Test.hs

module Quant.Test (
	baseYC
  ,	val
  , black
  , opt
  , val'
  , val''
  , val'''
  , val''''
  , heston
  , opt'
  , opt''
	)
where

import Quant.MonteCarlo
import Quant.YieldCurve
import Quant.ContingentClaim
import Quant.Models.Black
import Quant.Models.Heston

baseYC = FlatCurve 0.05 --create a flat yield curve with a 5% rate

black = Black 
			100     --initial stock price
			0.2     --volatility
			baseYC  --forward generator
			baseYC  --discount function

opt = vanillaOption Put 100 1 --make a vanilla put, struck at 100, maturing at time 1

val = quickSim black opt 10000 --Run a Monte Carlo on opt in a a black model with 10000 trials

opt' = multiplier 100 
	$ vanillaOption Call 100 1 ++ short (vanillaOption Call 120 1) --Make a call spread with a 100 unit notional

val' = quickSimAnti black opt' 10000 --Run a Monte Carlo on the call spread; use antithetic variates
									 --Returns 

black' = Black 
			100     --initial stock price
			0.2     --volatility
			(NetYC (FlatCurve 0.05) (FlatCurve 0.02))  --forward generator, now with a 2% dividend yield
			baseYC  --discount rate

val'' = quickSimAnti black' opt' 10000

--Let's try it with a Heston model
heston = Heston
		100
		0.04       --initial variance
		0.04       --final variance
		0.2        --volvol
		(-0.7)     --correlation between processes
		1.0        --mean reversion speed
		baseYC     --forward generator
		baseYC     --discount function

val''' = quickSimAnti heston opt' 10000 --price the call spread in the Heston model

opt'' = terminalOnly 1 $ \x -> x*x  --create an option that pays off based on the square of its underlying

val'''' = quickSimAnti heston opt'' 10000 --price it in the Heston model