How do you check your option calculations?

I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial...

I'm not really sure how to check my calculations. I tried using QuantLib to price things for me, but it seems to use actual dates a lot (whereas I'm just interested in year fractions) and the documentation is lacking.

I implemented a finite difference algorithm as described in Wilmott's "Mathematics of Financial Derivatives" and he has some numbers in his book. But my "implementation" of just the analytical Black-Scholes formula already gives different results than his (not by much though).

Again, I just typed up the down and out call option formula from Zhang's Exotic options. He actually goes through explicit examples for each of his formulas.

But for a down and out call with $S = 100$, $K= 92$, $H = 95$, $r = 0.08$, $q = 0.03$, $\sigma = 0.2$, $\tau = 0.5$ he gets \$6.936 and I get \$6.908.

So my question is, what is your go to reference for option prices for checking your code?

Answer

1: Follow the calculations in The Complete Guide to Option Pricing Formulas. The book has many formulas, sample values and outputs. Highly recommended for validating your results. Apparently, this is one of most popular books used by real-world quants (simple and fast).

2: You can still use QuantLib to price with year fractions. I have an example:

DayCounter dc = Actual360();
Date today = Date::todaysDate();
Date exerciseDate = today + 90;    
assert(dc.yearFraction(today, exerciseDate) == 0.25);

Here, we make the exercise date exactly 0.25 year fraction away from today (pricing date). Anything from QuantLib using the dates should match your own implementation. You can adjust the exerciseDate, print the yearFraction and use it in your own code.

3: Use fOptions. fOptions and it's related fExoticOptions are R-packages. They implement the most commonly quantitative finance models. For example, I use the following script to validate my Levy Asian options:

LevyAsianApproxOption(TypeFlag='c', S=6.80, X=6.90, SA=6.80, r=0.07, b=-0.02, sigma=0.14, Time=0.50, time=0.50)

4: Use OptionMatrix. OptionMatirx is a finance calculator runs on a desktop computer.