barrieroption.cpp source code [quantlib/test-suite/barrieroption.cpp]

1	/ -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- /
2
3	/*
4	Copyright (C) 2003 Neil Firth
5	Copyright (C) 2003, 2004, 2005, 2007, 2008 StatPro Italia srl
6	Copyright (C) 2004 Ferdinando Ametrano
7	Copyright (C) 2013 Yue Tian
8	Copyright (C) 2014 Thema Consulting SA
9
10	This file is part of QuantLib, a free-software/open-source library
11	for financial quantitative analysts and developers - http://quantlib.org/
12
13	QuantLib is free software: you can redistribute it and/or modify it
14	under the terms of the QuantLib license. You should have received a
15	copy of the license along with this program; if not, please email
16	<quantlib-dev@lists.sf.net>. The license is also available online at
17	<http://quantlib.org/license.shtml>.
18
19	This program is distributed in the hope that it will be useful, but WITHOUT
20	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
21	FOR A PARTICULAR PURPOSE. See the license for more details.
22	*/
23
24	#include "barrieroption.hpp"
25	#include "utilities.hpp"
26	#include <ql/time/calendars/nullcalendar.hpp>
27	#include <ql/time/calendars/target.hpp>
28	#include <ql/time/daycounters/actual360.hpp>
29	#include <ql/time/daycounters/business252.hpp>
30	#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>
31	#include <ql/instruments/barrieroption.hpp>
32	#include <ql/instruments/dividendbarrieroption.hpp>
33	#include <ql/instruments/europeanoption.hpp>
34	#include <ql/models/equity/hestonmodel.hpp>
35	#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
36	#include <ql/pricingengines/barrier/binomialbarrierengine.hpp>
37	#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
38	#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
39	#include <ql/pricingengines/barrier/mcbarrierengine.hpp>
40	#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
41	#include <ql/pricingengines/blackformula.hpp>
42	#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
43	#include <ql/experimental/barrieroption/vannavolgabarrierengine.hpp>
44	#include <ql/termstructures/yield/zerocurve.hpp>
45	#include <ql/termstructures/yield/flatforward.hpp>
46	#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
47	#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
48	#include <ql/termstructures/volatility/equityfx/blackvariancesurface.hpp>
49	#include <ql/utilities/dataformatters.hpp>
50
51	using namespace QuantLib;
52	using namespace boost::unit_test_framework;
53
54	#undef REPORT_FAILURE
55	#define REPORT_FAILURE(greekName, barrierType, barrier, rebate, payoff, \
56	exercise, s, q, r, today, v, expected, calculated, \
57	error, tolerance) \
58	BOOST_ERROR("\n" << barrierTypeToString(barrierType) << " " \
59	<< exerciseTypeToString(exercise) << " " \
60	<< payoff->optionType() << " option with " \
61	<< payoffTypeToString(payoff) << " payoff:\n" \
62	<< " underlying value: " << s << "\n" \
63	<< " strike: " << payoff->strike() << "\n" \
64	<< " barrier: " << barrier << "\n" \
65	<< " rebate: " << rebate << "\n" \
66	<< " dividend yield: " << io::rate(q) << "\n" \
67	<< " risk-free rate: " << io::rate(r) << "\n" \
68	<< " reference date: " << today << "\n" \
69	<< " maturity: " << exercise->lastDate() << "\n" \
70	<< " volatility: " << io::volatility(v) << "\n\n" \
71	<< " expected " << greekName << ": " << expected << "\n" \
72	<< " calculated " << greekName << ": " << calculated << "\n"\
73	<< " error: " << error << "\n" \
74	<< " tolerance: " << tolerance);
75
76	#undef REPORT_FX_FAILURE
77	#define REPORT_FX_FAILURE(greekName, barrierType, barrier, \
78	rebate, payoff, exercise, s, q, r, today, \
79	vol25Put, atmVol, vol25Call, v, \
80	expected, calculated, error, tolerance) \
81	BOOST_ERROR("\n" << barrierTypeToString(barrierType) << " " \
82	<< exerciseTypeToString(exercise) << " " \
83	<< payoff->optionType() << " FX option with " \
84	<< payoffTypeToString(payoff) << " payoff:\n" \
85	<< " underlying value: " << s << "\n" \
86	<< " strike: " << payoff->strike() << "\n" \
87	<< " barrier: " << barrier << "\n" \
88	<< " rebate: " << rebate << "\n" \
89	<< " dividend yield: " << io::rate(q) << "\n" \
90	<< " risk-free rate: " << io::rate(r) << "\n" \
91	<< " reference date: " << today << "\n" \
92	<< " maturity: " << exercise->lastDate() << "\n" \
93	<< " 25PutVol: " << io::volatility(vol25Put) << "\n" \
94	<< " atmVol: " << io::volatility(atmVol) << "\n" \
95	<< " 25CallVol: " << io::volatility(vol25Call) << "\n" \
96	<< " volatility: " << io::volatility(v) << "\n\n" \
97	<< " expected " << greekName << ": " << expected << "\n" \
98	<< " calculated " << greekName << ": " << calculated << "\n"\
99	<< " error: " << error << "\n" \
100	<< " tolerance: " << tolerance);
101
102
103	namespace barrier_option_test {
104
105	std::string barrierTypeToString(Barrier::Type type) {
106	switch(type){
107	case Barrier::DownIn:
108	return std::string ("Down-and-in");
109	case Barrier::UpIn:
110	return std::string ("Up-and-in");
111	case Barrier::DownOut:
112	return std::string ("Down-and-out");
113	case Barrier::UpOut:
114	return std::string ("Up-and-out");
115	default:
116	QL_FAIL("unknown exercise type");
117	}
118	}
119
120	struct BarrierOptionData {
121	Barrier::Type type;
122	Volatility volatility;
123	Real strike;
124	Real barrier;
125	Real callValue;
126	Real putValue;
127	};
128
129	struct NewBarrierOptionData {
130	Barrier::Type barrierType;
131	Real barrier;
132	Real rebate;
133	Option::Type type;
134	Exercise::Type exType;
135	Real strike;
136	Real s; // spot
137	Rate q; // dividend
138	Rate r; // risk-free rate
139	Time t; // time to maturity
140	Volatility v; // volatility
141	Real result; // result
142	Real tol; // tolerance
143	};
144
145	struct BarrierFxOptionData {
146	Barrier::Type barrierType;
147	Real barrier;
148	Real rebate;
149	Option::Type type;
150	Real strike;
151	Real s; // spot
152	Rate q; // dividend
153	Rate r; // risk-free rate
154	Time t; // time to maturity
155	Volatility vol25Put; // 25 delta put vol
156	Volatility volAtm; // atm vol
157	Volatility vol25Call; // 25 delta call vol
158	Volatility v; // volatility at strike
159	Real result; // result
160	Real tol; // tolerance
161	};
162
163	}
164
165	#define QL_ASSERT_EXCEPTION_THROWN(statement) \
166	auto exception_thrown = false; \
167	try { \
168	statement \
169	} catch (const std::exception&) { \
170	exception_thrown = true; \
171	} \
172	if (!exception_thrown) { \
173	BOOST_FAIL("exception expected"); \
174	} \
175
176	void BarrierOptionTest::testParity() {
177
178	BOOST_TEST_MESSAGE("Testing that knock-in plus knock-out barrier options "
179	"replicate a European option...");
180
181	Date today = Settings::instance().evaluationDate();
182
183	DayCounter dc = Actual360 ();
184
185	ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(args: `100.0`);
186	ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, forward: `0.01`, dc);
187	ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, volatility: `0.20`, dc);
188	RelinkableHandle<BlackVolTermStructure> volHandle(volTS);
189
190	ext::shared_ptr<BlackScholesProcess> stochProcess =
191	ext::make_shared<BlackScholesProcess>(
192	args: Handle<Quote>(spot),
193	args: Handle<YieldTermStructure>(rTS),
194	args&: volHandle);
195
196	Date exerciseDate = today + `6`*Months;
197
198	ext::shared_ptr<StrikedTypePayoff> payoff =
199	ext::make_shared<PlainVanillaPayoff>(args: Option::Call, args: `100.0`);
200
201	ext::shared_ptr<Exercise> exercise =
202	ext::make_shared<EuropeanExercise>(args&: exerciseDate);
203
204	BarrierOption knockIn(Barrier::DownIn, `90.0`, `0.0`,
205	payoff, exercise);
206	BarrierOption knockOut(Barrier::DownOut, `90.0`, `0.0`,
207	payoff, exercise);
208	EuropeanOption european(payoff, exercise);
209
210	ext::shared_ptr<PricingEngine> barrierEngine
211	= ext::make_shared<AnalyticBarrierEngine>(args&: stochProcess);
212
213	ext::shared_ptr<PricingEngine> europeanEngine
214	= ext::make_shared<AnalyticEuropeanEngine>(args&: stochProcess);
215
216	knockIn.setPricingEngine(barrierEngine);
217	knockOut.setPricingEngine(barrierEngine);
218	european.setPricingEngine(europeanEngine);
219
220	Real replicated = knockIn.NPV() + knockOut.NPV();
221	Real expected = european.NPV();
222	Real error = std::fabs(x: replicated-expected);
223	if (error > `1e-7`) {
224	BOOST_ERROR("Failed to replicate European option"
225	<< "\n knock-in: " << knockIn.NPV()
226	<< "\n knock-out: " << knockOut.NPV()
227	<< "\n replicated: " << replicated
228	<< "\n expected: " << expected
229	<< std::scientific << std::setprecision(`3`)
230	<< "\n error: " << error);
231	}
232
233	// try again with different day counters
234
235	volHandle.linkTo(h: flatVol(today, volatility: `0.20`, dc: Business252 (TARGET ())));
236
237	replicated = knockIn.NPV() + knockOut.NPV();
238	expected = european.NPV();
239	error = std::fabs(x: replicated-expected);
240	if (error > `1e-7`) {
241	BOOST_ERROR("Failed to replicate European option"
242	<< "\n knock-in: " << knockIn.NPV()
243	<< "\n knock-out: " << knockOut.NPV()
244	<< "\n replicated: " << replicated
245	<< "\n expected: " << expected
246	<< std::scientific << std::setprecision(`3`)
247	<< "\n error: " << error);
248	}
249	}
250
251	void BarrierOptionTest::testHaugValues() {
252
253	BOOST_TEST_MESSAGE("Testing barrier options against Haug's values...");
254
255	using namespace barrier_option_test;
256
257	Exercise::Type european = Exercise::European;
258	Exercise::Type american = Exercise::American;
259	NewBarrierOptionData values[] = {
260	/ The data below are from*
261	"Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag. 72
262	*/
263	// barrierType, barrier, rebate, type, exercise, strk, s, q, r, t, v, result, tol
264	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `9.0246`, .tol: `1.0e-4`},
265	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `6.7924`, .tol: `1.0e-4`},
266	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `4.8759`, .tol: `1.0e-4`},
267	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4`},
268	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4`},
269	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4`},
270	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.6789`, .tol: `1.0e-4`},
271	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.3580`, .tol: `1.0e-4`},
272	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.3453`, .tol: `1.0e-4`},
273
274	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `7.7627`, .tol: `1.0e-4`},
275	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `4.0109`, .tol: `1.0e-4`},
276	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.0576`, .tol: `1.0e-4`},
277	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `13.8333`, .tol: `1.0e-4`},
278	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `7.8494`, .tol: `1.0e-4`},
279	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.9795`, .tol: `1.0e-4`},
280	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `14.1112`, .tol: `1.0e-4`},
281	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `8.4482`, .tol: `1.0e-4`},
282	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `4.5910`, .tol: `1.0e-4`},
283
284	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `8.8334`, .tol: `1.0e-4`},
285	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `7.0285`, .tol: `1.0e-4`},
286	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `5.4137`, .tol: `1.0e-4`},
287	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.0000`, .tol: `1.0e-4`},
288	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.0000`, .tol: `1.0e-4`},
289	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.0000`, .tol: `1.0e-4`},
290	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.6341`, .tol: `1.0e-4`},
291	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.4389`, .tol: `1.0e-4`},
292	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.4315`, .tol: `1.0e-4`},
293
294	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `9.0093`, .tol: `1.0e-4`},
295	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `5.1370`, .tol: `1.0e-4`},
