not (relErr(delta,deltaNum,under)<=err_delta
and relErr(gamma,gammaNum,under)<=err_gamma
and relErr(theta,thetaNum,under)<=err_theta
and relErr(rho, rhoNum, under)<=err_rho
and relErr(divRho,divRhoNum,under)<=err_divRho
and relErr(vega, vegaNum, under)<=err_vega):
self.fail("""
Option details: %(typ)s %(under)f %(strike)f %(Qrate)f %(Rrate)f %(resTime)f %(vol)f
value = %(opt_val)+9.5f
delta = %(delta)+9.5f, deltaNum = %(deltaNum)+9.5f
gamma = %(gamma)+9.5f, gammaNum = %(gammaNum)+9.5f
theta = %(theta)+9.5f, thetaNum = %(thetaNum)+9.5f
rho = %(rho)+9.5f, rhoNum = %(rhoNum)+9.5f
divRho = %(divRho)+9.5f, divRhoNum = %(divRhoNum)+9.5f
vega = %(vega)+9.5f, vegaNum = %(vegaNum)+9.5f
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(FdAmericanOptionTest())
if sys.hexversion >= 0x020100f0:
unittest.TextTestRunner(verbosity=2).run(suite)
else:
unittest.TextTestRunner().run(suite)
raw_input('press any key to continue')
|
