inst/unitTests/runit.BasicAsianOptions.R

In fExoticOptions: Rmetrics - Pricing and Evaluating Exotic Option

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#   1999 - 2007, Diethelm Wuertz, GPL
#   Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
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################################################################################
# FUNCTION:                         ASIAN OPTIONS:
#  GeometricAverageRateOption        Geometric Average Rate Option
#  TurnbullWakemanAsianApproxOption  Turnbull-Wakeman Approximated Asian Option
#  LevyAsianApproxOption             Levy Approximated Asian Option
################################################################################


test.GeometricAverageRateOption = 
function()
{
    # Examples from Chapter 2.12 in E.G. Haug's Option Guide (1997)
    
    # Geometric Average Rate Option:
    GeometricAverageRateOption(TypeFlag = "p", S = 80, X = 85, 
        Time = 0.25, r = 0.05, b = 0.08, sigma = 0.20)

    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.TurnbullWakemanAsianApproxOption = 
function()
{    
    # Turnbull Wakeman Approximation:
    TurnbullWakemanAsianApproxOption(TypeFlag = "p", S = 90, SA = 88, 
        X = 95, Time = 0.50, time = 0.25, tau = 0.0, r = 0.07, 
        b = 0.02, sigma = 0.25)

    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.LevyAsianApproxOption = 
function()
{    
    # Levy Asian Approximation:   
    LevyAsianApproxOption(TypeFlag = "c", S = 100, SA = 100, X = 105, 
        Time = 0.75, time = 0.50, r = 0.10, b = 0.05, sigma = 0.15)
 
    # Return Value:
    return()    
}


################################################################################