296	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.8517`, .tol: `1.0e-4`},
297	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `14.8816`, .tol: `1.0e-4`},
298	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `9.2045`, .tol: `1.0e-4`},
299	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `5.3043`, .tol: `1.0e-4`},
300	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `15.2098`, .tol: `1.0e-4`},
301	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `9.7278`, .tol: `1.0e-4`},
302	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `5.8350`, .tol: `1.0e-4`},
303
304
305	// barrierType, barrier, rebate, type, exercise, strk, s, q, r, t, v, result, tol
306	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.2798`, .tol: `1.0e-4` },
307	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.2947`, .tol: `1.0e-4` },
308	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.6252`, .tol: `1.0e-4` },
309	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4` },
310	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4` },
311	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4` },
312	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.7760`, .tol: `1.0e-4` },
313	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `5.4932`, .tol: `1.0e-4` },
314	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `7.5187`, .tol: `1.0e-4` },
315
316	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.9586`, .tol: `1.0e-4` },
317	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `6.5677`, .tol: `1.0e-4` },
318	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `11.9752`, .tol: `1.0e-4` },
319	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.2845`, .tol: `1.0e-4` },
320	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `5.9085`, .tol: `1.0e-4` },
321	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `11.6465`, .tol: `1.0e-4` },
322	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `1.4653`, .tol: `1.0e-4` },
323	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.3721`, .tol: `1.0e-4` },
324	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `7.0846`, .tol: `1.0e-4` },
325
326	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.4170`, .tol: `1.0e-4` },
327	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.4258`, .tol: `1.0e-4` },
328	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.6246`, .tol: `1.0e-4` },
329	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.0000`, .tol: `1.0e-4` },
330	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.0000`, .tol: `1.0e-4` },
331	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.0000`, .tol: `1.0e-4` },
332	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `4.2293`, .tol: `1.0e-4` },
333	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `5.8032`, .tol: `1.0e-4` },
334	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `7.5649`, .tol: `1.0e-4` },
335
336	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.8769`, .tol: `1.0e-4` },
337	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `7.7989`, .tol: `1.0e-4` },
338	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `13.3078`, .tol: `1.0e-4` },
339	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `3.3328`, .tol: `1.0e-4` },
340	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `7.2636`, .tol: `1.0e-4` },
341	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `12.9713`, .tol: `1.0e-4` },
342	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `2.0658`, .tol: `1.0e-4` },
343	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `4.4226`, .tol: `1.0e-4` },
344	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Put, .exType: european, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.30`, .result: `8.3686`, .tol: `1.0e-4` },
345
346	// Options with american exercise: values computed with 400 steps of Haug's VBA code (handles only out options)
347	// barrierType, barrier, rebate, type, exercise, strk, s, q, r, t, v, result, tol
348	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `0.0`, .type: Option::Call, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `10.4655`, .tol: `1.0e-4`},
349	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `0.0`, .type: Option::Call, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `4.5159`, .tol: `1.0e-4`},
350	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `0.0`, .type: Option::Call, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.5971`, .tol: `1.0e-4`},
351	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4`},
352	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4`},
353	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4`},
354	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `0.0`, .type: Option::Call, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `11.8076`, .tol: `1.0e-4`},
355	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `0.0`, .type: Option::Call, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.3993`, .tol: `1.0e-4`},
356	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.3457`, .tol: `1.0e-4`},
357
358	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Put, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.2795`, .tol: `1.0e-4` },
359	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `0.0`, .type: Option::Put, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.3512`, .tol: `1.0e-4` },
360	{ .barrierType: Barrier::DownOut, .barrier: `95.0`, .rebate: `0.0`, .type: Option::Put, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `11.5773`, .tol: `1.0e-4` },
361	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4` },
362	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4` },
363	{ .barrierType: Barrier::DownOut, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Put, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.0000`, .tol: `1.0e-4` },
364	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `0.0`, .type: Option::Put, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `1.4763`, .tol: `1.0e-4` },
365	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `0.0`, .type: Option::Put, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `3.3001`, .tol: `1.0e-4` },
366	{ .barrierType: Barrier::UpOut, .barrier: `105.0`, .rebate: `0.0`, .type: Option::Put, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `10.0000`, .tol: `1.0e-4` },
367
368	// some american in-options - results (roughly) verified with other numerical methods
369	// barrierType, barrier, rebate, type, exercise, strk, s, q, r, t, v, result, tol
370	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `7.7615`, .tol: `1.0e-4`},
371	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `100`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `4.0118`, .tol: `1.0e-4`},
372	{ .barrierType: Barrier::DownIn, .barrier: `95.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `2.0544`, .tol: `1.0e-4`},
373	{ .barrierType: Barrier::DownIn, .barrier: `100.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `13.8308`, .tol: `1.0e-4`},
374	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `90`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `14.1150`, .tol: `1.0e-4`},
375	{ .barrierType: Barrier::UpIn, .barrier: `105.0`, .rebate: `3.0`, .type: Option::Call, .exType: american, .strike: `110`, .s: `100.0`, .q: `0.04`, .r: `0.08`, .t: `0.50`, .v: `0.25`, .result: `4.5900`, .tol: `1.0e-4`},
376
377	/*
378	Data from "Going to Extreme: Correcting Simulation Bias in Exotic
379	Option Valuation"
380	D.R. Beaglehole, P.H. Dybvig and G. Zhou
381	Financial Analysts Journal; Jan / Feb 1997; 53, 1
382	*/
383	// barrierType, barrier, rebate, type, strike, s, q, r, t, v, result, tol
384	// { Barrier::DownOut, 45.0, 0.0, Option::Put, 50, 50.0,-0.05, 0.10, 0.25, 0.50, 4.032, 1.0e-3 },
385	// { Barrier::DownOut, 45.0, 0.0, Option::Put, 50, 50.0,-0.05, 0.10, 1.00, 0.50, 5.477, 1.0e-3 }
386
387	};
388
389
390	DayCounter dc = Actual360 ();
391	Date today = Date::todaysDate();
392
393	ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(args: `0.0`);
394	ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(args: `0.0`);
395	ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, forward: qRate, dc);
396	ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(args: `0.0`);
397	ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, forward: rRate, dc);
398	ext::shared_ptr<SimpleQuote> vol = ext::make_shared<SimpleQuote>(args: `0.0`);
399	ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, volatility: vol, dc);
400
401	auto runTest = [&](const NewBarrierOptionData& value, const bool useZeroSpot, const bool useTriggeredBarrier) {
402	Date exDate = today + timeToDays(t: value.t);
403
404	spot ->setValue(useZeroSpot ? `0.0` : value.s);
405	qRate ->setValue(value.q);
406	rRate ->setValue(value.r);
407	vol ->setValue(value.v);
408
409	ext::shared_ptr<StrikedTypePayoff> payoff =
410	ext::make_shared<PlainVanillaPayoff>(args: value.type, args: value.strike);
411
412	ext::shared_ptr<BlackScholesMertonProcess> stochProcess =
413	ext::make_shared<BlackScholesMertonProcess>(
414	args: Handle<Quote>(spot),
415	args: Handle<YieldTermStructure>(qTS),
416	args: Handle<YieldTermStructure>(rTS),
417	args: Handle<BlackVolTermStructure>(volTS));
418
419	ext::shared_ptr<Exercise> exercise;
420	if (value.exType == Exercise::European)
421	exercise = ext::make_shared<EuropeanExercise>(args&: exDate);
422	else
423	exercise = ext::make_shared<AmericanExercise>(args&: exDate);
424
425	const auto barrier = useTriggeredBarrier
426	? (value.barrierType == Barrier::Type::DownIn
427	\|\| value.barrierType == Barrier::Type::DownOut ? value.s * `1.01` : value.s * `0.99`)
428	: value.barrier;
429
430	BarrierOption barrierOption(value.barrierType, barrier, value.rebate, payoff, exercise);
431
432	ext::shared_ptr<PricingEngine> engine;
433	Real calculated;
434	Real expected;
435	Real error;
436	Real tol;
437
438	// AnalyticBarrierEngine and FdBlackScholesBarrierEngine support only european exercise type
439
440	engine = ext::make_shared<AnalyticBarrierEngine>(args&: stochProcess);
441	barrierOption.setPricingEngine(engine);
442
443	if (!useZeroSpot && !useTriggeredBarrier && value.exType == Exercise::European) {
444	Real calculated = barrierOption.NPV();
445	Real expected = value.result;
446	Real error = std::fabs(x: calculated - expected);
447	if (error > value.tol) {
448	REPORT_FAILURE("value", value.barrierType, value.barrier, value.rebate, payoff,
449	exercise, value.s, value.q, value.r, today, value.v, expected,
450	calculated, error, value.tol);
451	}
452	} else {
453	QL_ASSERT_EXCEPTION_THROWN(barrierOption.NPV();)
454	}
455
456	engine = ext::make_shared<FdBlackScholesBarrierEngine>(args&: stochProcess, args: `200`, args: `400`);
457	barrierOption.setPricingEngine(engine);
458
459	if (!useZeroSpot && !useTriggeredBarrier && value.exType == Exercise::European) {
460	calculated = barrierOption.NPV();
461	expected = value.result;
462	error = std::fabs(x: calculated - expected);
463	if (error > `5.0e-3`) {
464	REPORT_FAILURE("fd value", value.barrierType, value.barrier, value.rebate, payoff,
465	exercise, value.s, value.q, value.r, today, value.v, expected,
466	calculated, error, value.tol);
467	}
468	} else {
469	QL_ASSERT_EXCEPTION_THROWN(barrierOption.NPV();)
470	}
471
472	engine = ext::make_shared<BinomialBarrierEngine<CoxRossRubinstein,DiscretizedBarrierOption> >(args&: stochProcess, args: `400`);
473	barrierOption.setPricingEngine(engine);
474
475	if (!useZeroSpot && !useTriggeredBarrier) {
476	calculated = barrierOption.NPV();
477	expected = value.result;
478	error = std::fabs(x: calculated-expected);
479	tol = `1.1e-2`;
480	if (error>tol) {
481	REPORT_FAILURE("Binomial (Boyle-lau) value", value.barrierType, value.barrier,
482	value.rebate, payoff, exercise, value.s, value.q, value.r, today,
483	value.v, expected, calculated, error, tol);
484	}
485	} else {
486	QL_ASSERT_EXCEPTION_THROWN(barrierOption.NPV();)
487	}
488
489	// Note: here, to test Derman convergence, we force maxTimeSteps to
490	// timeSteps, effectively disabling Boyle-Lau barrier adjustment.
