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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/time/daycounters/actual360.hpp>
#include <ql/instruments/simplechooseroption.hpp>
#include <ql/instruments/complexchooseroption.hpp>
#include <ql/pricingengines/exotic/analyticsimplechooserengine.hpp>
#include <ql/pricingengines/exotic/analyticcomplexchooserengine.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/utilities/dataformatters.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(ChooserOptionTests)
#undef REPORT_FAILURE
#define REPORT_FAILURE(greekName, choosingDate, \
exercise, s, q, r, today, v, \
expected, calculated, tolerance) \
BOOST_ERROR( \
exerciseTypeToString(exercise) \
<< " Chooser option with " \
<< " spot value: " << s << "\n" \
<< " dividend yield: " << io::rate(q) << "\n" \
<< " risk-free rate: " << io::rate(r) << "\n" \
<< " reference date: " << today << "\n" \
<< " maturity: " << exercise->lastDate() << "\n" \
<< " volatility: " << io::volatility(v) << "\n\n" \
<< " expected " << greekName << ": " << expected << "\n" \
<< " calculated " << greekName << ": " << calculated << "\n"\
<< " error: " << std::fabs(expected-calculated) \
<< "\n" \
<< " tolerance: " << tolerance);
BOOST_AUTO_TEST_CASE(testAnalyticSimpleChooserEngine){
BOOST_TEST_MESSAGE("Testing analytic simple chooser option...");
/* The data below are from
"Complete Guide to Option Pricing Formulas", Espen Gaarder Haug
pages 39-40
*/
DayCounter dc = Actual360();
Date today = Settings::instance().evaluationDate();
ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(50.0);
ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(0.0);
ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, qRate, dc);
ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(0.08);
ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, rRate, dc);
ext::shared_ptr<SimpleQuote> vol = ext::make_shared<SimpleQuote>(0.25);
ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc);
ext::shared_ptr<BlackScholesMertonProcess> stochProcess =
ext::make_shared<BlackScholesMertonProcess>(
Handle<Quote>(spot),
Handle<YieldTermStructure>(qTS),
Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS));
ext::shared_ptr<PricingEngine> engine =
ext::make_shared<AnalyticSimpleChooserEngine>(stochProcess);
Real strike = 50.0;
Date exerciseDate = today + 180;
ext::shared_ptr<Exercise> exercise =
ext::make_shared<EuropeanExercise>(exerciseDate);
Date choosingDate = today + 90;
SimpleChooserOption option(choosingDate,strike,exercise);
option.setPricingEngine(engine);
Real calculated = option.NPV();
Real expected = 6.1071;
Real tolerance = 3e-5;
if (std::fabs(calculated-expected) > tolerance) {
REPORT_FAILURE("value", choosingDate,
exercise, spot->value(),
qRate->value(), rRate->value(), today,
vol->value(), expected, calculated, tolerance);
}
}
BOOST_AUTO_TEST_CASE(testAnalyticComplexChooserEngine){
BOOST_TEST_MESSAGE("Testing analytic complex chooser option...");
/* The example below is from
"Complete Guide to Option Pricing Formulas", Espen Gaarder Haug
*/
DayCounter dc = Actual360();
Date today = Date::todaysDate();
ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(50.0);
ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(0.05);
ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, qRate, dc);
ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(0.10);
ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, rRate, dc);
ext::shared_ptr<SimpleQuote> vol = ext::make_shared<SimpleQuote>(0.35);
ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc);
ext::shared_ptr<BlackScholesMertonProcess> stochProcess =
ext::make_shared<BlackScholesMertonProcess>(
Handle<Quote>(spot),
Handle<YieldTermStructure>(qTS),
Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS));
ext::shared_ptr<PricingEngine> engine =
ext::make_shared<AnalyticComplexChooserEngine>(stochProcess);
Real callStrike = 55.0;
Real putStrike = 48.0;
Date choosingDate = today + 90;
Date callExerciseDate = choosingDate + 180;
Date putExerciseDate = choosingDate + 210;
ext::shared_ptr<Exercise> callExercise =
ext::make_shared<EuropeanExercise>(callExerciseDate);
ext::shared_ptr<Exercise> putExercise =
ext::make_shared<EuropeanExercise>(putExerciseDate);
ComplexChooserOption option(choosingDate,callStrike,putStrike,
callExercise,putExercise);
option.setPricingEngine(engine);
Real calculated = option.NPV();
Real expected = 6.0508;
Real error = std::fabs(calculated-expected);
Real tolerance = 1e-4;
if (error > tolerance) {
BOOST_ERROR("Failed to reproduce complex chooser option value"
<< "\n expected: " << expected
<< "\n calculated: " << calculated
<< "\n error: " << error);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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