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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
<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/partialtimebarrieroption.hpp>
#include <ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.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(PartialTimeBarrierOptionTests)
#undef REPORT_FAILURE
#define REPORT_FAILURE(greekName, barrierType, barrier, rebate, payoff, \
exercise, s, q, r, today, v, expected, calculated, \
error, tolerance) \
BOOST_ERROR("\n" << barrierTypeToString(barrierType) << " " \
<< exerciseTypeToString(exercise) << " " \
<< payoff->optionType() << " option with " \
<< payoffTypeToString(payoff) << " payoff:\n" \
<< " underlying value: " << s << "\n" \
<< " strike: " << payoff->strike() << "\n" \
<< " barrier: " << barrier << "\n" \
<< " rebate: " << rebate << "\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: " << error << "\n" \
<< " tolerance: " << tolerance);
struct TestCase {
Real underlying;
Real strike;
Integer days;
Real result;
};
BOOST_AUTO_TEST_CASE(testAnalyticEngine) {
BOOST_TEST_MESSAGE(
"Testing analytic engine for partial-time barrier option...");
Date today = Settings::instance().evaluationDate();
Option::Type type = Option::Call;
DayCounter dc = Actual360();
Date maturity = today + 360;
auto exercise =
ext::make_shared<EuropeanExercise>(maturity);
Real barrier = 100.0;
Real rebate = 0.0;
auto spot = ext::make_shared<SimpleQuote>();
auto qRate = ext::make_shared<SimpleQuote>(0.0);
auto rRate = ext::make_shared<SimpleQuote>(0.1);
auto vol = ext::make_shared<SimpleQuote>(0.25);
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 auto process =
ext::make_shared<BlackScholesMertonProcess>(underlying,
dividendTS,
riskFreeTS,
blackVolTS);
auto engine =
ext::make_shared<AnalyticPartialTimeBarrierOptionEngine>(process);
TestCase cases[] = {
{ 95.0, 90.0, 1, 0.0393 },
{ 95.0, 110.0, 1, 0.0000 },
{ 105.0, 90.0, 1, 9.8751 },
{ 105.0, 110.0, 1, 6.2303 },
{ 95.0, 90.0, 90, 6.2747 },
{ 95.0, 110.0, 90, 3.7352 },
{ 105.0, 90.0, 90, 15.6324 },
{ 105.0, 110.0, 90, 9.6812 },
{ 95.0, 90.0, 180, 10.3345 },
{ 95.0, 110.0, 180, 5.8712 },
{ 105.0, 90.0, 180, 19.2896 },
{ 105.0, 110.0, 180, 11.6055 },
{ 95.0, 90.0, 270, 13.4342 },
{ 95.0, 110.0, 270, 7.1270 },
{ 105.0, 90.0, 270, 22.0753 },
{ 105.0, 110.0, 270, 12.7342 },
{ 95.0, 90.0, 359, 16.8576 },
{ 95.0, 110.0, 359, 7.5763 },
{ 105.0, 90.0, 359, 25.1488 },
{ 105.0, 110.0, 359, 13.1376 }
};
for (auto& i : cases) {
Date coverEventDate = today + i.days;
auto payoff =
ext::make_shared<PlainVanillaPayoff>(type, i.strike);
PartialTimeBarrierOption option(Barrier::DownOut,
PartialBarrier::EndB1,
barrier, rebate,
coverEventDate,
payoff, exercise);
option.setPricingEngine(engine);
spot->setValue(i.underlying);
Real calculated = option.NPV();
Real expected = i.result;
Real error = std::fabs(calculated-expected);
Real tolerance = 1e-4;
if (error > tolerance)
REPORT_FAILURE("value", Barrier::DownOut, barrier, rebate, payoff,
exercise, i.underlying, 0.0, 0.1, today, 0.25,
expected, calculated, error, tolerance);
}
}
BOOST_AUTO_TEST_CASE(testAnalyticEnginePutOption) {
BOOST_TEST_MESSAGE(
"Testing analytic engine for partial-time put barrier option...");
Date today = Settings::instance().evaluationDate();
Option::Type type = Option::Put;
DayCounter dc = Actual360();
Date maturity = today + 360;
auto exercise =
ext::make_shared<EuropeanExercise>(maturity);
Real barrier = 100.0;
Real rebate = 0.0;
auto spot = ext::make_shared<SimpleQuote>();
auto qRate = ext::make_shared<SimpleQuote>(0.0);
auto rRate = ext::make_shared<SimpleQuote>(0.1);
auto vol = ext::make_shared<SimpleQuote>(0.25);
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 auto process =
ext::make_shared<BlackScholesMertonProcess>(underlying,
dividendTS,
riskFreeTS,
blackVolTS);
auto engine =
ext::make_shared<AnalyticPartialTimeBarrierOptionEngine>(process);
TestCase cases[] = {
{ 95.0, 90.0, 1, 1.5551 },
{ 95.0, 95.0, 1, 2.0589 },
{ 90.0, 95.0, 1, 4.4512 },
{ 99.0, 90.0, 1, 0.3404 },
{ 95.0, 90.0, 90, 2.4181 },
{ 95.0, 95.0, 90, 3.2257 },
{ 90.0, 95.0, 90, 5.0624 },
{ 99.0, 90.0, 90, 1.5992 },
{ 95.0, 90.0, 180, 3.0021 },
{ 95.0, 95.0, 180, 4.0617 },
