C++：实现量化Partial-time barrier部分时间障碍期权测试实例

#include "partialtimebarrieroption.hpp"
#include "utilities.hpp"
#include <ql/experimental/exoticoptions/partialtimebarrieroption.hpp>
#include <ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>using namespace QuantLib;
using namespace boost::unit_test_framework;namespace partial_time_barrier_option_test {struct TestCase {Real underlying;Real strike;Integer days;Real result;};}void PartialTimeBarrierOptionTest::testAnalyticEngine() {BOOST_TEST_MESSAGE("Testing analytic engine for partial-time barrier option...");using namespace partial_time_barrier_option_test;Date today = Settings::instance().evaluationDate();Option::Type type = Option::Call;DayCounter dc = Actual360();Date maturity = today + 360;ext::shared_ptr<Exercise> exercise =ext::make_shared<EuropeanExercise>(maturity);Real barrier = 100.0;Real rebate = 0.0;ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>();ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(0.0);ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(0.1);ext::shared_ptr<SimpleQuote> vol = ext::make_shared<SimpleQuote>(0.25);Handle<Quote> underlying(spot);Handle<YieldTermStructure> dividendTS(flatRate(today, qRate, dc));Handle<YieldTermStructure> riskFreeTS(flatRate(today, rRate, dc));Handle<BlackVolTermStructure> blackVolTS(flatVol(today, vol, dc));const ext::shared_ptr<BlackScholesMertonProcess> process =ext::make_shared<BlackScholesMertonProcess>(underlying,dividendTS,riskFreeTS,blackVolTS);ext::shared_ptr<PricingEngine> engine =ext::make_shared<AnalyticPartialTimeBarrierOptionEngine>(process);TestCase cases[] = {{  95.0,  90.0,   1,  0.0393 },{  95.0, 110.0,   1,  0.0000 },{ 105.0,  90.0,   1,  9.8751 },{ 105.0, 110.0,   1,  6.2303 },{  95.0,  90.0,  90,  6.2747 },{  95.0, 110.0,  90,  3.7352 },{ 105.0,  90.0,  90, 15.6324 },{ 105.0, 110.0,  90,  9.6812 },{  95.0,  90.0, 180, 10.3345 },{  95.0, 110.0, 180,  5.8712 },{ 105.0,  90.0, 180, 19.2896 },{ 105.0, 110.0, 180, 11.6055 },{  95.0,  90.0, 270, 13.4342 },{  95.0, 110.0, 270,  7.1270 },{ 105.0,  90.0, 270, 22.0753 },{ 105.0, 110.0, 270, 12.7342 },{  95.0,  90.0, 359, 16.8576 },{  95.0, 110.0, 359,  7.5763 },{ 105.0,  90.0, 359, 25.1488 },{ 105.0, 110.0, 359, 13.1376 }};for (auto& i : cases) {Date coverEventDate = today + i.days;ext::shared_ptr<StrikedTypePayoff> payoff =ext::make_shared<PlainVanillaPayoff>(type, i.strike);PartialTimeBarrierOption option(PartialBarrier::DownOut,PartialBarrier::EndB1,barrier, rebate,coverEventDate,payoff, exercise);option.setPricingEngine(engine);spot->setValue(i.underlying);Real calculated = option.NPV();Real expected = i.result;Real error = std::fabs(calculated-expected);Real tolerance = 1e-4;if (error > tolerance)BOOST_ERROR("Failed to reproduce partial-time barrier option value"<< "\n    expected:   " << expected<< "\n    calculated: " << calculated<< "\n    error:      " << error);}
}test_suite* PartialTimeBarrierOptionTest::suite() {auto* suite = BOOST_TEST_SUITE("Partial-time barrier option tests");suite->add(QUANTLIB_TEST_CASE(&PartialTimeBarrierOptionTest::testAnalyticEngine));return suite;
}

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