Merge pull request #84 from agrotz/master

Merge fix in equity theta calculation.

Author: cfries

src/main/java/net/finmath/equities/marketdata/FlatYieldCurve.java

@@ -25,6 +25,11 @@ public FlatYieldCurve(
 		this.rate = rate;
 		this.dayCounter = dayCounter;
 	}
+	
+	public FlatYieldCurve rollToDate(LocalDate date) 
+	{
+		return new FlatYieldCurve(date, rate, dayCounter);
+	}
 
 	public double getRate(double maturity)
 	{

src/main/java/net/finmath/equities/models/BuehlerDividendForwardStructure.java

@@ -65,7 +65,7 @@ public BuehlerDividendForwardStructure cloneWithNewDate(LocalDate newDate)
 		return new BuehlerDividendForwardStructure(
 				newDate,
 				this.spot,
-				this.repoCurve,
+				this.repoCurve.rollToDate(newDate),
 				this.dividendStream,
 				this.dayCounter);
 	}

src/main/java/net/finmath/equities/pricer/AnalyticOptionValuation.java

@@ -58,8 +58,7 @@ public double calculate(
 		final var ttm = dcc.getDaycountFraction(forwardStructure.getValuationDate(), expiryDate);
 		final var forward = forwardStructure.getForward(expiryDate);
 		final var discountFactor = discountCurve.getDiscountFactor(expiryDate);
-		//var repoRate = forwardStructure.getRepoCurve().getRate(expiryDate);
-		final var repoRate = discountCurve.getRate(expiryDate);
+		final var discountRate = discountCurve.getRate(expiryDate);
 		final var adjustedForward = forwardStructure.getDividendAdjustedStrike(forward, expiryDate);
 		final var adjustedStrike = forwardStructure.getDividendAdjustedStrike(option.getStrike(), expiryDate);
 		final var volatility = volaSurface.getVolatility(
@@ -111,14 +110,7 @@ public double calculate(
 					volatility,
 					option.isCallOption(),
 					discountFactor * adjustedForward,
-					repoRate)
-					- repoRate * Black76Model.optionPrice(
-							1.0,
-							adjustedStrike / adjustedForward,
-							ttm,
-							volatility,
-							option.isCallOption(),
-							discountFactor * adjustedForward);
+					discountRate);
 		default:
 			throw new NotImplementedException("Calculation for " + calcType + " not implemented yet.");
 		}

src/main/java/net/finmath/equities/pricer/PdeOptionValuation.java

@@ -401,7 +401,8 @@ else if (i == j - 1 || i == j + 1)
 					* dFdS / dFdX;
 			final var gamma = discountFactor * (prices.getEntry(spotIndex + 1) + prices.getEntry(spotIndex - 1)
 			- 2 * prices.getEntry(spotIndex)) / spaceStepSq * dFdS * dFdS / dFdX / dFdX;
-			final var theta = (discountFactor * lastAtmPrice - price) / dt;
+			final var discountFactorTheta = discountCurve.getDiscountFactor(expiryTime - dt);
+			final var theta = (discountFactorTheta * lastAtmPrice - price) / dt;
 			return new double[] {price, delta, gamma, theta};
 		}
 		else

src/test/java/net/finmath/equities/AnalyticOptionValuationTest.java

@@ -133,8 +133,9 @@ public void Test_sensis() throws CalculationException
 			final var anaTheta = pricer.getTheta(option, fwdStructure, discountCurve, flatVol);
 			final var thetaDate = valDate.plusDays(1);
 			final var thetaSpot = fwdStructure.getForward(thetaDate);
+			final var thetaCurve = discountCurve.rollToDate(thetaDate);
 			final var shiftedFwdStructure = fwdStructure.cloneWithNewSpot(thetaSpot).cloneWithNewDate(thetaDate);
-			final var priceTheta = pricer.getPrice(option, shiftedFwdStructure, discountCurve, flatVol);
+			final var priceTheta = pricer.getPrice(option, shiftedFwdStructure, thetaCurve, flatVol);
 			final var fdTheta = (priceTheta - price) / dcc.getDaycountFraction(valDate, thetaDate);
 
 

src/test/java/net/finmath/equities/PdeOptionPricerTest.java

@@ -345,7 +345,7 @@ public void Test_europeanSensis() throws CalculationException
 			assertEquals("Pde Vega deviates to much from analytic value for "  + (isCall ? "Call" : "Put"),
 					0.0, pdeVega/anaVega - 1.0, 0.02);
 			assertEquals("Pde Theta deviates to much from analytic value for "  + (isCall ? "Call" : "Put"),
-					0.0, pdeSensis[3]/anaTheta - 1.0, 0.02);
+					0.0, pdeSensis[3]/anaTheta - 1.0, 0.04);
 		}
 	}