public double[] BondOptionPrices(BondOption bo)
{
var ret = new List <double>();
double r0 = dc.ForwardRate(0.01);
List <IEnumerable <IState> > pathsToStrike = Enumerable.Range(0, n).Select(_ => process.generatePathFrom(new RSProcess.State(r0, 0), 0, step, bo.ExecutionTime)).ToList();
foreach (var path in pathsToStrike)
{
double zbp = 1;
foreach (var x in path)
{
zbp *= Math.Exp(-x.r * step);
}
double bondPriceAtStrike = bo.UnderlyingBond.Price(process, path.Last(), bo.ExecutionTime, step, (int)Math.Sqrt(n));
if (bo.Type == BondOption.OptionType.Call)
{
ret.Add(Math.Max(bondPriceAtStrike - bo.StrikePrice, 0));
}
else //Put
{
ret.Add(Math.Max(bo.StrikePrice - bondPriceAtStrike, 0));
}
}
return(ret.ToArray());
}
private void generatePlot()
{
dc = (DiscountCurve)QuandlDataProvider.Instance.GetYieldCurve();
process = RSCalibrator.Calibrate(dc);
//ZBP1/////////////////////////////////////////////////////////
Bond b = new Bond()
{
FaceValue = 1, Maturity = 1, Rate = 0.0, Coupon = CouponPaymentType.None
};
double[] bondPrices1 = BondPrices(b);
var bond1 = AvgConvergencePlot(bondPrices1);
double b1base = dc[1.0];
var bond1base = new List <DataPoint>();
bond1base.Add(new DataPoint(1, b1base));
bond1base.Add(new DataPoint(n, b1base));
var bond1error = bond1.Select(p => new DataPoint(p.X, Math.Abs(p.Y - b1base) / b1base * 100)).ToList();
/////////////////////////////////////////////////////////////
//ZBP10/////////////////////////////////////////////////////////
Bond b2 = new Bond()
{
FaceValue = 1, Maturity = 10, Rate = 0.0, Coupon = CouponPaymentType.None
};
double[] bondPrices2 = BondPrices(b2);
var bond2 = AvgConvergencePlot(bondPrices2);
double b2base = dc[10.0];
var bond2base = new List <DataPoint>();
bond2base.Add(new DataPoint(1, b2base));
bond2base.Add(new DataPoint(n, b2base));
var bond2error = bond2.Select(p => new DataPoint(p.X, Math.Abs(p.Y - b2base) / b2base * 100)).ToList();
/////////////////////////////////////////////////////////////
Bond b3 = new Bond()
{
FaceValue = 1, Maturity = 5, Rate = 0.02, Coupon = CouponPaymentType.Annual
};
var bond = AvgConvergencePlot(BondPrices(b3));
BondOption bo = new BondOption()
{
ExecutionTime = 3, StrikePrice = 0.8, Type = BondOption.OptionType.Call, UnderlyingBond = b3
};
var bondoption = AvgConvergencePlot(BondOptionPrices(bo));
Swap sw = new Swap()
{
FaceValue = 1, Maturity = 5, Rate = 0.02, Coupon = CouponPaymentType.Annual, Type = Swap.SwapType.Receiver
};
var swap = AvgConvergencePlot(SwapPrices(sw));
Swaption swo = new Swaption()
{
ExecutionTime = 3, UnderlyingSwap = sw
};
var swaption = AvgConvergencePlot(SwaptionPrices(swo));
/////////////////////////////////////////////////////////////////
Bond b4 = new Bond()
{
FaceValue = 1, Maturity = 5, Rate = 0.002, Coupon = CouponPaymentType.Annual
};
BondOption bo2 = new BondOption()
{
ExecutionTime = 3, Type = BondOption.OptionType.Call, UnderlyingBond = b3
};
var boladder = new List <DataPoint>();
//for (double sp = 0.9; sp < 1.0; sp += 0.005)
//{
// bo2.StrikePrice = sp;
// double price = BondOptionPrices(bo2).Average();
// boladder.Add(new DataPoint(sp, price));
//}
//WIENER////
WienerProcess wp = new WienerProcess(0, 1);
double t = -1;
var w1 = new List <DataPoint>(wp.generatePathFrom(new WienerProcess.State(0), 0, 1, 100).Select(fx => new DataPoint(t += 1, fx.r)));
t = -1;
var w2 = new List <DataPoint>(wp.generatePathFrom(new WienerProcess.State(0), 0, 1, 100).Select(fx => new DataPoint(t += 1, fx.r)));
t = -1;
var w3 = new List <DataPoint>(wp.generatePathFrom(new WienerProcess.State(0), 0, 1, 100).Select(fx => new DataPoint(t += 1, fx.r)));
t = -1;
var w4 = new List <DataPoint>(wp.generatePathFrom(new WienerProcess.State(0), 0, 1, 100).Select(fx => new DataPoint(t += 1, fx.r)));
t = -1;
var w5 = new List <DataPoint>(wp.generatePathFrom(new WienerProcess.State(0), 0, 1, 100).Select(fx => new DataPoint(t += 1, fx.r)));
//////////
////GAUSS///////
Func <double, double, double, double> nrd = (nu, sigma, x) => {
return(1.0 / Math.Sqrt(2 * Math.PI * sigma * sigma) * Math.Exp(-(x - nu) * (x - nu) / (2 * sigma * sigma)));
};
var nrd1 = new List <DataPoint>();
var nrd2 = new List <DataPoint>();
var nrd3 = new List <DataPoint>();
var nrd4 = new List <DataPoint>();
for (double x = -5; x < 5; x += 0.05)
{
nrd1.Add(new DataPoint(x, nrd(0, 1, x)));
nrd2.Add(new DataPoint(x, nrd(0, 0.5, x)));
nrd3.Add(new DataPoint(x, nrd(0, 0.1, x)));
nrd4.Add(new DataPoint(x, nrd(-2, 0.4, x)));
}
////////////////
this.DataContext = new
{
bond1 = bond1,
bond1base = bond1base,
bond1error = bond1error,
bond2 = bond2,
bond2base = bond2base,
bond2error = bond2error,
bond = bond,
bondoption = bondoption,
swap = swap,
swaption = swaption,
boladder = boladder,
w1 = w1,
w2 = w2,
w3 = w3,
w4 = w4,
w5 = w5,
nrd1 = nrd1,
nrd2 = nrd2,
nrd3 = nrd3,
nrd4 = nrd4
};
}
