public void GetState()
{
double mu = 0.1;
double sigma = 0.3;
double dt = 0.1;
int maturityInyear = 10;
int numOfPath = 100;
double initialValue = 100;
int seed = 1;
var rand = new GaussianRandomNumber(
seed);
var und = new BsUnderlying(mu: mu, sigma: sigma, initialValue: initialValue,
dt: dt, maturityInYear: maturityInyear, numOfPath: numOfPath, random: rand);
double expected = initialValue;
Assert.AreEqual(und.GetState(pathNo: 0, grid: 0), expected);
expected = expected * Math.Exp((mu - 0.5 * sigma * sigma) * dt +
sigma * und.BrownianMotion[0][1]);
Assert.AreEqual(und.GetState(pathNo: 0, grid: 1), expected);
expected = expected * Math.Exp((mu - 0.5 * sigma * sigma) * dt +
sigma * und.BrownianMotion[0][2]);
Assert.AreEqual(und.GetState(pathNo: 0, grid: 2), expected);
}
public void XvaPricer()
{
double dt = 1;
int maturityInYear = 10;
int numOfPath = 100;
var random = new GaussianRandomNumber(seed: 1);
var underlying = new BsUnderlying(
initialValue: 100, sigma: 0.3, mu: 0.0, dt: dt,
maturityInYear: maturityInYear,
numOfPath: numOfPath,
random: random);
var payoff = new European(strike: 105, type: European.PayOffType.Call);
//ContinuationValue
//Integrate()
}
public void GaussianRandom()
{
int size = 1000;
var rand = new GaussianRandomNumber(0);
var values = new List <double>();
for (int i = 0; i < size; ++i)
{
values.Add(rand.Next());
}
double mean = values.Mean();
double variance = values.Variance();
double delta = 1 / Math.Sqrt(size);
Assert.AreEqual(mean, 0.0, delta);
Assert.AreEqual(variance, 1.0, 0.1);
}
public void meshTest()
{
Func <double, double> f = (double x) => { return(x * x); };
var random = new GaussianRandomNumber(seed: 1);
int numOfPath = 100;
int numOfMesh = 100;
double dt = 0.1;
int maturityYear = 1;
double mu = 0.1;
double sigma = 0.3;
var und = new BsUnderlying(initialValue: 100, sigma: sigma, mu: mu,
dt: dt, maturityInYear: maturityYear, numOfPath: numOfPath, random: random);
LogNormalDensity density = new LogNormalDensity(mu, sigma);
var stochasticMesh = new StochasticMeshOperator(numOfMesh,
und, density);
int startGrid = 3;
int endGrid = 10;
double state = 0.1;
double actual = stochasticMesh.Get(f, startGrid, endGrid)(state);
double expected = 0.0;
for (int i = 0; i < numOfPath; ++i)
{
double xEnd = und.GetLastState(i);
IEnumerable <double> mesh
= from index in Enumerable.Range(0, numOfMesh)
select und.GetState(index, startGrid);
double denominator = mesh.Select(
x => density.density(dt * startGrid,
maturityYear, x, xEnd)).Average();
expected += f(xEnd) * density.density(startGrid * dt, endGrid * dt,
state, xEnd);
}
Assert.AreEqual(expected, actual, 1e-10);
}