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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012 StatPro Italia 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
<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/twoassetbarrieroption.hpp>
#include <ql/pricingengines/barrier/analytictwoassetbarrierengine.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/quotes/simplequote.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(TwoAssetBarrierOptionTests)
struct OptionData {
Barrier::Type barrierType;
Option::Type type;
Real barrier;
Real strike;
Real s1; // spot
Rate q1; // dividend
Volatility v1; // volatility
Real s2;
Rate q2;
Volatility v2;
Real correlation;
Rate r; // risk-free rate
Real result; // result
};
BOOST_AUTO_TEST_CASE(testHaugValues) {
BOOST_TEST_MESSAGE("Testing two-asset barrier options against Haug's values...");
OptionData values[] = {
/* The data below are from
"Option pricing formulas", E.G. Haug, McGraw-Hill 1998
*/
{ Barrier::DownOut, Option::Call, 95, 90,
100.0, 0.0, 0.2, 100.0, 0.0, 0.2, 0.5, 0.08, 6.6592 },
{ Barrier::UpOut, Option::Call, 105, 90,
100.0, 0.0, 0.2, 100.0, 0.0, 0.2, -0.5, 0.08, 4.6670 },
{ Barrier::DownOut, Option::Put, 95, 90,
100.0, 0.0, 0.2, 100.0, 0.0, 0.2, -0.5, 0.08, 0.6184 },
{ Barrier::UpOut, Option::Put, 105, 100,
100.0, 0.0, 0.2, 100.0, 0.0, 0.2, 0.0, 0.08, 0.8246 }
};
DayCounter dc = Actual360();
Calendar calendar = TARGET();
Date today = Date::todaysDate();
Date maturity = today + 180;
ext::shared_ptr<Exercise> exercise(new EuropeanExercise(maturity));
ext::shared_ptr<SimpleQuote> r(new SimpleQuote);
ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, r, dc);
ext::shared_ptr<SimpleQuote> s1(new SimpleQuote);
ext::shared_ptr<SimpleQuote> q1(new SimpleQuote);
ext::shared_ptr<YieldTermStructure> qTS1 = flatRate(today, q1, dc);
ext::shared_ptr<SimpleQuote> vol1(new SimpleQuote);
ext::shared_ptr<BlackVolTermStructure> volTS1 = flatVol(today, vol1, dc);
ext::shared_ptr<BlackScholesMertonProcess> process1(
new BlackScholesMertonProcess(Handle<Quote>(s1),
Handle<YieldTermStructure>(qTS1),
Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS1)));
ext::shared_ptr<SimpleQuote> s2(new SimpleQuote);
ext::shared_ptr<SimpleQuote> q2(new SimpleQuote);
ext::shared_ptr<YieldTermStructure> qTS2 = flatRate(today, q2, dc);
ext::shared_ptr<SimpleQuote> vol2(new SimpleQuote);
ext::shared_ptr<BlackVolTermStructure> volTS2 = flatVol(today, vol2, dc);
ext::shared_ptr<BlackScholesMertonProcess> process2(
new BlackScholesMertonProcess(Handle<Quote>(s2),
Handle<YieldTermStructure>(qTS2),
Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS2)));
ext::shared_ptr<SimpleQuote> rho(new SimpleQuote);
ext::shared_ptr<PricingEngine> engine(
new AnalyticTwoAssetBarrierEngine(process1, process2,
Handle<Quote>(rho)));
for (auto& value : values) {
s1->setValue(value.s1);
q1->setValue(value.q1);
vol1->setValue(value.v1);
s2->setValue(value.s2);
q2->setValue(value.q2);
vol2->setValue(value.v2);
rho->setValue(value.correlation);
r->setValue(value.r);
ext::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(value.type, value.strike));
TwoAssetBarrierOption barrierOption(value.barrierType, value.barrier, payoff, exercise);
barrierOption.setPricingEngine(engine);
Real calculated = barrierOption.NPV();
Real expected = value.result;
Real error = std::fabs(calculated-expected);
Real tolerance = 4.0e-3;
if (error > tolerance) {
BOOST_ERROR("failed to reproduce expected price"
<< "\n expected: " << expected
<< "\n calculated: " << calculated
<< "\n tolerance: " << tolerance
<< "\n error: " << error);
}
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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