EquityOption in C#

Posted by Mike Allen-4 on
URL: http://quantlib.414.s1.nabble.com/EquityOption-in-C-tp1147.html

I apologize for the garbage from Cut-Paste in my previous post. Here it is again in plain text.

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.

 

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));

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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