baroneadesiwhaley.cpp bug

[feynman44]

There are a couple of bugs in baroneadesiwhaley.cpp:

The Option::Call case, before the while loop there's
the line:

        bi =  dividendDiscount * cumNormalDist(d1) * (1 -
1/Q) +
                (1 - dividendDiscount *
                cumNormalDist(d1) / QL_SQRT(variance)) / Q;

I believe this should read:

        bi =  dividendDiscount * cumNormalDist(d1) * (1 -
1/Q) +
                 (1 - dividendDiscount *
                cumNormalDist.derivative(d1) / QL_SQRT(variance)) /
Q;

And on the put side, the same bug is inside the while
loop:

        bi = -dividendDiscount * cumNormalDist(-d1) *
                (1 - 1 / Q)
                - (1 + dividendDiscount * cumNormalDist(-d1)
                / QL_SQRT(variance)) / Q;

I believe it should be:

        bi = -dividendDiscount * cumNormalDist(-d1) *
                (1 - 1 / Q)
                - (1 + dividendDiscount *
cumNormalDist.derivative(-d1)
                / QL_SQRT(variance)) / Q;

Incidentally the same bug exists in the Haug book VBA
code...



               
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[Luigi Ballabio]

On 10/28/2005 04:05:14 PM, feynman44 wrote:
> There are a couple of bugs in baroneadesiwhaley.cpp:

Ok, they're now fixed in CVS.

Thanks,
        Luigi

----------------------------------------

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-- Indian proverb

[Ferdinando M. Ametrano-3]

On 10/28/05, feynman44 <[hidden email]> wrote:
> There are a couple of bugs in baroneadesiwhaley.cpp:
> [.. ] Incidentally the same bug exists in the Haug book VBA
> code...
>

Yeah, it was my C++ port of the original Haug VBA code. Have you been able to cross-checked the test cases provided in the test suite (see below)?

thank you

ciao -- Nando

/* The data below are from
   "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
   pag 24

   The following values were replicated only up to the second digit
   by the VB code provided by Haug, which was used as base for the
   C++ implementation

*/
AmericanOptionData values[] = {
  //        type, strike,   spot,    q,    r,    t,  vol,   value
  { Option::Call, 100.00,  90.00, 0.10, 0.10, 0.10, 0.15,  0.0206 },
  { Option::Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15,  1.8771 },
  { Option::Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 10.0089 },
  { Option::Call, 100.00,  90.00, 0.10, 0.10, 0.10, 0.25,  0.3159 },
  { Option::Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25,  3.1280 },
  { Option::Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 10.3919 },
  { Option::Call, 100.00,  90.00, 0.10, 0.10, 0.10, 0.35,  0.9495 },
  { Option::Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35,  4.3777 },
  { Option::Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 11.1679 },
  { Option::Call, 100.00,  90.00, 0.10, 0.10, 0.50, 0.15,  0.8208 },
  { Option::Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15,  4.0842 },
  { Option::Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 10.8087 },
  { Option::Call, 100.00,  90.00, 0.10, 0.10, 0.50, 0.25,  2.7437 },
  { Option::Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25,  6.8015 },
  { Option::Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 13.0170 },
  { Option::Call, 100.00,  90.00, 0.10, 0.10, 0.50, 0.35,  5.0063 },
  { Option::Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35,  9.5106 },
  { Option::Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 15.5689 },
  { Option::Put,  100.00,  90.00, 0.10, 0.10, 0.10, 0.15, 10.0000 },
  { Option::Put,  100.00, 100.00, 0.10, 0.10, 0.10, 0.15,  1.8770 },
  { Option::Put,  100.00, 110.00, 0.10, 0.10, 0.10, 0.15,  0.0410 },
  { Option::Put,  100.00,  90.00, 0.10, 0.10, 0.10, 0.25, 10.2533 },
  { Option::Put,  100.00, 100.00, 0.10, 0.10, 0.10, 0.25,  3.1277 },
  { Option::Put,  100.00, 110.00, 0.10, 0.10, 0.10, 0.25,  0.4562 },
  { Option::Put,  100.00,  90.00, 0.10, 0.10, 0.10, 0.35, 10.8787 },
  { Option::Put,  100.00, 100.00, 0.10, 0.10, 0.10, 0.35,  4.3777 },
  { Option::Put,  100.00, 110.00, 0.10, 0.10, 0.10, 0.35,  1.2402 },
  { Option::Put,  100.00,  90.00, 0.10, 0.10, 0.50, 0.15, 10.5595 },
  { Option::Put,  100.00, 100.00, 0.10, 0.10, 0.50, 0.15,  4.0842 },
  { Option::Put,  100.00, 110.00, 0.10, 0.10, 0.50, 0.15,  1.0822 },
  { Option::Put,  100.00,  90.00, 0.10, 0.10, 0.50, 0.25, 12.4419 },
  { Option::Put,  100.00, 100.00, 0.10, 0.10, 0.50, 0.25,  6.8014 },
  { Option::Put,  100.00, 110.00, 0.10, 0.10, 0.50, 0.25,  3.3226 },
  { Option::Put,  100.00,  90.00, 0.10, 0.10, 0.50, 0.35, 14.6945 },
  { Option::Put,  100.00, 100.00, 0.10, 0.10, 0.50, 0.35,  9.5104 },
  { Option::Put,  100.00, 110.00, 0.10, 0.10, 0.50, 0.35,  5.8823 }
};

[Luigi Ballabio]

On Nov 5, 2005, at 3:50 PM, Ferdinando Ametrano wrote:
> On 10/28/05, feynman44 <[hidden email]> wrote:
>  > There are a couple of bugs in baroneadesiwhaley.cpp:
> > [.. ] Incidentally the same bug exists in the Haug book VBA
> > code...
>  >
>
> Yeah, it was my C++ port of the original Haug VBA code. Have you been
> able to cross-checked the test cases provided in the test suite (see
> below)?

The test cases pass with the fix.

Luigi