491	// Production code should always enable Boyle-Lau. In most cases it
492	// gives very good convergence with only a modest timeStep increment.
493	engine = ext::make_shared<BinomialBarrierEngine<CoxRossRubinstein,DiscretizedDermanKaniBarrierOption> >(args&: stochProcess, args: `400`);
494	barrierOption.setPricingEngine(engine);
495
496	if (!useZeroSpot && !useTriggeredBarrier) {
497	calculated = barrierOption.NPV();
498	expected = value.result;
499	error = std::fabs(x: calculated-expected);
500	tol = `4e-2`;
501	if (error>tol) {
502	REPORT_FAILURE("Binomial (Derman) value", value.barrierType, value.barrier,
503	value.rebate, payoff, exercise, value.s, value.q, value.r, today,
504	value.v, expected, calculated, error, tol);
505	}
506	} else {
507	QL_ASSERT_EXCEPTION_THROWN(barrierOption.NPV();)
508	}
509	};
510
511	for (auto& value : values) {
512	runTest (value, false, false);
513	runTest (value, true, false);
514	runTest (value, false, true);
515	}
516	}
517
518	void BarrierOptionTest::testBabsiriValues() {
519
520	BOOST_TEST_MESSAGE("Testing barrier options against Babsiri's values...");
521
522	using namespace barrier_option_test;
523
524	/*
525	Data from
526	"Simulating Path-Dependent Options: A New Approach"
527	- M. El Babsiri and G. Noel
528	Journal of Derivatives; Winter 1998; 6, 2
529	*/
530	BarrierOptionData values[] = {
531	{ .type: Barrier::DownIn, .volatility: `0.10`, .strike: `100`, .barrier: `90`, .callValue: `0.07187`, .putValue: `0.0` },
532	{ .type: Barrier::DownIn, .volatility: `0.15`, .strike: `100`, .barrier: `90`, .callValue: `0.60638`, .putValue: `0.0` },
533	{ .type: Barrier::DownIn, .volatility: `0.20`, .strike: `100`, .barrier: `90`, .callValue: `1.64005`, .putValue: `0.0` },
534	{ .type: Barrier::DownIn, .volatility: `0.25`, .strike: `100`, .barrier: `90`, .callValue: `2.98495`, .putValue: `0.0` },
535	{ .type: Barrier::DownIn, .volatility: `0.30`, .strike: `100`, .barrier: `90`, .callValue: `4.50952`, .putValue: `0.0` },
536	{ .type: Barrier::UpIn, .volatility: `0.10`, .strike: `100`, .barrier: `110`, .callValue: `4.79148`, .putValue: `0.0` },
537	{ .type: Barrier::UpIn, .volatility: `0.15`, .strike: `100`, .barrier: `110`, .callValue: `7.08268`, .putValue: `0.0` },
538	{ .type: Barrier::UpIn, .volatility: `0.20`, .strike: `100`, .barrier: `110`, .callValue: `9.11008`, .putValue: `0.0` },
539	{ .type: Barrier::UpIn, .volatility: `0.25`, .strike: `100`, .barrier: `110`, .callValue: `11.06148`, .putValue: `0.0` },
540	{ .type: Barrier::UpIn, .volatility: `0.30`, .strike: `100`, .barrier: `110`, .callValue: `12.98351`, .putValue: `0.0` }
541	};
542
543	Real underlyingPrice = `100.0`;
544	Real rebate = `0.0`;
545	Rate r = `0.05`;
546	Rate q = `0.02`;
547
548	DayCounter dc = Actual360 ();
549	Date today = Date::todaysDate();
550	ext::shared_ptr<SimpleQuote> underlying =
551	ext::make_shared<SimpleQuote>(args&: underlyingPrice);
552
553	ext::shared_ptr<SimpleQuote> qH_SME = ext::make_shared<SimpleQuote>(args&: q);
554	ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, forward: qH_SME, dc);
555
556	ext::shared_ptr<SimpleQuote> rH_SME = ext::make_shared<SimpleQuote>(args&: r);
557	ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, forward: rH_SME, dc);
558
559	ext::shared_ptr<SimpleQuote> volatility =
560	ext::make_shared<SimpleQuote>(args: `0.10`);
561	ext::shared_ptr<BlackVolTermStructure> volTS =
562	flatVol(today, volatility, dc);
563
564	Date exDate = today +`360`;
565	ext::shared_ptr<Exercise> exercise =
566	ext::make_shared<EuropeanExercise>(args&: exDate);
567
568	for (auto& value : values) {
569	volatility ->setValue(value.volatility);
570
571	ext::shared_ptr<StrikedTypePayoff> callPayoff =
572	ext::make_shared<PlainVanillaPayoff>(args: Option::Call, args&: value.strike);
573
574	ext::shared_ptr<BlackScholesMertonProcess> stochProcess =
575	ext::make_shared<BlackScholesMertonProcess>(
576	args: Handle<Quote>(underlying),
577	args: Handle<YieldTermStructure>(qTS),
578	args: Handle<YieldTermStructure>(rTS),
579	args: Handle<BlackVolTermStructure>(volTS));
580
581
582	ext::shared_ptr<PricingEngine> engine =
583	ext::make_shared<AnalyticBarrierEngine>(args&: stochProcess);
584
585	// analytic
586	BarrierOption barrierCallOption(value.type, value.barrier, rebate, callPayoff, exercise);
587	barrierCallOption.setPricingEngine(engine);
588	Real calculated = barrierCallOption.NPV();
589	Real expected = value.callValue;
590	Real error = std::fabs(x: calculated-expected);
591	Real maxErrorAllowed = `1.0e-5`;
592	if (error>maxErrorAllowed) {
593	REPORT_FAILURE("value", value.type, value.barrier, rebate, callPayoff, exercise,
594	underlyingPrice, q, r, today, value.volatility, expected, calculated,
595	error, maxErrorAllowed);
596	}
597
598	Real maxMcRelativeErrorAllowed = `2.0e-2`;
599
600	ext::shared_ptr<PricingEngine> mcEngine =
601	MakeMCBarrierEngine<LowDiscrepancy>(stochProcess)
602	.withStepsPerYear(steps: `1`)
603	.withBrownianBridge()
604	.withSamples(samples: `131071`) // 2^17-1
605	.withMaxSamples(samples: `1048575`) // 2^20-1
606	.withSeed(seed: `5`);
607
608	barrierCallOption.setPricingEngine(mcEngine);
609	calculated = barrierCallOption.NPV();
610	error = std::fabs(x: calculated-expected)/expected;
611	if (error>maxMcRelativeErrorAllowed) {
612	REPORT_FAILURE("value", value.type, value.barrier, rebate, callPayoff, exercise,
613	underlyingPrice, q, r, today, value.volatility, expected, calculated,
614	error, maxMcRelativeErrorAllowed);
615	}
616	}
617	}
618
619	void BarrierOptionTest::testBeagleholeValues() {
620
621	BOOST_TEST_MESSAGE("Testing barrier options against Beaglehole's values...");
622
623	using namespace barrier_option_test;
624
625	/*
626	Data from
627	"Going to Extreme: Correcting Simulation Bias in Exotic
628	Option Valuation"
629	- D.R. Beaglehole, P.H. Dybvig and G. Zhou
630	Financial Analysts Journal; Jan / Feb 1997; 53, 1
631	*/
632	BarrierOptionData values[] = {
633	{ .type: Barrier::DownOut, .volatility: `0.50`, .strike: `50`, .barrier: `45`, .callValue: `5.477`, .putValue: `0.0` }
634	};
635
636	Real underlyingPrice = `50.0`;
637	Real rebate = `0.0`;
638	Rate r = std::log(x: `1.1`);
639	Rate q = `0.00`;
640
641	DayCounter dc = Actual360 ();
642	Date today = Date::todaysDate();
643
644	ext::shared_ptr<SimpleQuote> underlying =
645	ext::make_shared<SimpleQuote>(args&: underlyingPrice);
646
647	ext::shared_ptr<SimpleQuote> qH_SME = ext::make_shared<SimpleQuote>(args&: q);
648	ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, forward: qH_SME, dc);
649
650	ext::shared_ptr<SimpleQuote> rH_SME = ext::make_shared<SimpleQuote>(args&: r);
651	ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, forward: rH_SME, dc);
652
653	ext::shared_ptr<SimpleQuote> volatility =
654	ext::make_shared<SimpleQuote>(args: `0.10`);
655	ext::shared_ptr<BlackVolTermStructure> volTS =
656	flatVol(today, volatility, dc);
657
658
659	Date exDate = today +`360`;
660	ext::shared_ptr<Exercise> exercise =
661	ext::make_shared<EuropeanExercise>(args&: exDate);
662
663	for (auto& value : values) {
664	volatility ->setValue(value.volatility);
665
666	ext::shared_ptr<StrikedTypePayoff> callPayoff =
667	ext::make_shared<PlainVanillaPayoff>(args: Option::Call, args&: value.strike);
668
669	ext::shared_ptr<BlackScholesMertonProcess> stochProcess =
670	ext::make_shared<BlackScholesMertonProcess>(
671	args: Handle<Quote>(underlying),
672	args: Handle<YieldTermStructure>(qTS),
673	args: Handle<YieldTermStructure>(rTS),
674	args: Handle<BlackVolTermStructure>(volTS));
675
676	ext::shared_ptr<PricingEngine> engine =
677	ext::make_shared<AnalyticBarrierEngine>(args&: stochProcess);
678
679	BarrierOption barrierCallOption(value.type, value.barrier, rebate, callPayoff, exercise);
680	barrierCallOption.setPricingEngine(engine);
681	Real calculated = barrierCallOption.NPV();
682	Real expected = value.callValue;
683	Real maxErrorAllowed = `1.0e-3`;
684	Real error = std::fabs(x: calculated-expected);
685	if (error > maxErrorAllowed) {
686	REPORT_FAILURE("value", value.type, value.barrier, rebate, callPayoff, exercise,
687	underlyingPrice, q, r, today, value.volatility, expected, calculated,
688	error, maxErrorAllowed);
689	}
690
691	Real maxMcRelativeErrorAllowed = `0.01`;
692	ext::shared_ptr<PricingEngine> mcEngine =
693	MakeMCBarrierEngine<LowDiscrepancy>(stochProcess)
694	.withStepsPerYear(steps: `1`)
695	.withBrownianBridge()
696	.withSamples(samples: `131071`) // 2^17-1
697	.withMaxSamples(samples: `1048575`) // 2^20-1
698	.withSeed(seed: `10`);
699
700	barrierCallOption.setPricingEngine(mcEngine);
701	calculated = barrierCallOption.NPV();
702	error = std::fabs(x: calculated-expected)/expected;
703	if (error>maxMcRelativeErrorAllowed) {
704	REPORT_FAILURE("value", value.type, value.barrier, rebate, callPayoff, exercise,
705	underlyingPrice, q, r, today, value.volatility, expected, calculated,
706	error, maxMcRelativeErrorAllowed);
707	}
708	}
709	}
710
711	void BarrierOptionTest::testPerturbative() {
712	BOOST_TEST_MESSAGE("Testing perturbative engine for barrier options...");
713
714	Real S = `100.0`;
715	Real rebate = `0.0`;
716	Rate r = `0.03`;
717	Rate q = `0.02`;
718
719	DayCounter dc = Actual360 ();
720	Date today = Date::todaysDate();
721
722	ext::shared_ptr<SimpleQuote> underlying =
723	ext::make_shared<SimpleQuote>(args&: S);
724	ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, forward: q, dc);
725	ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, forward: r, dc);
726
727	std::vector<Date> dates(`2`);
728	std::vector<Volatility> vols(`2`);
729
730	dates [`0`] = today + `90`; vols [`0`] = `0.105`;
731	dates [`1`] = today + `180`; vols [`1`] = `0.11`;
732
733	ext::shared_ptr<BlackVolTermStructure> volTS =
734	ext::make_shared<BlackVarianceCurve>(args&: today, args&: dates, args&: vols, args&: dc);
735
736	ext::shared_ptr<BlackScholesMertonProcess> stochProcess =
737	ext::make_shared<BlackScholesMertonProcess>(
738	args: Handle<Quote>(underlying),
739	args: Handle<YieldTermStructure>(qTS),
