inst/unitTests/runit.MultipleAssetsOptions.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:                       MULTI ASSET OPTION:
#  TwoAssetCorrelationOption       Two Asset Correlation Option
#   [ExchangeOneForAnotherOption]    [Exchange One For Another Option]  
#  EuropeanExchangeOption          European Exchange Optionn
#  AmericanExchangeOption          American Exchange Option
#  ExchangeOnExchangeOption        Exchange Exchange Option
#  TwoRiskyAssetsOption            Option On The MinMax
#  SpreadApproxOption              Spread Approximated Option              
################################################################################


test.TwoAssetCorrelationOption = 
function()
{
    # Examples from Chapter 2.8 in E.G. Haug's Option Guide (1997)
    
    # Two Asset Correlation Options [2.8.1]:
    TwoAssetCorrelationOption(TypeFlag = "c", S1 = 52, S2 = 65, 
        X1 = 50, X2 = 70, Time = 0.5, r = 0.10, b1 = 0.10, b2 = 0.10, 
        sigma1 = 0.2, sigma2 = 0.3, rho = 0.75) 

    # Return Value:
    return()    
}


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


test.EuropeanExchangeOption = 
function()
{    
    # European Exchange Options [2.8.2]: 
    EuropeanExchangeOption(S1 = 22, S2 = 0.20, Q1 = 1, Q2 = 1, 
        Time = 0.1, r = 0.1, b1 = 0.04, b2 = 0.06, sigma1 = 0.2, 
        sigma2 = 0.25, rho = -0.5)

    # Return Value:
    return()    
}


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


test.AmericanExchangeOption = 
function()
{    
    # American Exchange Options [2.8.2]:
    AmericanExchangeOption(S1 = 22, S2 = 0.20, Q1 = 1, Q2 = 1, 
        Time = 0.1, r = 0.1, b1 = 0.04, b2 = 0.06, sigma1 = 0.2, 
        sigma2 = 0.25, rho = -0.5)

    # Return Value:
    return()    
}


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


test.ExchangeOnExchangeOption = 
function()
{    
    # Exchange Options On Exchange Options [2.8.3]:
    for (flag in 1:4) print(
    ExchangeOnExchangeOption(TypeFlag = as.character(flag), 
        S1 = 105, S2 = 100, Q = 0.1, time1 = 0.75, Time2 = 1.0, r = 0.1, 
        b1 = 0.10, b2 = 0.10, sigma1 = 0.20, sigma2 = 0.25, rho = -0.5))

    # Return Value:
    return()    
}


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


test.TwoRiskyAssetsOption = 
function()
{    
    # Two Risky Assets Options [2.8.4]:
    TwoRiskyAssetsOption(TypeFlag = "cmax", S1 = 100, S2 = 105, 
        X = 98, Time = 0.5, r = 0.05, b1 = -0.01, b2 = -0.04, 
        sigma1 = 0.11, sigma2 = 0.16, rho = 0.63)
    TwoRiskyAssetsOption(TypeFlag = "pmax", S1 = 100, S2 = 105, 
        X = 98, Time = 0.5, r = 0.05, b1 = -0.01, b2 = -0.04, 
        sigma1 = 0.11, sigma2 = 0.16, rho = 0.63)

    # Return Value:
    return()    
}


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


test.SpreadApproxOption = 
function()
{    
    # Spread-Option Approximation [2.8.5]:
    SpreadApproxOption(TypeFlag = "c", S1 = 28, S2 = 20, X = 7, 
        Time = 0.25, r = 0.05, sigma1 = 0.29, sigma2 = 0.36, rho = 0.42)
         
    # Return Value:
    return()    
}


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