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#!/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: 1.16 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/barrier_option.py,v $
import QuantLib
import unittest
from math import fabs
class BarrierOptionTest(unittest.TestCase):
def runTest(self):
"Testing barrier option pricer"
maxErrorAllowed = 5e-5
maxStraddleErrorAllowed = 5e-4
underPrice = 100
rebate = 3
resTime = 0.5
rRate = 0.08
divRate = 0.04
# this table is from:
# "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
# pag 72
values = []
# barrType, vol,strike, barrier, ( Call, Put)
values.append(("DownOut", 0.25, 90, 95, ( 9.0246, 2.2798)))
values.append(("DownOut", 0.25, 100, 95, ( 6.7924, 2.2947)))
values.append(("DownOut", 0.25, 110, 95, ( 4.8759, 2.6252)))
values.append(("DownOut", 0.25, 90, 100, ( 3.0000, 3.0000)))
values.append(("DownOut", 0.25, 100, 100, ( 3.0000, 3.0000)))
values.append(("DownOut", 0.25, 110, 100, ( 3.0000, 3.0000)))
values.append(("UpOut", 0.25, 90, 105, ( 2.6789, 3.7760)))
values.append(("UpOut", 0.25, 100, 105, ( 2.3580, 5.4932)))
values.append(("UpOut", 0.25, 110, 105, ( 2.3453, 7.5187)))
values.append(("DownIn", 0.25, 90, 95, ( 7.7627, 2.9586)))
values.append(("DownIn", 0.25, 100, 95, ( 4.0109, 6.5677)))
values.append(("DownIn", 0.25, 110, 95, ( 2.0576, 11.9752)))
values.append(("DownIn", 0.25, 90, 100, (13.8333, 2.2845)))
values.append(("DownIn", 0.25, 100, 100, ( 7.8494, 5.9085)))
values.append(("DownIn", 0.25, 110, 100, ( 3.9795, 11.6465)))
values.append(("UpIn", 0.25, 90, 105, (14.1112, 1.4653)))
values.append(("UpIn", 0.25, 100, 105, ( 8.4482, 3.3721)))
values.append(("UpIn", 0.25, 110, 105, ( 4.5910, 7.0846)))
values.append(("DownOut", 0.30, 90, 95, ( 8.8334, 2.4170)))
values.append(("DownOut", 0.30, 100, 95, ( 7.0285, 2.4258)))
values.append(("DownOut", 0.30, 110, 95, ( 5.4137, 2.6246)))
values.append(("DownOut", 0.30, 90, 100, ( 3.0000, 3.0000)))
values.append(("DownOut", 0.30, 100, 100, ( 3.0000, 3.0000)))
values.append(("DownOut", 0.30, 110, 100, ( 3.0000, 3.0000)))
values.append(("UpOut", 0.30, 90, 105, ( 2.6341, 4.2293)))
values.append(("UpOut", 0.30, 100, 105, ( 2.4389, 5.8032)))
values.append(("UpOut", 0.30, 110, 105, ( 2.4315, 7.5649)))
values.append(("DownIn", 0.30, 90, 95, ( 9.0093, 3.8769)))
values.append(("DownIn", 0.30, 100, 95, ( 5.1370, 7.7989)))
values.append(("DownIn", 0.30, 110, 95, ( 2.8517, 13.3078)))
values.append(("DownIn", 0.30, 90, 100, (14.8816, 3.3328)))
values.append(("DownIn", 0.30, 100, 100, ( 9.2045, 7.2636)))
values.append(("DownIn", 0.30, 110, 100, ( 5.3043, 12.9713)))
values.append(("UpIn", 0.30, 90, 105, (15.2098, 2.0658)))
values.append(("UpIn", 0.30, 100, 105, ( 9.7278, 4.4226)))
values.append(("UpIn", 0.30, 110, 105, ( 5.8350, 8.3686)))
for option in values:
barrType, vol, strike, barrier, results = option
opCall = QuantLib.BarrierOption(barrType, "Call", underPrice,
strike, divRate, rRate, resTime, vol, barrier, rebate)
calculated = opCall.value()
expected = results[0]
error = fabs(calculated - expected)
if not (error <= maxErrorAllowed):
self.fail("""
%(barrType)7s Call %4(strike)i %4(barrier)i
value: %(calculated)8.4f
expected: %(expected)8.4f
error: %(error)12.2e
""" % locals())
opPut = QuantLib.BarrierOption(barrType, "Put", underPrice,
strike, divRate, rRate, resTime, vol, barrier, rebate)
calculated = opPut.value()
expected = results[1]
error = fabs(calculated - expected)
if not (error <= maxErrorAllowed):
self.fail("""
%(barrType)7s Put %4(strike)i %4(barrier)i
value: %(calculated)8.4f
expected: %(expected)8.4f
error: %(error)12.2e
""" % locals())
opStraddle = QuantLib.BarrierOption(barrType, "Straddle",
underPrice, strike, divRate, rRate, resTime, vol, barrier,
rebate)
calculated = opStraddle.value()
expected = results[0] + results[1]
error = fabs(calculated - expected)
if not (error <= maxStraddleErrorAllowed):
self.fail("""
%(barrType)7s Straddle %(strike)4i %(barrier)4i
value: %(calculated)8.4f
expected: %(expected)8.4f
error: %(error)12.2e
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(BarrierOptionTest())
if sys.hexversion >= 0x020100f0:
unittest.TextTestRunner(verbosity=2).run(suite)
else:
unittest.TextTestRunner().run(suite)
raw_input('press any key to continue')
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