740	args: Handle<YieldTermStructure>(rTS),
741	args: Handle<BlackVolTermStructure>(volTS));
742
743	Real strike = `101.0`;
744	Real barrier = `101.0`;
745	Date exDate = today +`180`;
746
747	ext::shared_ptr<Exercise> exercise =
748	ext::make_shared<EuropeanExercise>(args&: exDate);
749	ext::shared_ptr<StrikedTypePayoff> payoff =
750	ext::make_shared<PlainVanillaPayoff>(args: Option::Put, args&: strike);
751
752	BarrierOption option(Barrier::UpOut, barrier, rebate, payoff, exercise);
753
754	Natural order = `0`;
755	bool zeroGamma = false;
756	ext::shared_ptr<PricingEngine> engine =
757	ext::make_shared<PerturbativeBarrierOptionEngine>(args&: stochProcess,
758	args&: order, args&: zeroGamma);
759
760	option.setPricingEngine(engine);
761
762	Real calculated = option.NPV();
763	Real expected = `0.897365`;
764	Real tolerance = `1.0e-6`;
765	if (std::fabs(x: calculated-expected) > tolerance) {
766	BOOST_ERROR("Failed to reproduce expected value"
767	<< "\n calculated: " << std::setprecision(`8`) << calculated
768	<< "\n expected: " << std::setprecision(`8`) << expected);
769	}
770
771	order = `1`;
772	engine = ext::make_shared<PerturbativeBarrierOptionEngine>(args&: stochProcess,
773	args&: order,
774	args&: zeroGamma);
775
776	option.setPricingEngine(engine);
777
778	calculated = option.NPV();
779	expected = `0.894374`;
780	if (std::fabs(x: calculated-expected) > tolerance) {
781	BOOST_ERROR("Failed to reproduce expected value"
782	<< "\n calculated: " << std::setprecision(`8`) << calculated
783	<< "\n expected: " << std::setprecision(`8`) << expected);
784	}
785
786	/ Too slow, skip*
787	order = 2;
788	engine = ext::make_shared<PerturbativeBarrierOptionEngine>(stochProcess,
789	order,
790	zeroGamma);
791
792	option.setPricingEngine(engine);
793
794	calculated = option.NPV();
795	expected = 0.8943769;
796	if (std::fabs(calculated-expected) > tolerance) {
797	BOOST_ERROR("Failed to reproduce expected value"
798	<< "\n calculated: " << std::setprecision(8) << calculated
799	<< "\n expected: " << std::setprecision(8) << expected);
800	}
801	*/
802	}
803
804	void BarrierOptionTest::testLocalVolAndHestonComparison() {
805	BOOST_TEST_MESSAGE("Testing local volatility and Heston FD engines "
806	"for barrier options...");
807
808	const Date settlementDate(`5`, July, `2002`);
809	Settings::instance().evaluationDate() = settlementDate;
810
811	const DayCounter dayCounter = Actual365Fixed ();
812	const Calendar calendar = TARGET ();
813
814	Integer t[] = { `13`, `41`, `75`, `165`, `256`, `345`, `524`, `703` };
815	Rate r[] = { `0.0357`,`0.0349`,`0.0341`,`0.0355`,`0.0359`,`0.0368`,`0.0386`,`0.0401` };
816
817	std::vector<Rate> rates(`1`, `0.0357`);
818	std::vector<Date> dates(`1`, settlementDate);
819	for (Size i = `0`; i < `8`; ++i) {
820	dates.push_back(x: settlementDate + t[i]);
821	rates.push_back(x: r[i]);
822	}
823	const Handle<YieldTermStructure> rTS(
824	ext::make_shared<ZeroCurve>(args&: dates, args&: rates, args: dayCounter));
825	const Handle<YieldTermStructure> qTS(
826	flatRate(today: settlementDate, forward: `0.0`, dc: dayCounter));
827
828	const Handle<Quote> s0(ext::make_shared<SimpleQuote>(args: `4500.00`));
829
830	const std::vector<Real> strikes = { `100` ,`500` ,`2000`,`3400`,`3600`,`3800`,`4000`,`4200`,`4400`,`4500`,
831	`4600`,`4800`,`5000`,`5200`,`5400`,`5600`,`7500`,`10000`,`20000`,`30000` };
832
833	const std::vector<Volatility> v =
834	{ `1.015873`, `1.015873`, `1.015873`, `0.89729`, `0.796493`, `0.730914`, `0.631335`, `0.568895`,
835	`0.711309`, `0.711309`, `0.711309`, `0.641309`, `0.635593`, `0.583653`, `0.508045`, `0.463182`,
836	`0.516034`, `0.500534`, `0.500534`, `0.500534`, `0.448706`, `0.416661`, `0.375470`, `0.353442`,
837	`0.516034`, `0.482263`, `0.447713`, `0.387703`, `0.355064`, `0.337438`, `0.316966`, `0.306859`,
838	`0.497587`, `0.464373`, `0.430764`, `0.374052`, `0.344336`, `0.328607`, `0.310619`, `0.301865`,
839	`0.479511`, `0.446815`, `0.414194`, `0.361010`, `0.334204`, `0.320301`, `0.304664`, `0.297180`,
840	`0.461866`, `0.429645`, `0.398092`, `0.348638`, `0.324680`, `0.312512`, `0.299082`, `0.292785`,
841	`0.444801`, `0.413014`, `0.382634`, `0.337026`, `0.315788`, `0.305239`, `0.293855`, `0.288660`,
842	`0.428604`, `0.397219`, `0.368109`, `0.326282`, `0.307555`, `0.298483`, `0.288972`, `0.284791`,
843	`0.420971`, `0.389782`, `0.361317`, `0.321274`, `0.303697`, `0.295302`, `0.286655`, `0.282948`,
844	`0.413749`, `0.382754`, `0.354917`, `0.316532`, `0.300016`, `0.292251`, `0.284420`, `0.281164`,
845	`0.400889`, `0.370272`, `0.343525`, `0.307904`, `0.293204`, `0.286549`, `0.280189`, `0.277767`,
846	`0.390685`, `0.360399`, `0.334344`, `0.300507`, `0.287149`, `0.281380`, `0.276271`, `0.274588`,
847	`0.383477`, `0.353434`, `0.327580`, `0.294408`, `0.281867`, `0.276746`, `0.272655`, `0.271617`,
848	`0.379106`, `0.349214`, `0.323160`, `0.289618`, `0.277362`, `0.272641`, `0.269332`, `0.268846`,
849	`0.377073`, `0.347258`, `0.320776`, `0.286077`, `0.273617`, `0.269057`, `0.266293`, `0.266265`,
850	`0.399925`, `0.369232`, `0.338895`, `0.289042`, `0.265509`, `0.255589`, `0.249308`, `0.249665`,
851	`0.423432`, `0.406891`, `0.373720`, `0.314667`, `0.281009`, `0.263281`, `0.246451`, `0.242166`,
852	`0.453704`, `0.453704`, `0.453704`, `0.381255`, `0.334578`, `0.305527`, `0.268909`, `0.251367`,
853	`0.517748`, `0.517748`, `0.517748`, `0.416577`, `0.364770`, `0.331595`, `0.287423`, `0.264285` };
854
855	Matrix blackVolMatrix(strikes.size(), dates.size()-`1`);
856	for (Size i=`0`; i < strikes.size(); ++i)
857	for (Size j=`1`; j < dates.size(); ++j) {
858	blackVolMatrix [i][j-`1`] = v [i*(dates.size()-`1`)+j-`1`];
859	}
860
861	const ext::shared_ptr<BlackVarianceSurface> volTS =
862	ext::make_shared<BlackVarianceSurface>(
863	args: settlementDate, args: calendar,
864	args: std::vector<Date>(dates.begin()+`1`,dates.end()),
865	args: strikes, args&: blackVolMatrix,
866	args: dayCounter);
867	volTS ->setInterpolation<Bicubic>();
868	const ext::shared_ptr<GeneralizedBlackScholesProcess> localVolProcess =
869	ext::make_shared<BlackScholesMertonProcess>(
870	args: s0, args: qTS, args: rTS,
871	args: Handle<BlackVolTermStructure>(volTS));
872
873	const Real v0 =`0.195662`;
874	const Real kappa=`5.6628`;
875	const Real theta=`0.0745911`;
876	const Real sigma=`1.1619`;
877	const Real rho =-`0.511493`;
878
879	ext::shared_ptr<HestonProcess> hestonProcess =
880	ext::make_shared<HestonProcess>(args: rTS, args: qTS, args: s0, args: v0,
881	args: kappa, args: theta, args: sigma, args: rho);
882
883	ext::shared_ptr<HestonModel> hestonModel =
884	ext::make_shared<HestonModel>(args&: hestonProcess);
885
886	ext::shared_ptr<PricingEngine> fdHestonEngine =
887	ext::make_shared<FdHestonBarrierEngine>(args&: hestonModel, args: `100`, args: `400`, args: `50`);
888
889	ext::shared_ptr<PricingEngine> fdLocalVolEngine =
890	ext::make_shared<FdBlackScholesBarrierEngine>(args: localVolProcess,
891	args: `100`, args: `400`, args: `0`,
892	args: FdmSchemeDesc::Douglas(),
893	args: true, args: `0.35`);
894
895	const Real strike = s0 ->value();
896	const Real barrier = `3000`;
897	const Real rebate = `100`;
898	const Date exDate = settlementDate + Period (`20`, Months);
899
900	const ext::shared_ptr<StrikedTypePayoff> payoff =
901	ext::make_shared<PlainVanillaPayoff>(args: Option::Put, args: strike);
902
903	const ext::shared_ptr<Exercise> exercise =
904	ext::make_shared<EuropeanExercise>(args: exDate);
905
906	BarrierOption barrierOption(Barrier::DownOut,
907	barrier, rebate, payoff, exercise);
908
909	barrierOption.setPricingEngine(fdHestonEngine);
910	const Real expectedHestonNPV = `111.5`;
911	const Real calculatedHestonNPV = barrierOption.NPV();
912
913	barrierOption.setPricingEngine(fdLocalVolEngine);
914	const Real expectedLocalVolNPV = `132.8`;
915	const Real calculatedLocalVolNPV = barrierOption.NPV();
916
917	const Real tol = `0.01`;
918
919	if (std::fabs(x: expectedHestonNPV - calculatedHestonNPV)
920	> tol*expectedHestonNPV) {
921	BOOST_FAIL("Failed to reproduce Heston barrier price for "
922	<< "\n strike: " << payoff ->strike()
923	<< "\n barrier: " << barrier
924	<< "\n maturity: " << exDate
925	<< "\n calculated: " << calculatedHestonNPV
926	<< "\n expected: " << expectedHestonNPV);
927	}
928	if (std::fabs(x: expectedLocalVolNPV - calculatedLocalVolNPV)
929	> tol*expectedLocalVolNPV) {
930	BOOST_FAIL("Failed to reproduce Heston barrier price for "
931	<< "\n strike: " << payoff ->strike()
932	<< "\n barrier: " << barrier
933	<< "\n maturity: " << exDate
934	<< "\n calculated: " << calculatedLocalVolNPV
935	<< "\n expected: " << expectedLocalVolNPV);
936	}
937	}
938
939
940	void BarrierOptionTest::testVannaVolgaSimpleBarrierValues() {
941	BOOST_TEST_MESSAGE("Testing barrier FX options against Vanna/Volga values...");
942
943	using namespace barrier_option_test;
944
945	BarrierFxOptionData values[] = {
946
947	//barrierType,barrier,rebate,type,strike,s,q,r,t,vol25Put,volAtm,vol25Call,vol, result, tol
948	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.148127`, .tol: `1.0e-4`},
949	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.075943`, .tol: `1.0e-4`},
950	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.0274771`, .tol: `1.0e-4`},
951	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.00573`, .tol: `1.0e-4`},
952	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00012`, .tol: `1.0e-4`},
953
954	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.00697606`, .tol: `1.0e-4`},
955	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.020078`, .tol: `1.0e-4`},
956	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.0489395`, .tol: `1.0e-4`},
957	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.0969877`, .tol: `1.0e-4`},
958	{ .barrierType: Barrier::UpOut,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.157`, .tol: `1.0e-4`},
959
960	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.0322202`, .tol: `1.0e-4`},
961	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.0241491`, .tol: `1.0e-4`},
