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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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/instruments/twoassetcorrelationoption.hpp>
#include <ql/pricingengines/exotic/analytictwoassetcorrelationengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/daycounters/actual360.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(TwoAssetCorrelationOptionTests)
BOOST_AUTO_TEST_CASE(testAnalyticEngine) {
BOOST_TEST_MESSAGE(
"Testing analytic engine for two-asset correlation option...");
Date today = Settings::instance().evaluationDate();
DayCounter dc = Actual360();
Option::Type type = Option::Call;
Real strike1 = 50.0;
Real strike2 = 70.0;
Date exDate = today + 180;
ext::shared_ptr<Exercise> exercise =
ext::make_shared<EuropeanExercise>(exDate);
TwoAssetCorrelationOption option(type, strike1, strike2, exercise);
Handle<Quote> underlying1(ext::make_shared<SimpleQuote>(52.0));
Handle<Quote> underlying2(ext::make_shared<SimpleQuote>(65.0));
Handle<YieldTermStructure> dividendTS1(flatRate(today, 0.0, dc));
Handle<YieldTermStructure> dividendTS2(flatRate(today, 0.0, dc));
Handle<YieldTermStructure> riskFreeTS(flatRate(today, 0.1, dc));
Handle<BlackVolTermStructure> blackVolTS1(flatVol(today, 0.2, dc));
Handle<BlackVolTermStructure> blackVolTS2(flatVol(today, 0.3, dc));
Handle<Quote> correlation(ext::make_shared<SimpleQuote>(0.75));
ext::shared_ptr<BlackScholesMertonProcess> process1 =
ext::make_shared<BlackScholesMertonProcess>(underlying1,
dividendTS1,
riskFreeTS,
blackVolTS1);
ext::shared_ptr<BlackScholesMertonProcess> process2 =
ext::make_shared<BlackScholesMertonProcess>(underlying2,
dividendTS2,
riskFreeTS,
blackVolTS2);
option.setPricingEngine(
ext::make_shared<AnalyticTwoAssetCorrelationEngine>(process1,
process2,
correlation));
Real calculated = option.NPV();
Real expected = 4.7073;
Real error = std::fabs(calculated-expected);
Real tolerance = 1e-4;
if (error > tolerance)
BOOST_ERROR("Failed to reproduce holder-extensible 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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