public void Task_2_8_5() { // Variance Process Values double Kappa = 2; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double Maturity = 9; // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity); VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); LookbackOptionMC lookbackOptionMC = new LookbackOptionMC(hestonModel, monteCarloSettings, Maturity); Assert.AreEqual(13.6299, lookbackOptionMC.Price(1), 1e-1); }
/// <summary> /// Initializes a new instance of the EuropeanOptionMC class. /// </summary> /// <param name="parameters">Interface holding Heston Model params.</param> /// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param> /// <param name="asianOption">Interface holding asian option.</param> public AsianOptionMC(HestonModelParameters parameters, MonteCarloSettings monteCarloSimulationSettings, AsianOption asianOption) : base(parameters, monteCarloSimulationSettings, asianOption) { _MonitoringTimes = asianOption.MonitoringTimes; }
public VaccinationSimulation(MonteCarloSettings monteCarloSettings, EventSimulationSettings eventSimulationSettings, VaccinationSettings vaccinationSettings) : base(monteCarloSettings, eventSimulationSettings) { VaccinSettings = vaccinationSettings; _afterEventObservables = new SimulationObservable <AfterEventValues>(); _afterReplicationObservables = new SimulationObservable <AfterReplicationValues>(); _experimentObservables = new SimulationObservable <DoctorsExperimentValues>(); ExaminationGen = new ExponentialGenerator(1d / 260); VaccinationGen = new TriangularGenerator(20, 100, 75); RegistrationGen = new UniformGenerator(140, 220); WaitingGen = new Random(); PatientsGen = new Random(); ArrivalGen = new Random(); if (VaccinSettings.DoctorsExperimentEnabled) { MCSettings.Replications = (VaccinSettings.DoctorsMax - VaccinSettings.DoctorsMin + 1) * VaccinSettings.ExperimentReplications; _currentDoctorsCount = VaccinSettings.DoctorsMin; } Init(); }
/// <summary> /// Initializes a new instance of the EuropeanOptionMC class. /// </summary> /// <param name="parameters">Interface holding Heston Model params.</param> /// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param> /// <param name="europeanOption">Interface holding European option params.</param> public EuropeanOptionMC(HestonModelParameters parameters, MonteCarloSettings monteCarloSimulationSettings, EuropeanOption europeanOption) : base(parameters, monteCarloSimulationSettings, europeanOption.Maturity) { _StrikePrice = europeanOption.StrikePrice; _Type = europeanOption.Type; }
public static void HestonModelParamPrint(VarianceProcessParameters parameters, HestonModelParameters model, MonteCarloSettings monteCarloSettings) { System.Console.WriteLine("k={0}, Theta={1}, Sigma={2}, V0={3}, Rho={4}, r={5}, #Trials={6}, #Steps={7}", parameters.Kappa, parameters.Theta, parameters.Sigma, parameters.V0, parameters.Rho, model.RiskFreeRate, monteCarloSettings.NumberOfTrials, monteCarloSettings.NumberOfTimeSteps); }
/// <summary> /// Initializes a new instance of Heston MC class. /// </summary> /// <param name="parameters">Interface holding Heston Model params.</param> /// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param> public HestonMC(HestonModelParameters parameters, MonteCarloSettings monteCarloSimulationSettings, double Maturity) : base(parameters.InitialStockPrice, parameters.RiskFreeRate, parameters.GetVariance()) { _NumberOfTrials = monteCarloSimulationSettings.NumberOfTrials; _NumberOfTimeSteps = monteCarloSimulationSettings.NumberOfTimeSteps; _Maturity = Maturity; }
public void Task_2_7_1() { // Variance Process Values double Kappa = 2; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; double Maturity = 1; List <double> MonitoringTimes = new List <double> { 0.75, 1.00 }; // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity); VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); AsianOption asianOption = new AsianOption(StrikePrice, Type, Maturity, MonitoringTimes); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); AsianOptionMC asianOptionMC = new AsianOptionMC(hestonModel, monteCarloSettings, asianOption); Assert.AreEqual(13.6299, asianOptionMC.Price(1), 1e-1); }
public void Task_2_3_3() { // Variance Process Values double Kappa = 2; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; double Maturity = 3; // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity); VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); EuropeanOptionMC euOptionMC = new EuropeanOptionMC(hestonModel, monteCarloSettings, euOption); Assert.AreEqual(29.9957, euOptionMC.Price(1), 1e-1); }
public VaccineSimulationService() { MCSettings = new MonteCarloSettings { Replications = 100 }; ESSettings = new EventSimulationSettings { SimulationTime = 60 * 60 * 9 }; VacSettings = new VaccinationSettings { RegistrationWorkers = 5, ExaminationWorkers = 6, VaccinationWorkers = 3, Patients = 540, NotCommingLowerBoundry = 5, NotCommingHigherBoundry = 25 }; _simulation = new VaccinationSimulation(MCSettings, ESSettings, VacSettings); }
