tst_black_scholes_extensions.cc

Financial Recipes

#include <vector>

/*
void test_european_dividends(){
    cout << "Testing european BS with dividends" << endl;
    double S = 100.0;
    double X = 100.0;
    double r = 0.1;
    double sigma = 0.25;
    double time=1.0;
    vector<double> dividend_times; dividend_times.push_back(0.5);
    vector<double> dividend_amounts; dividend_amounts.push_back(5.0);
    cout << " call prices: "  << endl;
    cout << " european " 
	 << " call = " 
	 << calc_black_scholes_call_price_with_dividend(
	     S,X,r,sigma,time, dividend_times, dividend_amounts) 
	 << " put= " 
	 << calc_black_scholes_put_price_with_dividend(
	     S,X,r,sigma,time,  dividend_times, dividend_amounts) 
	 << endl;
    dividend_times[0]=0.25;
    dividend_times.push_back(0.75);
    dividend_amounts[0]=2.5; 
    dividend_amounts.push_back(2.5);
    cout << " call prices: "  << endl;
    cout << " european " 
	 << " call = " 
	 << calc_black_scholes_call_price_with_dividend(
	     S,X,r,sigma,time, dividend_times, dividend_amounts) 
	 << " put= " 
	 << calc_black_scholes_put_price_with_dividend(
	     S,X,r,sigma,time,  dividend_times, dividend_amounts) 
	 << endl;
}

void test_analytical_american_call() {
    cout << " testing roll-geske-whaley " << endl;
    double S = 100.0;
    double X = 100.0;
    double r = 0.1; 
    double sigma = 0.25;
    double tau = 1.0;
    double tau1 = 0.5;
    double D1 = 10.0;
    cout << " call price " 
	 << calc_american_call_w_div_roll_geske_whaley(
	     S,X,r,sigma,tau,D1, tau1)
	 << endl;

    cout << " testing roll-geske-whaley " << endl;
    S = 50.0;
    X = 45.0;
    r = 0.06; 
    sigma = sqrt(0.2);
    tau = 3.0/12.0;
    tau1 = 1.0/12.0;
    D1 = 1.0;
    vector<double> dividend_times; dividend_times.push_back(tau1);
    vector<double> dividend_amounts; dividend_amounts.push_back(D1);
    cout << " BS " << calc_black_scholes_call_price(S,X,r,sigma,tau) << endl;
    cout << " BS div " 
	 << calc_black_scholes_call_price((S-exp(-r*tau1)),X,r,sigma,tau) 
	 << endl;
    cout << " BS div at tau1 " 
	 << calc_black_scholes_call_price(S,X,r,sigma,tau1)
	 << endl;
    cout << " bin div " 
	 << calc_binomial_american_call_price_with_dividends(
	     S,X,r,sigma,tau,200,dividend_times,dividend_amounts)
	 << endl;
    cout << " call price " 
	 << calc_american_call_w_div_roll_geske_whaley(
	     S,X,r,sigma,tau,D1, tau1)
	 << endl;
};
*/

void test_black_scholes_price_payout(){
   cout << "Testing Black Scholes price with payouts " << endl;
   double spot = 100.0;
   double exercise = 100.0;
   double r = 0.1; 
   double sigma = 0.25;
   double time_to_maturity=1.0;
   double b=0.05;
   cout << "continous payout 5% " << endl;
   cout << " call price: "
	<< option_price_european_call_payout(spot,exercise,r,b,sigma, time_to_maturity)
	<<  endl;
   cout << " put price: "
	<< option_price_european_put_payout(spot,exercise,r,b,sigma, time_to_maturity)
	<< endl; 
   cout << "discrete dividends, european options" << endl;
   vector<double> dividend_times; dividend_times.push_back(0.5);
   vector<double> dividend_amounts; dividend_amounts.push_back(2.0);
   cout << " call price: "
	<< option_price_european_call_dividends(spot,exercise,r,sigma,
						time_to_maturity,
						dividend_times,
						dividend_amounts)
	<<  endl;
   cout << " put price: "
	<< option_price_european_put_dividends(spot,exercise,r,sigma,
					       time_to_maturity,
					       dividend_times,
					       dividend_amounts)
	<<  endl;
   cout << " American call, one dividend, exact solution " << endl;
   double D=2;
   double time_to_dividend=0.5;
   cout << " call price (D=2): "
	<< option_price_american_call_dividend(spot,exercise,r,sigma,
					       time_to_maturity,
					       D,time_to_dividend)
	<<  endl;
   D=10;
   cout << " call price (D=10): "
	<< option_price_american_call_dividend(spot,exercise,r,sigma,
					       time_to_maturity,
					       D,time_to_dividend)
	<<  endl;
};


void test_black_scholes_extensions(){
   test_black_scholes_price_payout();
};