private MultiFactorSpotSimResults <Day> SimulateForZeroVolatility()
{
int numSims = 10;
var zeroFactorVols = new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.0 },
{ new Day(2021, 01, 15), 0.0 },
{ new Day(2021, 07, 30), 0.0 }
};
var multiFactorParameters = new MultiFactorParameters <Day>(new [, ]
{
{ 1.0, 0.6, 0.3 },
{ 0.6, 1.0, 0.4 },
{ 0.3, 0.4, 1.0 }
},
new Factor <Day>(0.0, zeroFactorVols),
new Factor <Day>(2.5, zeroFactorVols),
new Factor <Day>(16.2, zeroFactorVols)
);
Day[] simulatedPeriods = _dailyForwardCurve.Keys.OrderBy(day => day).ToArray();
var normalSimulator = new MersenneTwisterGenerator(_seed, true);
var simulator = new MultiFactorSpotPriceSimulator <Day>(multiFactorParameters, _currentDate, _dailyForwardCurve,
simulatedPeriods, TimeFunctions.Act365, normalSimulator);
return(simulator.Simulate(numSims));
}
private MultiFactorSpotSimResults <Day> SimulateForTwoNonMeanRevertingFactors(bool antithetic)
{
int numSims = 100000;
double factorCorr = 0.74;
_twoNonMeanRevertingFactorsParams = MultiFactorParameters.For2Factors(factorCorr,
new Factor <Day>(0.0, new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.15 },
{ new Day(2021, 01, 15), 0.12 },
{ new Day(2021, 07, 30), 0.13 }
}),
new Factor <Day>(0.0, new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.11 },
{ new Day(2021, 01, 15), 0.19 },
{ new Day(2021, 07, 30), 0.15 }
})
);
Day[] simulatedPeriods = _dailyForwardCurve.Keys.OrderBy(day => day).ToArray();
var normalSimulator = new MersenneTwisterGenerator(_seed, antithetic);
var simulator = new MultiFactorSpotPriceSimulator <Day>(_twoNonMeanRevertingFactorsParams, _currentDate, _dailyForwardCurve,
simulatedPeriods, TimeFunctions.Act365, normalSimulator);
return(simulator.Simulate(numSims));
}
public IEnumerable <int> Generate(int min, int max, int valuesCount)
{
var values = new List <int>(valuesCount);
if (valuesCount == 0)
{
return(values);
}
var rand = new MersenneTwisterGenerator();
const int maxIterationCount = int.MaxValue;
for (int i = 0; i < maxIterationCount && values.Count < valuesCount; ++i)
{
var val = (int)rand.Next((ulong)min, (ulong)max);
if (!values.Contains(val))
{
values.Add(val);
}
}
if (values.Count != valuesCount)
{
throw new Exception("Failed to generate values");
}
return(values);
}
private MultiFactorSpotSimResults <Day> SimulateForSingleNonMeanRevertingFactor(bool antithetic)
{
int numSims = 1000000;
double meanReversion = 0.0;
var spotVols = new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.45 },
{ new Day(2021, 01, 15), 0.42 },
{ new Day(2021, 07, 30), 0.33 }
};
_singleNonMeanRevertingFactorParams = MultiFactorParameters.For1Factor(meanReversion, spotVols);
Day[] simulatedPeriods = _dailyForwardCurve.Keys.OrderBy(day => day).ToArray();
var normalSimulator = new MersenneTwisterGenerator(_seed, antithetic);
var simulator = new MultiFactorSpotPriceSimulator <Day>(_singleNonMeanRevertingFactorParams, _currentDate, _dailyForwardCurve,
simulatedPeriods, TimeFunctions.Act365, normalSimulator);
return(simulator.Simulate(numSims));
}
private MultiFactorSpotSimResults <Day> SimulateForMeanAndNonMeanRevertingFactors(bool antithetic)
