// copy constructor
public BlackScholesFiniteDifferenceSolver(BlackScholesFiniteDifferenceSolver other)
{
T = other.T; r = other.r; sigma = other.sigma;
payoff = new Func <double, double> (other.payoff); // make a copy
R = other.R; N = other.N; M = other.N; h = other.h;
A = Matrix <double> .Build.SparseOfMatrix(other.A); // make a copy
S = Matrix <double> .Build.SparseOfMatrix(other.S); // make a copy
solved = other.solved;
u = Vector <double> .Build.DenseOfVector(other.u); // make a copy
}
public static void Main(string[] args)
{
// Model params
double r = 0.05;
double sigma = 0.1;
double K = 100;
double T = 1;
double S0 = 100;
BlackScholesFormula bsFormula = new BlackScholesFormula(new BlackScholesModelParams(r, sigma));
double bsPrice = bsFormula.PutPrice(new EuropeanCallPutParams(T, S0, K));
Func <double, double> putPayoff = (S) => Math.Max(K - S, 0);
BlackScholesFiniteDifferenceSolver solverFD =
new BlackScholesFiniteDifferenceSolver(T, putPayoff, r, sigma, 3 * K, 10, 10);
double bsPriceFD = solverFD.Price(100);
uint N, M;
int numberRefinments = 5;
// test convergence w.r.t. number of partitions of space interval
N = 200; M = 100;
for (int refinementIndex = 0; refinementIndex < numberRefinments; ++refinementIndex, M *= 2)
{
BlackScholesFiniteDifferenceSolver solverForThisLevelOfRefinement =
new BlackScholesFiniteDifferenceSolver(T, putPayoff, r, sigma, 5 * K, N, M);
double error = Math.Abs(bsPrice - solverForThisLevelOfRefinement.Price(S0));
Console.WriteLine("Space partitions: {0}, time steps: {1}, error: {2}", M, N, error);
}
// test convergence w.r.t. number of time steps
N = 10; M = 8001;
for (int refinementIndex = 0; refinementIndex < numberRefinments; ++refinementIndex, N *= 2)
{
BlackScholesFiniteDifferenceSolver solverForThisLevelOfRefinement =
new BlackScholesFiniteDifferenceSolver(T, putPayoff, r, sigma, 5 * K, N, M);
double error = Math.Abs(bsPrice - solverForThisLevelOfRefinement.Price(S0));
Console.WriteLine("Space partitions: {0}, time steps: {1}, error: {2}", M, N, error);
}
Console.WriteLine("Finished. Press any key.");
//Console.ReadKey ();
}
