public void irData(string name,
SquareRootProcess process,
double rand,
DateTime preDate,
DateTime nextDate)
{
DayCounter dc = new SimpleDayCounter();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.INDEX_CD = name;
clstb.REF_DT = preDate.ToString("yyyyMMdd");
clstb.SelectOwn();
clstb.REF_DT = nextDate.ToString("yyyyMMdd");
double x0 = clstb.LAST;
double t0 = 0.0;
double dt = dc.yearFraction(preDate, nextDate);
double v = Math.Round(process.evolve(t0, x0, dt, rand), 8);
clstb.LAST = v;
clstb.LOW = v;
clstb.HIGH = v;
clstb.Insert();
}
public void testMultiPathGenerator()
{
//("Testing n-D path generation against cached values...");
//SavedSettings backup;
Settings.setEvaluationDate(new Date(26,4,2005));
Handle<Quote> x0=new Handle<Quote> (new SimpleQuote(100.0));
Handle<YieldTermStructure> r =new Handle<YieldTermStructure> (Utilities.flatRate(0.05, new Actual360()));
Handle<YieldTermStructure> q=new Handle<YieldTermStructure> (Utilities.flatRate(0.02, new Actual360()));
Handle<BlackVolTermStructure> sigma=new Handle<BlackVolTermStructure> (Utilities.flatVol(0.20, new Actual360()));
Matrix correlation=new Matrix(3,3);
correlation[0,0] = 1.0; correlation[0,1] = 0.9; correlation[0,2] = 0.7;
correlation[1,0] = 0.9; correlation[1,1] = 1.0; correlation[1,2] = 0.4;
correlation[2,0] = 0.7; correlation[2,1] = 0.4; correlation[2,2] = 1.0;
List<StochasticProcess1D> processes = new List<StochasticProcess1D>(3);
StochasticProcess process;
processes.Add(new BlackScholesMertonProcess(x0,q,r,sigma));
processes.Add(new BlackScholesMertonProcess(x0,q,r,sigma));
processes.Add(new BlackScholesMertonProcess(x0,q,r,sigma));
process = new StochasticProcessArray(processes,correlation);
// commented values must be used when Halley's correction is enabled
double[] result1 = {
188.2235868185,
270.6713069569,
113.0431145652 };
// Real result1[] = {
// 188.2235869273,
// 270.6713071508,
// 113.0431145652 };
double[] result1a = {
64.89105742957,
45.12494404804,
108.0475146914 };
// Real result1a[] = {
// 64.89105739157,
// 45.12494401537,
// 108.0475146914 };
testMultiple(process, "Black-Scholes", result1, result1a);
processes[0] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[1] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[2] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
process = new StochasticProcessArray(processes,correlation);
double[] result2 = {
174.8266131680,
237.2692443633,
119.1168555440 };
// Real result2[] = {
// 174.8266132344,
// 237.2692444869,
// 119.1168555605 };
double[] result2a = {
57.69082393020,
38.50016862915,
116.4056510107 };
// Real result2a[] = {
// 57.69082387657,
// 38.50016858691,
// 116.4056510107 };
testMultiple(process, "geometric Brownian", result2, result2a);
processes[0] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[1] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[2] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
process = new StochasticProcessArray(processes,correlation);
double[] result3 = {
0.2942058437284,
0.5525006418386,
0.02650931054575 };
double[] result3a = {
-0.2942058437284,
-0.5525006418386,
-0.02650931054575 };
testMultiple(process, "Ornstein-Uhlenbeck", result3, result3a);
processes[0] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[1] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[2] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
process = new StochasticProcessArray(processes,correlation);
double[] result4 = {
4.279510844897,
4.943783503533,
3.590930385958 };
double[] result4a = {
2.763967737724,
2.226487196647,
3.503859264341 };
testMultiple(process, "square-root", result4, result4a);
}
public void build_irHistoryData(DateTime startDate, DateTime endDate, bool withClear)
{
CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
PseudoRandom random = new PseudoRandom();
//RandomSequenceGenerator<MersenneTwisterUniformRng> randGen = random.make_sequence_generator(1000, 1) as RandomSequenceGenerator<MersenneTwisterUniformRng>;
int genNum = Convert.ToInt32((endDate - startDate).TotalDays) * this.sampleIR_.Count;
IRNG randGen = random.make_sequence_generator(genNum, Convert.ToUInt64(this.random_.Next())) as IRNG;
int i = 0;
Sample<List<double>> sample = randGen.nextSequence();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
foreach (VasicekParameter para in this.sampleIR_)
{
SquareRootProcess vasicek = new SquareRootProcess(para.LongTermRate_, para.Speed_, para.Vol_ , para.Initial_);
clstb.INDEX_CD = para.Name_;
if (withClear)
{
clstb.DeleteIndex();
clstb.REF_DT = startDate.ToString("yyyyMMdd");
clstb.LAST = para.Initial_;
clstb.LOW = para.Initial_;
clstb.HIGH = para.Initial_;
clstb.Insert();
}
DateTime roopDate = startDate;
DateTime nextDate = cm.adjust(roopDate, "1D");
while (nextDate < endDate)
{
clstb.REF_DT = roopDate.ToString("yyyyMMdd");
nextDate = cm.adjust(roopDate, "1D");
this.irData(para.Name_, vasicek, sample.value[i], roopDate, nextDate);
roopDate = nextDate;
i += 1;
}
}
}