{
int numSims = 100000;
_meanAndNonMeanRevertingFactorsParams = new MultiFactorParameters <Day>(new[, ]
{
{ 1.0, 0.6, 0.3 },
{ 0.6, 1.0, 0.4 },
{ 0.3, 0.4, 1.0 }
},
new Factor <Day>(0.0, new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.35 },
{ new Day(2021, 01, 15), 0.29 },
{ new Day(2021, 07, 30), 0.32 }
}),
new Factor <Day>(2.5, new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.15 },
{ new Day(2021, 01, 15), 0.18 },
{ new Day(2021, 07, 30), 0.21 }
}),
new Factor <Day>(16.2, new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.95 },
{ new Day(2021, 01, 15), 0.92 },
{ new Day(2021, 07, 30), 0.89 }
})
);
Day[] simulatedPeriods = _dailyForwardCurve.Keys.OrderBy(day => day).ToArray();
var normalSimulator = new MersenneTwisterGenerator(_seed, antithetic);
var simulator = new MultiFactorSpotPriceSimulator <Day>(_meanAndNonMeanRevertingFactorsParams, _currentDate, _dailyForwardCurve,
simulatedPeriods, TimeFunctions.Act365, normalSimulator);
return(simulator.Simulate(numSims));
}
public void Generate_Antithetic_GeneratedMeanEqualsInputZero()
{
const int numSims = 26;
const int randomArrayLen = 10;
var randoms = new double[numSims][];
var mtGen = new MersenneTwisterGenerator(true);
for (int i = 0; i < numSims; i++)
{
randoms[i] = new double[randomArrayLen];
mtGen.Generate(randoms[i]);
}
for (int i = 0; i < randomArrayLen; i++)
{
double sum = 0.0;
for (int j = 0; j < numSims; j++)
{
sum += randoms[j][i];
}
double sampleMean = sum / numSims;
Assert.AreEqual(0, sampleMean);
}
}
static void Main(string[] args)
{
var _seed = 12;
var _currentDate = new DateTime(2020, 07, 27);
var _dailyForwardCurve = new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 56.85 },
{ new Day(2021, 01, 15), 59.08 },
{ new Day(2021, 07, 30), 62.453 }
};
int numSims = 1000;
double meanReversion = 0.0;
bool antithetic = true;
var spotVols = new Dictionary <Day, double>
{
{ new Day(2020, 08, 01), 0.45 },
{ new Day(2021, 01, 15), 0.42 },
{ new Day(2021, 07, 30), 0.33 }
};
var _singleNonMeanRevertingFactorParams = MultiFactorParameters.For1Factor(meanReversion, spotVols);
Day[] simulatedPeriods = _dailyForwardCurve.Keys.OrderBy(day => day).ToArray();
var normalSimulator = new MersenneTwisterGenerator(_seed, antithetic);
var simulator = new MultiFactorSpotPriceSimulator <Day>(
_singleNonMeanRevertingFactorParams,
_currentDate,
_dailyForwardCurve,
simulatedPeriods,
TimeFunctions.Act365,
normalSimulator
);
var simResults = simulator.Simulate(numSims);
ReadOnlyMemory <double> simulatedSpotPrices0 =
simResults.SpotPricesForStepIndex(0);
ReadOnlyMemory <double> simulatedSpotPrices1 =
simResults.SpotPricesForStepIndex(1);
ReadOnlyMemory <double> simulatedSpotPrices2 =
simResults.SpotPricesForStepIndex(2);
using (StreamWriter file = new StreamWriter("sims.csv"))
{
foreach (var i in new [] { 0, 1, 2 })
{
ReadOnlyMemory <double> simulatedSpotPrices = simResults.SpotPricesForStepIndex(i);
foreach (var item in simulatedSpotPrices.ToArray())
{
file.Write(item + ",");
}
file.Write(Environment.NewLine);
}
}
Console.WriteLine("Press any key to exit");
Console.ReadKey();
}