{ 90.0, 95.0, 180, 5.7960 },
{ 99.0, 90.0, 180, 2.1903 },
{ 95.0, 90.0, 270, 3.4194 },
{ 95.0, 95.0, 270, 4.7362 },
{ 90.0, 95.0, 270, 6.4370 },
{ 99.0, 90.0, 270, 2.6025 },
{ 95.0, 90.0, 359, 3.5965 },
{ 95.0, 95.0, 359, 5.1865 },
{ 90.0, 95.0, 359, 6.8782 },
{ 99.0, 90.0, 359, 2.7759 }
};
for (auto& i : cases) {
Date coverEventDate = today + i.days;
auto payoff =
ext::make_shared<PlainVanillaPayoff>(type, i.strike);
PartialTimeBarrierOption option(Barrier::UpOut,
PartialBarrier::EndB1,
barrier, rebate,
coverEventDate,
payoff, exercise);
option.setPricingEngine(engine);
spot->setValue(i.underlying);
Real calculated = option.NPV();
Real expected = i.result;
Real error = std::fabs(calculated-expected);
Real tolerance = 1e-4;
if (error > tolerance)
REPORT_FAILURE("value", Barrier::UpOut, barrier, rebate, payoff,
exercise, i.underlying, 0.0, 0.1, today, 0.25,
expected, calculated, error, tolerance);
}
}
BOOST_AUTO_TEST_CASE(testPutCallSymmetry) {
BOOST_TEST_MESSAGE(
"Testing put-call symmetry for the partial-time barrier option...");
Date today = Settings::instance().evaluationDate();
struct PutCallSymmetryTestCase {
Real callStrike;
Real callBarrier;
Barrier::Type callType;
Real putStrike;
Real putBarrier;
Integer days;
Barrier::Type putType;
};
PutCallSymmetryTestCase cases[] = {
{ 105.2631, 95.2380, Barrier::DownOut, 95.0, 105.0, 1, Barrier::UpOut },
{ 105.2631, 95.2380, Barrier::DownOut, 95.0, 105.0, 90, Barrier::UpOut },
{ 105.2631, 95.2380, Barrier::DownOut, 95.0, 105.0, 180, Barrier::UpOut },
{ 105.2631, 95.2380, Barrier::DownOut, 95.0, 105.0, 270, Barrier::UpOut },
{ 105.2631, 95.2380, Barrier::DownOut, 95.0, 105.0, 359, Barrier::UpOut },
{ 110.0, 120.0, Barrier::UpOut, 90.9090, 83.3333, 1, Barrier::DownOut },
{ 110.0, 120.0, Barrier::UpOut, 90.9090, 83.3333, 90, Barrier::DownOut },
{ 110.0, 120.0, Barrier::UpOut, 90.9090, 83.3333, 180, Barrier::DownOut },
{ 110.0, 120.0, Barrier::UpOut, 90.9090, 83.3333, 270, Barrier::DownOut },
{ 110.0, 120.0, Barrier::UpOut, 90.9090, 83.3333, 359, Barrier::DownOut },
};
DayCounter dc = Actual360();
Date maturity = today + 360;
auto exercise =
ext::make_shared<EuropeanExercise>(maturity);
Real r = 0.01;
Real rebate = 0.0;
Real spotPrice = 100.0;
auto spot = ext::make_shared<SimpleQuote>();
auto qRate = ext::make_shared<SimpleQuote>(0.0);
auto rRate = ext::make_shared<SimpleQuote>(r);
auto vol = ext::make_shared<SimpleQuote>(0.25);
Handle<Quote> underlying(spot);
Handle<YieldTermStructure> dividendTSCall(flatRate(today, qRate, dc));
Handle<YieldTermStructure> riskFreeTSCall(flatRate(today, rRate, dc));
Handle<YieldTermStructure> dividendTSPut(flatRate(today, rRate, dc));
Handle<YieldTermStructure> riskFreeTSPut(flatRate(today, qRate, dc));
Handle<BlackVolTermStructure> blackVolTS(flatVol(today, vol, dc));
const auto callProcess =
ext::make_shared<BlackScholesMertonProcess>(underlying,
dividendTSCall,
riskFreeTSCall,
blackVolTS);
const auto putProcess =
ext::make_shared<BlackScholesMertonProcess>(underlying,
dividendTSPut,
riskFreeTSPut,
blackVolTS);
auto callEngine =
ext::make_shared<AnalyticPartialTimeBarrierOptionEngine>(callProcess);
auto putEngine =
ext::make_shared<AnalyticPartialTimeBarrierOptionEngine>(putProcess);
for (auto& i : cases) {
Date coverEventDate = today + i.days;
auto putPayoff =
ext::make_shared<PlainVanillaPayoff>(Option::Put, i.putStrike);
auto callPayoff =
ext::make_shared<PlainVanillaPayoff>(Option::Call, i.callStrike);
PartialTimeBarrierOption putOption(i.putType,
PartialBarrier::EndB1,
i.putBarrier, rebate,
coverEventDate,
putPayoff, exercise);
putOption.setPricingEngine(putEngine);
PartialTimeBarrierOption callOption(i.callType,
PartialBarrier::EndB1,
i.callBarrier, rebate,
coverEventDate,
callPayoff, exercise);
callOption.setPricingEngine(callEngine);
spot->setValue(spotPrice);
Real putValue = putOption.NPV();
Real callValue = callOption.NPV();
Real callAmount = (i.putStrike / spotPrice);
Real error = std::fabs(putValue - callAmount * callValue);
Real tolerance = 1e-4;
if (error > tolerance)
BOOST_ERROR("Failed to reproduce the put-call symmetry for the partial-time barrier options "
<< "\n error: " << error);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
|
