public void ConvertibleBondPricerTest()
{
//hardcoding parameters below, please change if necessary
double sigma = 0.2; // volatility
double T = 5; // time to expiry (years)
double kappa = 1.0; // conversion ratio
double B = 100; // principal
Func <double, double> r = (t) => 0.05; // risk-free interest rate
Func <double, double> rg = (t) => 0.05; // growth rate of stock
Func <double, double> rc = (t) => 0.02; // credit spread
//call schedule
OptionalityPeriodParameters[] callScheduleArray = new OptionalityPeriodParameters[1];
callScheduleArray[0] = new OptionalityPeriodParameters(2, 5, 1.1);
System.Collections.Generic.IEnumerable <OptionalityPeriodParameters> CallSchedule = callScheduleArray;
//put scheule
OptionalityPeriodParameters[] putScheduleArray = new OptionalityPeriodParameters[1];
putScheduleArray[0] = new OptionalityPeriodParameters(3, 3, 1.05);
System.Collections.Generic.IEnumerable <OptionalityPeriodParameters> PutSchedule = putScheduleArray;
//coupon payments
System.Collections.Generic.List <CouponParameters> Coupons = new System.Collections.Generic.List <CouponParameters>();
for (int i = 0; i < 10; ++i)
{
Coupons.Add(new CouponParameters(0, T, 0.5 + i * 0.5, 4 / B));
}
//callable bond parameter
Pricers.Convertible.ConvertibleBondParameters cparams = new Pricers.Convertible.ConvertibleBondParameters();
cparams.Maturity = T;
cparams.FaceValue = B;
cparams.CallSchedule = CallSchedule;
cparams.PutSchedule = null;// PutSchedule;
cparams.Coupons = Coupons;
//measure excution time
for (int it = 4; it <= 4; it++)
{
ConvertibleBondPDEPricer CBSolver = new TFPricer(cparams, kappa, sigma, r, rg, rc);
/*ConvertibleBondPDEPricer CBSolver = new AFVPricer(cparams,
* spotPrice : B,
* conversionRatio: kappa,
* volatility: sigma,
* riskFree: r,
* growthRate: rg,
* creditSpread: rc,
* hazardRateFunc: null,
* hazardRate: 0.02,
* defaultRate: 1,
* recoveryFactor: 0,
* isDirtyPrice: false);*/
CBSolver.print_time_interval = 0.1;
CBSolver.OutDir = "D:";
CBSolver.GridSize = it * 200;
System.Diagnostics.Stopwatch stopwatch = System.Diagnostics.Stopwatch.StartNew();
CBSolver.CreateAndSolvePDE();
stopwatch.Stop();
System.Diagnostics.Debug.WriteLine("Time cost: {0} ms",
stopwatch.ElapsedMilliseconds);
double ans = CBSolver.getPrice(B);
System.Diagnostics.Debug.WriteLine("price(0, 100) = {0} at grid {1}",
ans, CBSolver.GridSize);
using (var stream = new System.IO.StreamWriter("D:/timecost.txt", true))
{
stream.WriteLine("{0} {1}", CBSolver.GridSize, stopwatch.ElapsedMilliseconds);
}
using (var stream = new System.IO.StreamWriter("D:/value.txt", true))
{
stream.WriteLine("{0} {1}", CBSolver.GridSize, ans);
}
}
}
private static void ExcelConvertibleBondPricer(
double sigma,
double T,
double kappa,
double B,
double risk_free,
double credit_spread,
double stock_growth,
double[,] couponInfoMatrix,
double[,] callInfoMatrix,
double[,] putInfoMatrix)
{
Func <double, double> r = (t) => risk_free; // risk-free interest rate
Func <double, double> rg = (t) => stock_growth; // growth rate of stock
Func <double, double> rc = (t) => credit_spread; // credit spread
//call schedule
if (callInfoMatrix.GetLength(1) != 3)
{
throw new ArgumentException("Call information should have 3 columns");
}
OptionalityPeriodParameters[] callScheduleArray = new OptionalityPeriodParameters[callInfoMatrix.GetLength(0)];
for (int i = 0; i < callInfoMatrix.GetLength(0); ++i)
{
callScheduleArray[i] = new OptionalityPeriodParameters(callInfoMatrix[i, 0], callInfoMatrix[i, 1], callInfoMatrix[i, 2]);
}
System.Collections.Generic.IEnumerable <OptionalityPeriodParameters> CallSchedule = callScheduleArray;
//put scheule
if (putInfoMatrix.GetLength(1) != 3)
{
throw new ArgumentException("Put information should have 3 columns");
}
OptionalityPeriodParameters[] putScheduleArray = new OptionalityPeriodParameters[putInfoMatrix.GetLength(0)];
for (int i = 0; i < putInfoMatrix.GetLength(0); ++i)
{
putScheduleArray[i] = new OptionalityPeriodParameters(putInfoMatrix[i, 0], putInfoMatrix[i, 1], putInfoMatrix[i, 2]);
}
System.Collections.Generic.IEnumerable <OptionalityPeriodParameters> PutSchedule = putScheduleArray;
//coupon payments
System.Collections.Generic.List <CouponParameters> Coupons = new System.Collections.Generic.List <CouponParameters>();
for (int i = 0; i < couponInfoMatrix.GetLength(0); ++i)
{
Coupons.Add(new CouponParameters(0, T, couponInfoMatrix[i, 0], couponInfoMatrix[i, 1]));
}
//callable bond parameter
ConvertibleBondParameters cparams = new ConvertibleBondParameters();
cparams.Maturity = T;
cparams.FaceValue = B;
cparams.CallSchedule = CallSchedule;
cparams.PutSchedule = PutSchedule;
cparams.Coupons = Coupons;
CBSolver = new TFPricer(cparams, kappa, sigma, rc, r, rg);
CBSolver.print_time_interval = 0.25;
CBSolver.OutDir = "D:";
CBSolver.GridSize = 300;
System.Diagnostics.Stopwatch stopwatch = System.Diagnostics.Stopwatch.StartNew();
CBSolver.CreateAndSolvePDE();
stopwatch.Stop();
System.Diagnostics.Debug.WriteLine("Time cost: {0} ms",
stopwatch.ElapsedMilliseconds);
using (var stream = new System.IO.StreamWriter("D:/timecost.txt", true))
{
stream.WriteLine("{0} {1}", CBSolver.GridSize, stopwatch.ElapsedMilliseconds);
}
}