962	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.0164275`, .tol: `1.0e-4`},
963	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.01`, .tol: `1.0e-4`},
964	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Call,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00489`, .tol: `1.0e-4`},
965
966	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.000560713`, .tol: `1.0e-4`},
967	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.000546804`, .tol: `1.0e-4`},
968	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.000130649`, .tol: `1.0e-4`},
969	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.000300828`, .tol: `1.0e-4`},
970	{ .barrierType: Barrier::UpIn,.barrier: `1.5`,.rebate: `0`, .type: Option::Put,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00135`, .tol: `1.0e-4`},
971
972	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.17746`, .tol: `1.0e-4`},
973	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.0994142`, .tol: `1.0e-4`},
974	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.0439`, .tol: `1.0e-4`},
975	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.01574`, .tol: `1.0e-4`},
976	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00501`, .tol: `1.0e-4`},
977
978	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.00612`, .tol: `1.0e-4`},
979	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.00426`, .tol: `1.0e-4`},
980	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.00257`, .tol: `1.0e-4`},
981	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.00122`, .tol: `1.0e-4`},
982	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00045`, .tol: `1.0e-4`},
983
984	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.00022`, .tol: `1.0e-4`},
985	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.00284`, .tol: `1.0e-4`},
986	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.02032`, .tol: `1.0e-4`},
987	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.058235`, .tol: `1.0e-4`},
988	{ .barrierType: Barrier::DownOut,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.109432`, .tol: `1.0e-4`},
989
990	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0`, .tol: `1.0e-4`},
991	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0`, .tol: `1.0e-4`},
992	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0`, .tol: `1.0e-4`},
993	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.00017`, .tol: `1.0e-4`},
994	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00083`, .tol: `1.0e-4`},
995
996	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.00289`, .tol: `1.0e-4`},
997	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.00067784`, .tol: `1.0e-4`},
998	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0`, .tol: `1.0e-4`},
999	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0`, .tol: `1.0e-4`},
1000	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Call,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0`, .tol: `1.0e-4`},
1001
1002	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.17423`, .tol: `1.0e-4`},
1003	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.09584`, .tol: `1.0e-4`},
1004	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.04133`, .tol: `1.0e-4`},
1005	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.01452`, .tol: `1.0e-4`},
1006	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.00456`, .tol: `1.0e-4`},
1007
1008	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.00732`, .tol: `1.0e-4`},
1009	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.01778`, .tol: `1.0e-4`},
1010	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.02875`, .tol: `1.0e-4`},
1011	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.0390535`, .tol: `1.0e-4`},
1012	{ .barrierType: Barrier::DownIn,.barrier: `1.1`,.rebate: `0`, .type: Option::Put,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.0489236`, .tol: `1.0e-4`},
1013
1014	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.13321`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.11638`,.result: `0.00753`, .tol: `1.0e-4`},
1015	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.22687`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.10088`,.result: `0.02062`, .tol: `1.0e-4`},
1016	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.31179`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08925`,.result: `0.04907`, .tol: `1.0e-4`},
1017	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.38843`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08463`,.result: `0.09711`, .tol: `1.0e-4`},
1018	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.46047`,.s: `1.30265`,.q: `0.0003541`,.r: `0.0033871`,.t: `1`,.vol25Put: `0.10087`,.volAtm: `0.08925`,.vol25Call: `0.08463`,.v: `0.08412`,.result: `0.15752`, .tol: `1.0e-4`},
1019
1020	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.20493`, .tol: `1.0e-4`},
1021	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.105577`, .tol: `1.0e-4`},
1022	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.0358872`, .tol: `1.0e-4`},
1023	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.00634958`, .tol: `1.0e-4`},
1024	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0`, .tol: `1.0e-4`},
1025
1026	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.0108218`, .tol: `1.0e-4`},
1027	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.0313339`, .tol: `1.0e-4`},
1028	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.0751237`, .tol: `1.0e-4`},
1029	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.153407`, .tol: `1.0e-4`},
1030	{ .barrierType: Barrier::UpOut,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.253767`, .tol: `1.0e-4`},
1031
1032	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.05402`, .tol: `1.0e-4`},
1033	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.0410069`, .tol: `1.0e-4`},
1034	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.0279562`, .tol: `1.0e-4`},
1035	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.0173055`, .tol: `1.0e-4`},
1036	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Call,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.00764`, .tol: `1.0e-4`},
1037
1038	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.000962737`, .tol: `1.0e-4`},
1039	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.00102637`, .tol: `1.0e-4`},
1040	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.000419834`, .tol: `1.0e-4`},
1041	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.00159277`, .tol: `1.0e-4`},
1042	{ .barrierType: Barrier::UpIn,.barrier: `1.6`,.rebate: `0`, .type: Option::Put,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.00473629`, .tol: `1.0e-4`},
1043
1044	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.255098`, .tol: `1.0e-4`},
1045	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.145701`, .tol: `1.0e-4`},
1046	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.06384`, .tol: `1.0e-4`},
1047	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.02366`, .tol: `1.0e-4`},
1048	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.00764`, .tol: `1.0e-4`},
1049
1050	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.00592`, .tol: `1.0e-4`},
1051	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.00421`, .tol: `1.0e-4`},
1052	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.00256`, .tol: `1.0e-4`},
1053	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.0012`, .tol: `1.0e-4`},
1054	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.0004`, .tol: `1.0e-4`},
1055
1056	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0`, .tol: `1.0e-4`},
1057	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.00280549`, .tol: `1.0e-4`},
1058	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.0279945`, .tol: `1.0e-4`},
1059	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.0896352`, .tol: `1.0e-4`},
1060	{ .barrierType: Barrier::DownOut,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.175182`, .tol: `1.0e-4`},
1061
1062	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`, .result: `0.00000`, .tol: `1.0e-4`},
1063	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`, .result: `0.00000`, .tol: `1.0e-4`},
1064	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`, .result: `0.00000`, .tol: `1.0e-4`},
1065	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.0002`, .tol: `1.0e-4`},
1066	{ .barrierType: Barrier::DownOut,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.00096`, .tol: `1.0e-4`},
1067
1068	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.00384783`, .tol: `1.0e-4`},
1069	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.000883232`, .tol: `1.0e-4`},
1070	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0`, .tol: `1.0e-4`},
1071	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`, .result: `0.00000`, .tol: `1.0e-4`},
1072	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Call,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`, .result: `0.00000`, .tol: `1.0e-4`},
1073
1074	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.25302`, .tol: `1.0e-4`},
1075	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.14238`, .tol: `1.0e-4`},
1076	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.06128`, .tol: `1.0e-4`},
1077	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.02245`, .tol: `1.0e-4`},
1078	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Call,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.00725`, .tol: `1.0e-4`},
1079
1080	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.01178`, .tol: `1.0e-4`},
1081	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.0295548`, .tol: `1.0e-4`},
1082	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.047549`, .tol: `1.0e-4`},
1083	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.0653642`, .tol: `1.0e-4`},
1084	{ .barrierType: Barrier::DownIn,.barrier: `1`,.rebate: `0`, .type: Option::Put,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.0833221`, .tol: `1.0e-4`},
