EquityOption Example in C#

[Mike Allen-4]

Hello,

I built EquityOption example in C# (sample code attached). However, Binomial methods throw exception “null conversion ratio”. Your thoughts and ideas on this are greatly appreciated.

Cheers,

Mike A.

PS. I have a full EquityOption example, but it’s to big to post. If anybody wants it, please email me [hidden email]

 

 

using System;

using QuantLib;

 

namespace EquityOption

{

      class Run

      {

            [STAThread]

            static void Main(string[] args)

            {

                  Option.Type type = Option.Type.Put;

                  double underlying = 36;

                  double strike = 40;

                  double dividendYield = 0.0;

                  double riskFreeRate = 0.06;

                  double volatility = 0.2;

 

                  Date todaysDate = new Date(15, Month.May, 1998);

                  Date settlementDate = new Date(17, Month.May, 1998);

 

                  Settings.instance().setEvaluationDate(todaysDate);

                  Date maturity = new Date(17, Month.May, 1999);

                  DayCounter dayCounter = new Actual365Fixed();

 

                  // write column headings

                  int[] width = { 35, 14, 14, 14 };

                  Console.Write(String.Format("Method").PadRight(width[0]));

                  Console.Write(String.Format("European").PadRight(width[1]));

                  Console.Write(String.Format("Bermudan").PadRight(width[2]));

                  Console.WriteLine(String.Format("American").PadRight(width[3]));

 

                  DateVector exerciseDates = new DateVector(4);

                  exerciseDates.Insert(0, new QuantLib.Date(17, Month.August, 1998));

                  exerciseDates.Insert(0, new QuantLib.Date(17, Month.November, 1998));

                  exerciseDates.Insert(0, new QuantLib.Date(17, Month.February, 1999));

                  exerciseDates.Insert(0, new QuantLib.Date(17, Month.May, 1999));

                  //for(int i = 1; i <= 4; i++)

                        //exerciseDates.Add(settlementDate + 3*i*TimeUnit.Months);

 

                  EuropeanExercise europeanExercise = new EuropeanExercise(maturity);

                  BermudanExercise bermudanExercise = new BermudanExercise(exerciseDates);

                  AmericanExercise americanExercise = new AmericanExercise(settlementDate, maturity);

 

                  Quote quote = new SimpleQuote(underlying);

                  QuoteHandle underlyingH = new QuoteHandle(quote);

 

                  // bootstrap the yield/dividend/vol curves

                 

                  YieldTermStructureHandle flatTermStructure = new YieldTermStructureHandle(new FlatForward(settlementDate, riskFreeRate, dayCounter));

 

                  YieldTermStructureHandle flatDividendTS = new YieldTermStructureHandle(new FlatForward(settlementDate, dividendYield, dayCounter));

 

                  BlackVolTermStructureHandle flatVolTS = new BlackVolTermStructureHandle(new BlackConstantVol(settlementDate, volatility, dayCounter));

 

                  PlainVanillaPayoff payoff = new PlainVanillaPayoff(type, strike);

 

                  BlackScholesMertonProcess stochasticProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);

 

                  // options

                  VanillaOption europeanOption = new VanillaOption(stochasticProcess, payoff, europeanExercise);

                  VanillaOption bermudanOption = new VanillaOption(stochasticProcess, payoff, bermudanExercise);

                  VanillaOption americanOption = new VanillaOption(stochasticProcess, payoff, americanExercise);                 

                  string method = String.Empty;

                  string strNA = "N/A";

                  uint timeSteps = 801;

                  try

                  {

                        method = "Binomial Jarrow-Rudd";

                        europeanOption.setPricingEngine(new BinomialConvertibleEngine("jarrowrudd", timeSteps));

                        bermudanOption.setPricingEngine(new BinomialConvertibleEngine("jarrowrudd", timeSteps));

                        americanOption.setPricingEngine(new BinomialConvertibleEngine("jarrowrudd", timeSteps));

 

                        Console.Write(method.PadRight(width[0]));

                        Console.Write(String.Format("{0:N6}", europeanOption.NPV()).PadRight(width[1]));

                        Console.Write(String.Format("{0:N6}", bermudanOption.NPV()).PadRight(width[2]));

                        Console.WriteLine("{0:N6}", americanOption.NPV());

                  }

                  catch(Exception e)

                  {

                        Console.WriteLine(e.ToString());

                  }

            }

      }

}

 

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