public static void TaskThreadScaling() { // Variance Process Values Console.WriteLine("Task Thread Scaling"); // Variance Process Values double Kappa = 2.0; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; double Maturity = 3; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 3 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("Number of Trials, cores, time"); csv.AppendLine(newLine); int[] cores = new int[5] { 1, 2, 4, 8, 16 }; for (int i = 0; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)1e6; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); // Create Monte Carlo EU option object EuropeanOptionMC euOptionMC = new EuropeanOptionMC(hestonModel, monteCarloSettings, euOption); var stopwatch = new Stopwatch(); stopwatch.Start(); double price = euOptionMC.Price(cores[i]); stopwatch.Stop(); long elapsed_time = stopwatch.ElapsedMilliseconds; System.Console.WriteLine("K={0}, T={1}, cores={2}, C_MC={3}, C_form={4}, time={5}", StrikePrice, Maturity, cores[i], price, priceForm, elapsed_time); newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, cores[i], elapsed_time); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./taskThreadScaling.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static void Task8() { // Variance Process Values Console.WriteLine("Task 8"); // Variance Process Values double Kappa = 2.0; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double[] Maturity = new double[5] { 1, 3, 5, 7, 9 }; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 7 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("T, Price"); csv.AppendLine(newLine); for (int i = 0; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); Option maturity = new Option(Maturity[i]); double price = Heston.HestonLookbackOptionPriceMC(hestonModel, maturity, monteCarloSettings); System.Console.WriteLine("T={0}, C_MC={1}", Maturity[i], price); newLine = string.Format("{0}, {1}", Maturity[i], price); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./task8.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static void Task7() { // Variance Process Values Console.WriteLine("Task 7"); // Variance Process Values double Kappa = 2.0; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; double[] Maturity = new double[3] { 1, 2, 3 }; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 7 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); // Monitoring Times List <double> monTimes1 = new List <double> { 0.75, 1.00 }; List <double> monTimes2 = new List <double> { 0.25, 0.5, 0.75, 1.00, 1.25, 1.5, 1.75 }; List <double> monTimes3 = new List <double> { 1.00, 2.00, 3.00 }; List <List <double> > MonitoringTimes = new List <List <double> > { monTimes1, monTimes2, monTimes3 }; //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("K, T, Price"); csv.AppendLine(newLine); for (int i = 0; i < 3; i++) { // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]); AsianOption asianOption = new AsianOption(StrikePrice, Type, Maturity[i], MonitoringTimes[i]); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double price = Heston.HestonAsianOptionPriceMC(hestonModel, asianOption, monteCarloSettings); System.Console.WriteLine("K={0}, T={1}, C_MC={2}", StrikePrice, Maturity[i], price); newLine = string.Format("{0}, {1}, {2}", StrikePrice, Maturity[i], price); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./task7.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static void Task4() { // Variance Process Values Console.WriteLine("Task 4"); // Variance Process Values double Kappa = 2.0; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; double Maturity = 1; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 4 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity); double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); System.Console.WriteLine("K={0}, T={1}, refPrice={2}", StrikePrice, Maturity, priceForm); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("Trials, Time Steps, relError"); csv.AppendLine(newLine); for (int i = 3; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)Math.Pow(10, i); double[] factor = new double[3] { 0.5, 1, 2 }; for (int j = 0; j < 3; j++) { int NumberOfTimeSteps = (int)Math.Ceiling(factor[j] * 365 * Maturity); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings); System.Console.WriteLine("K={0}, T={1}, #Trials={2}, #TimeSteps={3}, rel_error={4}", StrikePrice, Maturity, NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm); newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm); csv.AppendLine(newLine); } } //Write to csv File.WriteAllText(@"./task4.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static void Task3() { // Variance Process Values Console.WriteLine("Task 3"); // Variance Process Values double Kappa = 2.0; double Theta = 0.06; double Sigma = 0.4; double V0 = 0.04; double Rho = 0.5; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.1; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; double[] Maturity = new double[5] { 1, 2, 3, 4, 15 }; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 3 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("K, T, Price, refPrice"); csv.AppendLine(newLine); for (int i = 0; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity[i]); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings); System.Console.WriteLine("K={0}, T={1}, C_MC={2}, C_form={3}", StrikePrice, Maturity[i], price, priceForm); newLine = string.Format("{0}, {1}, {2}, {3}", StrikePrice, Maturity[i], price, priceForm); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./task3.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
/// <summary> /// Initializes a new instance of the LookbackOptionMC class. /// </summary> /// <param name="parameters">Interface holding Heston Model params.</param> /// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param> /// <param name="maturity">Interface holding maturity.</param> public LookbackOptionMC(HestonModelParameters parameters, MonteCarloSettings monteCarloSimulationSettings, double maturity) : base(parameters, monteCarloSimulationSettings, maturity) { }
public EventSimulationCore(MonteCarloSettings monteCarloSettings, EventSimulationSettings eventSimulationSettings) : base(monteCarloSettings) { Settings = eventSimulationSettings; Timeline = new PriorityQueue <Event>(); }