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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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
<https://www.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/holderextensibleoption.hpp>
#include <ql/instruments/writerextensibleoption.hpp>
#include <ql/pricingengines/exotic/analyticholderextensibleoptionengine.hpp>
#include <ql/pricingengines/exotic/analyticwriterextensibleoptionengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/calendars/target.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(ExtensibleOptionsTests)
BOOST_AUTO_TEST_CASE(testAnalyticHolderExtensibleOptionEngine) {
BOOST_TEST_MESSAGE(
"Testing analytic engine for holder-extensible option...");
Option::Type type = Option::Call;
Real strike1 = 100.0;
Real strike2 = 105.0;
DayCounter dc = Actual360();
Date today = Settings::instance().evaluationDate();
Date exDate1 = today + 180;
Date exDate2 = today + 270;
Real premium = 1.0;
ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(100.0);
ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(0.0);
ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(0.08);
ext::shared_ptr<SimpleQuote> vol = ext::make_shared<SimpleQuote>(0.25);
ext::shared_ptr<StrikedTypePayoff> payoff =
ext::make_shared<PlainVanillaPayoff>(type, strike1);
ext::shared_ptr<Exercise> exercise =
ext::make_shared<EuropeanExercise>(exDate1);
HolderExtensibleOption option(type, premium,
exDate2, strike2,
payoff, exercise);
Handle<Quote> underlying(spot);
Handle<YieldTermStructure> dividendTS(flatRate(today, qRate, dc));
Handle<YieldTermStructure> riskFreeTS(flatRate(today, rRate, dc));
Handle<BlackVolTermStructure> blackVolTS(flatVol(today, vol, dc));
const ext::shared_ptr<BlackScholesMertonProcess> process =
ext::make_shared<BlackScholesMertonProcess>(underlying,
dividendTS,
riskFreeTS,
blackVolTS);
option.setPricingEngine(
ext::make_shared<AnalyticHolderExtensibleOptionEngine>(process));
Real calculated = option.NPV();
Real expected = 9.4233;
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_CASE(testAnalyticWriterExtensibleOptionEngine) {
BOOST_TEST_MESSAGE("Testing analytic engine for writer-extensible option...");
// What we need for the option (tests):
Option::Type type = Option::Call;
Real strike1 = 90.0;
Real strike2 = 82.0;
DayCounter dc = Actual360();
Date today = Settings::instance().evaluationDate();
Date exDate1 = today + 180;
Date exDate2 = today + 270;
ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(80.0);
ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(0.0);
ext::shared_ptr<YieldTermStructure> dividendTS =
flatRate(today, qRate, dc);
ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(0.10);
ext::shared_ptr<YieldTermStructure> riskFreeTS =
flatRate(today, rRate, dc);
ext::shared_ptr<SimpleQuote> vol = ext::make_shared<SimpleQuote>(0.30);
ext::shared_ptr<BlackVolTermStructure> blackVolTS =
flatVol(today, vol, dc);
// B&S process (needed for the engine):
const ext::shared_ptr<GeneralizedBlackScholesProcess> process =
ext::make_shared<GeneralizedBlackScholesProcess>(
Handle<Quote>(spot),
Handle<YieldTermStructure>(dividendTS),
Handle<YieldTermStructure>(riskFreeTS),
Handle<BlackVolTermStructure>(blackVolTS));
// The engine:
ext::shared_ptr<PricingEngine> engine =
ext::make_shared<AnalyticWriterExtensibleOptionEngine>(process);
// Create the arguments:
ext::shared_ptr<PlainVanillaPayoff> payoff1 =
ext::make_shared<PlainVanillaPayoff>(type, strike1);
ext::shared_ptr<Exercise> exercise1 =
ext::make_shared<EuropeanExercise>(exDate1);
ext::shared_ptr<PlainVanillaPayoff> payoff2 =
ext::make_shared<PlainVanillaPayoff>(type, strike2);
ext::shared_ptr<Exercise> exercise2 =
ext::make_shared<EuropeanExercise>(exDate2);
// Create the option by calling the constructor:
WriterExtensibleOption option(payoff1, exercise1,
payoff2, exercise2);
//Set the engine of our option:
option.setPricingEngine(engine);
//Compare the calculated NPV value to the theoretical value:
Real calculated = option.NPV();
Real expected = 6.8238;
Real error = std::fabs(calculated-expected);
Real tolerance = 1e-4;
if (error > tolerance)
BOOST_ERROR("Failed to reproduce writer-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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