Fix sign of theta in Kirk spread-option engine

lballabio · May 28, 2021 · 7517e8f · 7517e8f
1 parent d57323f
commit 7517e8f
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Showing 2 changed files with 21 additions and 20 deletions.
diff --git a/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp b/ql/experimental/exoticoptions/kirkspreadoptionengine.cpp
@@ -96,7 +96,8 @@ namespace QuantLib {
         }
 
         Real callValue = optionType == Option::Call ? results_.value : riskFreeDiscount*(F*Nd1-Nd2)*(forward2+strike);
-        results_.theta = (log(riskFreeDiscount)/t)*callValue+riskFreeDiscount*(forward1*sigma)/(2*sqrt(t))*pdf(d1);
+        results_.theta = -((log(riskFreeDiscount)/t)*callValue
+                           + riskFreeDiscount*(forward1*sigma)/(2*sqrt(t))*pdf(d1));
     }
 
 }

diff --git a/test-suite/spreadoption.cpp b/test-suite/spreadoption.cpp
@@ -74,25 +74,25 @@ void SpreadOptionTest::testKirkEngine() {
        formula */
 
     Case cases[] = {
-        {  28.0,  20.0, 7.0, 0.05, 0.29, 0.36,  0.42, 90,  2.1670,  3.0431 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5,  36,  4.7530, 25.5905 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.0,  36,  3.7970, 20.8841 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.5,  36,  2.5537, 14.7260 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5, 180, 10.7517, 10.0847 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.0, 180,  8.7020,  8.2619 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.5, 180,  6.0257,  5.8661 },
-        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5,  36,  5.4275, 28.9013 },
-        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.0,  36,  4.3712, 23.7133 },
-        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.5,  36,  3.0086, 16.9864 },
-        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5, 180, 12.1941, 11.3603 },
-        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.0, 180,  9.9340,  9.3589 },
-        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.5, 180,  7.0067,  6.7463 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5,  36,  5.4061, 28.7963 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.0,  36,  4.3451, 23.5848 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.5,  36,  2.9723, 16.8060 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5, 180, 12.1483, 11.3200 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.0, 180,  9.8780,  9.3091 },
-        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.5, 180,  6.9284,  6.6761 }
+        {  28.0,  20.0, 7.0, 0.05, 0.29, 0.36,  0.42, 90,  2.1670,  -3.0431 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5,  36,  4.7530, -25.5905 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.0,  36,  3.7970, -20.8841 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.5,  36,  2.5537, -14.7260 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20, -0.5, 180, 10.7517, -10.0847 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.0, 180,  8.7020,  -8.2619 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.20,  0.5, 180,  6.0257,  -5.8661 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5,  36,  5.4275, -28.9013 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.0,  36,  4.3712, -23.7133 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.5,  36,  3.0086, -16.9864 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20, -0.5, 180, 12.1941, -11.3603 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.0, 180,  9.9340,  -9.3589 },
+        { 122.0, 120.0, 3.0, 0.10, 0.25, 0.20,  0.5, 180,  7.0067,  -6.7463 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5,  36,  5.4061, -28.7963 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.0,  36,  4.3451, -23.5848 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.5,  36,  2.9723, -16.8060 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25, -0.5, 180, 12.1483, -11.3200 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.0, 180,  9.8780,  -9.3091 },
+        { 122.0, 120.0, 3.0, 0.10, 0.20, 0.25,  0.5, 180,  6.9284,  -6.6761 }
     };
 
     for (auto& i : cases) {