1085
1086	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.06145`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.12511`,.result: `0.01178`, .tol: `1.0e-4`},
1087	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.19545`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.1089`,.result: `0.03236`, .tol: `1.0e-4`},
1088	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.32238`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09444`,.result: `0.07554`, .tol: `1.0e-4`},
1089	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.44298`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09197`,.result: `0.15479`, .tol: `1.0e-4`},
1090	{ .barrierType: Barrier::DownIn,.barrier: `1.3`,.rebate: `0`, .type: Option::Put,.strike: `1.56345`,.s: `1.30265`,.q: `0.0009418`,.r: `0.0039788`,.t: `2`,.vol25Put: `0.10891`,.volAtm: `0.09525`,.vol25Call: `0.09197`,.v: `0.09261`,.result: `0.25754`, .tol: `1.0e-4`},
1091
1092	};
1093
1094	DayCounter dc = Actual365Fixed ();
1095	Date today(`5`, March, `2013`);
1096	Settings::instance().evaluationDate() = today;
1097
1098	ext::shared_ptr<SimpleQuote> spot = ext::make_shared<SimpleQuote>(args: `0.0`);
1099	ext::shared_ptr<SimpleQuote> qRate = ext::make_shared<SimpleQuote>(args: `0.0`);
1100	ext::shared_ptr<YieldTermStructure> qTS = flatRate(today, forward: qRate, dc);
1101	ext::shared_ptr<SimpleQuote> rRate = ext::make_shared<SimpleQuote>(args: `0.0`);
1102	ext::shared_ptr<YieldTermStructure> rTS = flatRate(today, forward: rRate, dc);
1103	ext::shared_ptr<SimpleQuote> vol25Put = ext::make_shared<SimpleQuote>(args: `0.0`);
1104	ext::shared_ptr<SimpleQuote> volAtm = ext::make_shared<SimpleQuote>(args: `0.0`);
1105	ext::shared_ptr<SimpleQuote> vol25Call = ext::make_shared<SimpleQuote>(args: `0.0`);
1106
1107	for (auto& value : values) {
1108
1109	spot ->setValue(value.s);
1110	qRate ->setValue(value.q);
1111	rRate ->setValue(value.r);
1112	vol25Put ->setValue(value.vol25Put);
1113	volAtm ->setValue(value.volAtm);
1114	vol25Call ->setValue(value.vol25Call);
1115
1116	ext::shared_ptr<StrikedTypePayoff> payoff =
1117	ext::make_shared<PlainVanillaPayoff>(args&: value.type, args&: value.strike);
1118
1119	Date exDate = today + timeToDays(t: value.t, daysPerYear: `365`);
1120	ext::shared_ptr<Exercise> exercise =
1121	ext::make_shared<EuropeanExercise>(args&: exDate);
1122
1123	Handle<DeltaVolQuote> volAtmQuote = Handle<DeltaVolQuote>(ext::make_shared<DeltaVolQuote>(
1124	args: Handle<Quote>(volAtm), args: DeltaVolQuote::Fwd, args&: value.t, args: DeltaVolQuote::AtmDeltaNeutral));
1125
1126	Handle<DeltaVolQuote> vol25PutQuote(Handle<DeltaVolQuote>(ext::make_shared<DeltaVolQuote>(
1127	args: -`0.25`, args: Handle<Quote>(vol25Put), args&: value.t, args: DeltaVolQuote::Fwd)));
1128
1129	Handle<DeltaVolQuote> vol25CallQuote(Handle<DeltaVolQuote>(ext::make_shared<DeltaVolQuote>(
1130	args: `0.25`, args: Handle<Quote>(vol25Call), args&: value.t, args: DeltaVolQuote::Fwd)));
1131
1132	BarrierOption barrierOption(value.barrierType, value.barrier, value.rebate, payoff,
1133	exercise);
1134
1135	Real bsVanillaPrice =
1136	blackFormula(optionType: value.type, strike: value.strike,
1137	forward: spot ->value() * qTS ->discount(t: value.t) / rTS ->discount(t: value.t),
1138	stdDev: value.v * std::sqrt(x: value.t), discount: rTS ->discount(t: value.t));
1139	ext::shared_ptr<PricingEngine> vannaVolgaEngine =
1140	ext::make_shared<VannaVolgaBarrierEngine>(
1141	args&: volAtmQuote,
1142	args&: vol25PutQuote,
1143	args&: vol25CallQuote,
1144	args: Handle<Quote> (spot),
1145	args: Handle<YieldTermStructure> (rTS),
1146	args: Handle<YieldTermStructure> (qTS),
1147	args: true,
1148	args&: bsVanillaPrice);
1149	barrierOption.setPricingEngine(vannaVolgaEngine);
1150
1151	Real calculated = barrierOption.NPV();
1152	Real expected = value.result;
1153	Real error = std::fabs(x: calculated-expected);
1154	if (error > value.tol) {
1155	REPORT_FX_FAILURE("value", value.barrierType, value.barrier, value.rebate, payoff,
1156	exercise, value.s, value.q, value.r, today, value.vol25Put,
1157	value.volAtm, value.vol25Call, value.v, expected, calculated, error,
1158	value.tol);
1159	}
1160	}
1161	}
1162
1163	void BarrierOptionTest::testOldDividendBarrierOption() {
1164	BOOST_TEST_MESSAGE("Testing old-style barrier option pricing with discrete dividends...");
1165
1166	const DayCounter dc = Actual365Fixed ();
1167
1168	const Date today(`11`, February, `2018`);
1169	const Date maturity = today + Period (`1`, Years);
1170	Settings::instance().evaluationDate() = today;
1171
1172	const Real spot = `100.0`;
1173	const Real strike = `105.0`;
1174	const Real rebate = `5.0`;
1175
1176	const Real barriers[] = { `80.0`, `120.0` };
1177	const Barrier::Type barrierTypes[] = { Barrier::DownOut, Barrier::UpOut };
1178
1179	const Rate r = `0.05`;
1180	const Rate q = `0.0`;
1181	const Volatility v = `0.02`;
1182
1183	const Handle<Quote> s0(ext::make_shared<SimpleQuote>(args: spot));
1184	const Handle<YieldTermStructure> qTS(flatRate(today, forward: q, dc));
1185	const Handle<YieldTermStructure> rTS(flatRate(today, forward: r, dc));
1186	const Handle<BlackVolTermStructure> volTS(flatVol(today, volatility: v, dc));
1187
1188	const ext::shared_ptr<BlackScholesMertonProcess> bsProcess =
1189	ext::make_shared<BlackScholesMertonProcess>(args: s0, args: qTS, args: rTS, args: volTS);
1190
1191	const ext::shared_ptr<PricingEngine> douglas =
1192	ext::make_shared<FdBlackScholesBarrierEngine>(
1193	args: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::Douglas());
1194
1195	const ext::shared_ptr<PricingEngine> crankNicolson =
1196	ext::make_shared<FdBlackScholesBarrierEngine>(
1197	args: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::CrankNicolson());
1198
1199	const ext::shared_ptr<PricingEngine> craigSnyed =
1200	ext::make_shared<FdBlackScholesBarrierEngine>(
1201	args: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::CraigSneyd());
1202
1203	const ext::shared_ptr<PricingEngine> hundsdorfer =
1204	ext::make_shared<FdBlackScholesBarrierEngine>(
1205	args: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::Hundsdorfer());
1206
1207	const ext::shared_ptr<PricingEngine> mol =
1208	ext::make_shared<FdBlackScholesBarrierEngine>(
1209	args: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::MethodOfLines());
1210
1211	const ext::shared_ptr<PricingEngine> trPDF2 =
1212	ext::make_shared<FdBlackScholesBarrierEngine>(
1213	args: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::TrBDF2());
1214
1215	const ext::shared_ptr<PricingEngine> hestonEngine =
1216	ext::make_shared<FdHestonBarrierEngine>(
1217	args: ext::make_shared<HestonModel>(
1218	args: ext::make_shared<HestonProcess>(
1219	args: rTS, args: qTS, args: s0, args: vv, args: `1.0`, args: vv, args: `0.005`, args: `0.0`)), args: `50`, args: `101`, args: `3`);
1220
1221	const ext::shared_ptr<PricingEngine> engines[] = {
1222	douglas, crankNicolson,
1223	trPDF2, craigSnyed, hundsdorfer, mol, hestonEngine
1224	};
1225
1226	const ext::shared_ptr<StrikedTypePayoff> payoff =
1227	ext::make_shared<PlainVanillaPayoff>(args: Option::Put, args: strike);
1228
1229	const ext::shared_ptr<Exercise> exercise =
1230	ext::make_shared<EuropeanExercise>(args: maturity);
1231
1232	const Real divAmount = `30`;
1233	const Date divDate = today + Period (`6`, Months);
1234
1235	const Real expected[] = {
1236	rTS ->discount(d: divDate)*rebate,
1237	(*payoff)(
1238	(spot - divAmount*rTS ->discount(d: divDate))/rTS ->discount(d: maturity))
1239	*rTS ->discount(d: maturity)
1240	};
1241
1242	const Real relTol = `1e-4`;
1243	for (Size i=`0`; i < LENGTH(barriers); ++i) {
1244	for (const auto& engine : engines) {
1245	const Real barrier = barriers[i];
1246	const Barrier::Type barrierType = barrierTypes[i];
1247
1248	QL_DEPRECATED_DISABLE_WARNING
1249
1250	DividendBarrierOption barrierOption(
1251	barrierType, barrier, rebate, payoff, exercise,
1252	std::vector<Date>(`1`, divDate),
1253	std::vector<Real>(`1`, divAmount));
1254
1255	QL_DEPRECATED_ENABLE_WARNING
1256
1257	barrierOption.setPricingEngine(engine);
1258
1259	const Real calculated = barrierOption.NPV();
1260
1261	const Real diff = std::fabs(x: calculated - expected[i]);
1262	if (diff > relTol*expected[i]) {
1263	BOOST_FAIL("Failed to reproduce barrier price with "
1264	"discrete dividends for "
1265	<< "\n strike: " << strike
1266	<< "\n barrier: " << barrier
1267	<< "\n maturity: " << maturity
1268	<< "\n calculated: " << calculated
1269	<< "\n expected: " << expected[i]
1270	<< std::scientific
1271	<< "\n difference " << diff
1272	<< "\n tolerance " << relTol * expected[i]);
1273	}
1274	}
1275	}
1276	}
1277
1278	void BarrierOptionTest::testDividendBarrierOption() {
1279	BOOST_TEST_MESSAGE("Testing barrier option pricing with discrete dividends...");
1280
1281	DayCounter dc = Actual365Fixed ();
1282
1283	Date today(`11`, February, `2018`);
1284	Date maturity = today + Period (`1`, Years);
1285	Settings::instance().evaluationDate() = today;
1286
1287	Real spot = `100.0`;
1288	Real strike = `105.0`;
1289	Real rebate = `5.0`;
1290
1291	Real barriers[] = { `80.0`, `120.0`, `80.0`, `120.0` };
1292	Barrier::Type barrierTypes[] = { Barrier::DownOut, Barrier::UpOut, Barrier::DownIn, Barrier::UpIn };
1293
1294	Rate r = `0.05`;
1295	Rate q = `0.0`;
1296	Volatility v = `0.02`;
1297
1298	Handle<Quote> s0(ext::make_shared<SimpleQuote>(args&: spot));
1299	Handle<YieldTermStructure> qTS(flatRate(today, forward: q, dc));
1300	Handle<YieldTermStructure> rTS(flatRate(today, forward: r, dc));
1301	Handle<BlackVolTermStructure> volTS(flatVol(today, volatility: v, dc));
1302
1303	auto bsProcess = ext::make_shared<BlackScholesMertonProcess>(args&: s0, args&: qTS, args&: rTS, args&: volTS);
1304
1305	Real divAmount = `30`;
1306	Date divDate = today + Period (`6`, Months);
1307	auto dividends = DividendVector(dividendDates: { divDate }, dividends: { divAmount });
1308
1309	auto douglas =
1310	ext::make_shared<FdBlackScholesBarrierEngine>(
