public void ValueOptionMonteCarloIterative(int numberOfSimulations)
{
MonteCarloSimulation monteCarloSimulation = new MonteCarloSimulation(AnnualVolatility, RiskFreeRate, StockPrice, ValuationDate, Maturity);
Stopwatch watch = new Stopwatch();
watch.Start();
for (int i = 0; i < numberOfSimulations; i++)
{
monteCarloSimulation.AddMonteCarloPath();
}
watch.Stop();
Console.WriteLine($"Monte carlo simulation took {watch.Elapsed}");
MonteCarloSimulation = monteCarloSimulation;
MonteCarloValue = monteCarloSimulation.GetValueAtDate(Maturity, PayOffFunction);
}
private void ValueOptionMonteCarloParallel(int numberOfSimulations)
{
MonteCarloSimulation monteCarloSimulation = new MonteCarloSimulation(AnnualVolatility, RiskFreeRate, StockPrice, ValuationDate, Maturity);
Stopwatch watch = new Stopwatch();
watch.Start();
var paths = new ConcurrentBag <SortedDictionary <DateTime, double> >();
Parallel.For(0, numberOfSimulations, i =>
{
paths.Add(monteCarloSimulation.SimulatePath());
});
watch.Stop();
monteCarloSimulation.MonteCarloPaths = paths.ToList();
Console.WriteLine($"Monte carlo simulation parallel took {watch.Elapsed}");
MonteCarloSimulationParallel = monteCarloSimulation;
MonteCarloValueParallel = monteCarloSimulation.GetValueAtDate(Maturity, PayOffFunction);
}