1311	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::Douglas());
1312
1313	auto crankNicolson =
1314	ext::make_shared<FdBlackScholesBarrierEngine>(
1315	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::CrankNicolson());
1316
1317	auto craigSnyed =
1318	ext::make_shared<FdBlackScholesBarrierEngine>(
1319	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::CraigSneyd());
1320
1321	auto hundsdorfer =
1322	ext::make_shared<FdBlackScholesBarrierEngine>(
1323	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::Hundsdorfer());
1324
1325	auto mol =
1326	ext::make_shared<FdBlackScholesBarrierEngine>(
1327	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::MethodOfLines());
1328
1329	auto trPDF2 =
1330	ext::make_shared<FdBlackScholesBarrierEngine>(
1331	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::TrBDF2());
1332
1333	auto hestonEngine =
1334	ext::make_shared<FdHestonBarrierEngine>(
1335	args: ext::make_shared<HestonModel>(
1336	args: ext::make_shared<HestonProcess>(
1337	args&: rTS, args&: qTS, args&: s0, args: vv, args: `1.0`, args: vv, args: `0.005`, args: `0.0`)),
1338	args&: dividends, args: `50`, args: `101`, args: `3`);
1339
1340	ext::shared_ptr<PricingEngine> engines[] = {
1341	douglas, crankNicolson,
1342	trPDF2, craigSnyed, hundsdorfer, mol, hestonEngine
1343	};
1344
1345	auto payoff = ext::make_shared<PlainVanillaPayoff>(args: Option::Put, args&: strike);
1346	auto exercise = ext::make_shared<EuropeanExercise>(args&: maturity);
1347
1348	Real expected[] = {
1349	rTS ->discount(d: divDate)*rebate,
1350	(*payoff)(
1351	(spot - divAmount*rTS ->discount(d: divDate))/rTS ->discount(d: maturity))
1352	*rTS ->discount(d: maturity),
1353	`29.154`,
1354	`4.765`
1355	};
1356
1357	Real relTol = `2e-4`;
1358	for (Size i=`0`; i < LENGTH(barriers); ++i) {
1359	for (Size j=`0`; j < LENGTH(engines); ++j) {
1360	Real barrier = barriers[i];
1361	Barrier::Type barrierType = barrierTypes[i];
1362
1363	BarrierOption barrierOption(barrierType, barrier, rebate, payoff, exercise);
1364	barrierOption.setPricingEngine(engines[j]);
1365
1366	Real calculated = barrierOption.NPV();
1367	Real diff = std::fabs(x: calculated - expected[i]);
1368	if (diff > relTol*expected[i]) {
1369	BOOST_ERROR("Failed to reproduce barrier price with discrete dividends:"
1370	<< "\n engine: " << j
1371	<< "\n strike: " << strike
1372	<< "\n barrier: " << barrier
1373	<< "\n maturity: " << maturity
1374	<< "\n calculated: " << calculated
1375	<< "\n expected: " << expected[i]
1376	<< std::scientific
1377	<< "\n difference " << diff
1378	<< "\n tolerance " << relTol * expected[i]);
1379	}
1380	}
1381	}
1382	}
1383
1384
1385	void BarrierOptionTest::testDividendBarrierOptionWithDividendsPastMaturity() {
1386	BOOST_TEST_MESSAGE("Testing barrier option pricing with discrete dividends past maturity...");
1387
1388	DayCounter dc = Actual365Fixed ();
1389
1390	Date today(`11`, February, `2018`);
1391	Date maturity = today + Period (`1`, Years);
1392	Settings::instance().evaluationDate() = today;
1393
1394	Real spot = `100.0`;
1395	Real strike = `105.0`;
1396	Real rebate = `5.0`;
1397
1398	Real barriers[] = { `90.0`, `110.0` };
1399	Barrier::Type barrierTypes[] = { Barrier::DownOut, Barrier::UpOut };
1400
1401	Rate r = `0.05`;
1402	Rate q = `0.0`;
1403	Volatility v = `0.02`;
1404
1405	Handle<Quote> s0(ext::make_shared<SimpleQuote>(args&: spot));
1406	Handle<YieldTermStructure> qTS(flatRate(today, forward: q, dc));
1407	Handle<YieldTermStructure> rTS(flatRate(today, forward: r, dc));
1408	Handle<BlackVolTermStructure> volTS(flatVol(today, volatility: v, dc));
1409
1410	auto bsProcess = ext::make_shared<BlackScholesMertonProcess>(args&: s0, args&: qTS, args&: rTS, args&: volTS);
1411
1412	Real divAmount = `30`;
1413	Date divDate = today + Period (`18`, Months);
1414	auto dividends = DividendVector(dividendDates: { divDate }, dividends: { divAmount });
1415
1416	ext::shared_ptr<PricingEngine> engines[] = {
1417	ext::make_shared<FdBlackScholesBarrierEngine>(
1418	args&: bsProcess, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::Douglas()),
1419	ext::make_shared<FdHestonBarrierEngine>(
1420	args: ext::make_shared<HestonModel>(
1421	args: ext::make_shared<HestonProcess>(
1422	args&: rTS, args&: qTS, args&: s0, args: vv, args: `1.0`, args: vv, args: `0.005`, args: `0.0`)),
1423	args: `50`, args: `101`, args: `3`)
1424	};
1425
1426	ext::shared_ptr<PricingEngine> enginesWithDividends[] = {
1427	ext::make_shared<FdBlackScholesBarrierEngine>(
1428	args&: bsProcess, args&: dividends, args: `100`, args: `100`, args: `0`, args: FdmSchemeDesc::Douglas()),
1429	ext::make_shared<FdHestonBarrierEngine>(
1430	args: ext::make_shared<HestonModel>(
1431	args: ext::make_shared<HestonProcess>(
1432	args&: rTS, args&: qTS, args&: s0, args: vv, args: `1.0`, args: vv, args: `0.005`, args: `0.0`)),
1433	args&: dividends, args: `50`, args: `101`, args: `3`)
1434	};
1435
1436	auto payoff = ext::make_shared<PlainVanillaPayoff>(args: Option::Put, args&: strike);
1437	auto exercise = ext::make_shared<EuropeanExercise>(args&: maturity);
1438
1439	for (Size i=`0`; i < LENGTH(barriers); ++i) {
1440	for (Size j=`0`; j < LENGTH(engines); ++j) {
1441	Real barrier = barriers[i];
1442	Barrier::Type barrierType = barrierTypes[i];
1443
1444	BarrierOption barrierOption(barrierType, barrier, rebate, payoff, exercise);
1445
1446	barrierOption.setPricingEngine(engines[j]);
1447	Real withoutDividends = barrierOption.NPV();
1448
1449	barrierOption.setPricingEngine(enginesWithDividends[j]);
1450	Real withDividends = barrierOption.NPV();
1451
1452	Real diff = std::fabs(x: withDividends - withoutDividends);
1453	Real tolerance = `1e-12`;
1454	if (diff > tolerance) {
1455	BOOST_ERROR("Dividends past maturity affected option price:"
1456	<< "\n engine: " << j
1457	<< "\n strike: " << strike
1458	<< "\n barrier: " << barrier
1459	<< "\n maturity: " << maturity
1460	<< "\n without dividend: " << withoutDividends
1461	<< "\n with dividend: " << withDividends
1462	<< std::scientific
1463	<< "\n difference " << diff);
1464	}
1465	}
1466	}
1467	}
1468
1469	void BarrierOptionTest::testBarrierAndDividendEngine() {
1470	BOOST_TEST_MESSAGE("Testing the use of a single engine for barrier and dividend options...");
1471
1472	auto today = Date (`1`, January, `2023`);
1473	Settings::instance().evaluationDate() = today;
1474
1475	auto u = Handle<Quote>(ext::make_shared<SimpleQuote>(args: `100.0`));
1476	auto r = Handle<YieldTermStructure>(ext::make_shared<FlatForward>(args&: today, args: `0.01`, args: Actual360 ()));
1477	auto sigma = Handle<BlackVolTermStructure>(
1478	ext::make_shared<BlackConstantVol>(args&: today, args: TARGET (), args: `0.20`, args: Actual360 ()));
1479	auto process = ext::make_shared<BlackScholesProcess>(args&: u, args&: r, args&: sigma);
1480
1481	auto engine = ext::make_shared<FdBlackScholesBarrierEngine>(args&: process);
1482
1483	auto payoff = ext::make_shared<PlainVanillaPayoff>(args: Option::Call, args: `90.0`);
1484
1485	auto option1 = BarrierOption (Barrier::DownIn, `80.0`, `0.0`, payoff,
1486	ext::make_shared<EuropeanExercise>(args: Date (`1`, June, `2023`)));
1487	QL_DEPRECATED_DISABLE_WARNING
1488	auto option2 = DividendBarrierOption (Barrier::DownIn, `80.0`, `0.0`, payoff,
1489	ext::make_shared<EuropeanExercise>(args: Date (`1`, June, `2023`)),
1490	{Date (`1`, February, `2023`)}, {`1.0`});
1491	QL_DEPRECATED_ENABLE_WARNING
1492
1493	option1.setPricingEngine(engine);
1494	option2.setPricingEngine(engine);
1495
1496	auto npv_before = option1.NPV();
1497	option2.NPV();
1498
1499	option1.recalculate();
1500	auto npv_after = option1.NPV();
1501
1502	if (npv_after != npv_before) {
1503	BOOST_FAIL("Failed to price barrier option correctly "
1504	"after using the engine on a dividend option: "
1505	<< "\n before usage: " << npv_before << "\n after usage: " << npv_after);
1506	}
1507	}
1508
1509	void BarrierOptionTest::testImpliedVolatility() {
1510	BOOST_TEST_MESSAGE("Testing implied volatility for barrier options...");
1511
1512	DayCounter dc = Actual365Fixed ();
1513
1514	Date today(`11`, February, `2018`);
1515	Date maturity = today + Period (`1`, Years);
1516	Settings::instance().evaluationDate() = today;
1517
1518	Real spot = `100.0`;
1519
1520	Rate r = `0.05`;
1521	Rate q = `0.0`;
1522
1523	Handle<Quote> s0(ext::make_shared<SimpleQuote>(args&: spot));
1524	Handle<YieldTermStructure> qTS(flatRate(today, forward: q, dc));
1525	Handle<YieldTermStructure> rTS(flatRate(today, forward: r, dc));
1526	Handle<BlackVolTermStructure> dummyVolTS(flatVol(today, volatility: `0.0`, dc));
1527
1528	auto bsProcess = ext::make_shared<BlackScholesMertonProcess>(args&: s0, args&: qTS, args&: rTS, args&: dummyVolTS);
1529
1530	Real divAmount = `10`;
1531	Date divDate = today + Period (`6`, Months);
1532	auto dividends = DividendVector(dividendDates: { divDate }, dividends: { divAmount });
1533
1534	Real strike = `105.0`;
1535	Real rebate = `5.0`;
1536
1537	auto payoff = ext::make_shared<PlainVanillaPayoff>(args: Option::Put, args&: strike);
1538	auto exercise = ext::make_shared<EuropeanExercise>(args&: maturity);
1539
1540	Real barriers[] = { `90.0`, `110.0`, `90.0`, `110.0` };
1541	Barrier::Type barrierTypes[] = { Barrier::DownOut, Barrier::UpOut, Barrier::DownIn, Barrier::UpIn };
1542	Real targetWithoutDividends[] = { `1.0`, `1.0`, `5.0`, `5.0` };
1543	Real targetWithDividends[] = { `8.0`, `12.0`, `9.0`, `8.0` };
1544	Real tolerance = `1e-5`;
1545
1546	for (Size i=`0`; i < LENGTH(barriers); ++i) {
1547	Real barrier = barriers[i];
1548	Barrier::Type barrierType = barrierTypes[i];
1549
1550	BarrierOption barrierOption(barrierType, barrier, rebate, payoff, exercise);
1551	Volatility impliedVol = barrierOption.impliedVolatility(price: targetWithoutDividends[i], process: bsProcess, accuracy: `1e-6`);
1552
1553	RelinkableHandle<BlackVolTermStructure> volTS(flatVol(today, volatility: impliedVol, dc));
1554	auto process = ext::make_shared<BlackScholesMertonProcess>(args&: s0, args&: qTS, args&: rTS, args&: volTS);
1555	barrierOption.setPricingEngine(ext::make_shared<AnalyticBarrierEngine>(args&: process));
1556
1557	Real diff = std::fabs(x: barrierOption.NPV() - targetWithoutDividends[i]);
1558	if (diff > tolerance) {
1559	BOOST_ERROR("Failed to reproduce target option price:"
1560	<< "\n strike: " << strike
1561	<< "\n barrier: " << barrier
1562	<< "\n maturity: " << maturity
1563	<< "\n target value: " << targetWithoutDividends[i]
1564	<< "\n calculated: " << barrierOption.NPV()
1565	<< std::scientific
1566	<< "\n difference " << diff);
1567	}
1568
1569	impliedVol = barrierOption.impliedVolatility(price: targetWithDividends[i], process: bsProcess, dividends, accuracy: `1e-6`);
1570
1571	volTS.linkTo(h: flatVol(today, volatility: impliedVol, dc));
1572	barrierOption.setPricingEngine(ext::make_shared<FdBlackScholesBarrierEngine>(args&: process, args&: dividends));
1573
1574	diff = std::fabs(x: barrierOption.NPV() - targetWithDividends[i]);
1575	if (diff > tolerance) {
1576	BOOST_ERROR("Failed to reproduce target option price:"
1577	<< "\n strike: " << strike
1578	<< "\n barrier: " << barrier
1579	<< "\n maturity: " << maturity
1580	<< "\n target value: " << targetWithDividends[i]
1581	<< "\n calculated: " << barrierOption.NPV()
1582	<< std::scientific
1583	<< "\n difference " << diff);
1584	}
1585	}
1586	}
1587
1588	void BarrierOptionTest::testLowVolatility() {
1589	BOOST_TEST_MESSAGE("Testing barrier options with low volatility value...");
1590
1591	DayCounter dc = Actual365Fixed ();
1592
1593	Date today(`11`, February, `2018`);
1594	Settings::instance().evaluationDate() = today;
1595
1596	Date maturity = today + Period (`1`, Years);
1597
1598	Real spot = `100.0`;
1599	Volatility vol = `1e-7`;
1600
1601	auto Q = ext::make_shared<SimpleQuote>();
1602	auto R = ext::make_shared<SimpleQuote>();
1603
1604	Handle<Quote> s0(ext::make_shared<SimpleQuote>(args&: spot));
1605	Handle<YieldTermStructure> qTS(flatRate(today, forward: Q, dc));
1606	Handle<YieldTermStructure> rTS(flatRate(today, forward: R, dc));
1607	Handle<BlackVolTermStructure> volTS(flatVol(today, volatility: vol, dc));
1608
1609	auto process = ext::make_shared<BlackScholesMertonProcess>(args&: s0, args&: qTS, args&: rTS, args&: volTS);
1610	auto engine = ext::make_shared<AnalyticBarrierEngine>(args&: process);
1611
1612	auto check = [&](Real strike, Option::Type optionType,
1613	Real barrier, Barrier::Type barrierType, Real rebate,
1614	Rate r, Rate q, Real expected) {
1615	R ->setValue(r);
1616	Q ->setValue(q);
1617	auto payoff = ext::make_shared<PlainVanillaPayoff>(args&: optionType, args&: strike);
1618	auto exercise = ext::make_shared<EuropeanExercise>(args&: maturity);
1619	BarrierOption option(barrierType, barrier, rebate, payoff, exercise);
1620	option.setPricingEngine(engine);
1621	Real value = option.NPV();
1622	Real diff = std::fabs(x: value - expected);
1623	if (std::isnan(x: value) \|\| diff > `0.5`) {
1624	BOOST_ERROR("Failed to match expected price:"
1625	<< "\n strike: " << strike
1626	<< "\n option type: " << optionType
1627	<< "\n barrier: " << barrier
1628	<< "\n barrier type: " << barrierType
1629	<< "\n rebate: " << rebate
1630	<< "\n risk-free rate: " << r
1631	<< "\n dividend yield: " << q
1632	<< "\n expected: " << expected
1633	<< "\n calculated: " << value);
1634	}
1635	};
1636
1637	// strike type barrier barrier type rebate r q expected
1638
1639	check ( `105.0`, Option::Put, `107.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `3.0`); // fwd = 102, put, ITM, k < H
1640	check ( `109.0`, Option::Put, `107.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `7.0`); // fwd = 102, put, ITM, k > H
1641	check ( `100.0`, Option::Put, `107.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `0.0`); // fwd = 102, put, OTM
1642	check ( `99.0`, Option::Put, `101.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `4.0`); // fwd = 102, knocked out, k < H
1643	check ( `105.0`, Option::Put, `101.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `4.0`); // fwd = 102, knocked out, k > H
1644	check ( `105.0`, Option::Call, `107.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `0.0`); // fwd = 102, call, OTM, k < H
1645	check ( `109.0`, Option::Call, `107.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `0.0`); // fwd = 102, call, OTM, k > H
1646	check ( `100.0`, Option::Call, `107.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `2.0`); // fwd = 102, call, ITM
1647	check ( `105.0`, Option::Call, `101.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `4.0`); // fwd = 102, knocked out, k < H
1648	check ( `99.0`, Option::Call, `101.0`, Barrier::UpOut, `4.0`, `0.03`, `0.01`, `4.0`); // fwd = 102, knocked out, k > H
1649
1650	check ( `105.0`, Option::Put, `107.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `4.0`); // fwd = 103, not triggered, k < H
1651	check ( `109.0`, Option::Put, `107.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `4.0`); // fwd = 103, not triggered, k > H
1652	check ( `105.0`, Option::Put, `101.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `2.0`); // fwd = 103, put, ITM
1653	check ( `100.0`, Option::Put, `101.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `0.0`); // fwd = 103, put, OTM, k < H
1654	check ( `102.0`, Option::Put, `101.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `0.0`); // fwd = 103, put, OTM, k > H
1655	check ( `105.0`, Option::Call, `107.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `4.0`); // fwd = 103, not triggered, k < H
1656	check ( `109.0`, Option::Call, `107.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `4.0`); // fwd = 103, not triggered, k > H
1657	check ( `105.0`, Option::Call, `101.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `0.0`); // fwd = 103, call, OTM
1658	check ( `100.0`, Option::Call, `101.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `3.0`); // fwd = 103, call, ITM, k < H
1659	check ( `102.0`, Option::Call, `101.0`, Barrier::UpIn, `4.0`, `0.03`, `0.0`, `1.0`); // fwd = 103, call, ITM, k > H
1660
1661	check ( `91.0`, Option::Put, `93.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `0.0`); // fwd = 98, put, OTM, k < H
1662	check ( `95.0`, Option::Put, `93.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `0.0`); // fwd = 98, put, OTM, k > H
1663	check ( `100.0`, Option::Put, `93.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `2.0`); // fwd = 98, put, ITM
1664	check ( `97.0`, Option::Put, `99.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `4.0`); // fwd = 98, knocked out, k < H
1665	check ( `101.0`, Option::Put, `99.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `4.0`); // fwd = 98, knocked out, k > H
1666	check ( `91.0`, Option::Call, `93.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `7.0`); // fwd = 98, call, ITM
1667	check ( `95.0`, Option::Call, `93.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `3.0`); // fwd = 98, call, ITM
1668	check ( `100.0`, Option::Call, `93.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `0.0`); // fwd = 98, call, OTM
1669	check ( `95.0`, Option::Call, `99.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `4.0`); // fwd = 98, knocked out, k < H
1670	check ( `101.0`, Option::Call, `99.0`, Barrier::DownOut, `4.0`, `0.01`, `0.03`, `4.0`); // fwd = 98, knocked out, k > H
1671
1672	check ( `91.0`, Option::Put, `93.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `4.0`); // fwd = 97, not triggered, k < H
1673	check ( `95.0`, Option::Put, `93.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `4.0`); // fwd = 97, not triggered, k > H
1674	check ( `100.0`, Option::Put, `99.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `3.0`); // fwd = 97, put, ITM
1675	check ( `95.0`, Option::Put, `99.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `0.0`); // fwd = 97, put, OTM, k < H
1676	check ( `95.0`, Option::Put, `99.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `0.0`); // fwd = 97, put, OTM, k > H
1677	check ( `91.0`, Option::Call, `93.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `4.0`); // fwd = 97, not triggered, k < H
1678	check ( `95.0`, Option::Call, `93.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `4.0`); // fwd = 97, not triggered, k > H
1679	check ( `98.0`, Option::Call, `99.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `0.0`); // fwd = 97, call, OTM, k < H
1680	check ( `100.0`, Option::Call, `99.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `0.0`); // fwd = 97, call, OTM, k > H
1681	check ( `95.0`, Option::Call, `99.0`, Barrier::DownIn, `4.0`, `0.01`, `0.04`, `2.0`); // fwd = 97, call, ITM
1682	}
1683
1684	test_suite* BarrierOptionTest::suite() {
1685	auto* suite = BOOST_TEST_SUITE("Barrier option tests");
1686	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testParity));
1687	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testHaugValues));
1688	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testBabsiriValues));
1689	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testBeagleholeValues));
1690	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testLocalVolAndHestonComparison));
1691	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testOldDividendBarrierOption));
1692	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testDividendBarrierOption));
1693	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testDividendBarrierOptionWithDividendsPastMaturity));
1694	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testBarrierAndDividendEngine));
1695	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testImpliedVolatility));
1696	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testLowVolatility));
1697	return suite;
1698	}
1699
1700	test_suite* BarrierOptionTest::experimental() {
1701	auto* suite = BOOST_TEST_SUITE("Barrier option experimental tests");
1702	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testPerturbative));
1703	suite->add(QUANTLIB_TEST_CASE(&BarrierOptionTest::testVannaVolgaSimpleBarrierValues));
1704	return suite;
1705	}
1706

source code of quantlib/test-suite/barrieroption.cpp