//First, calculate the option price
public override double[] OptionPrice()
{
//sum1 means the sum of the pair of optionprice
double sum1 = 0;
double optionprice = 0;// means option price
double stderror = 0;
double[] result = new double[2];
//allsims store the price of each step
if (Ant == true)//choose Ant Var
{
//allsims store the price of each step
Allsims all = new Allsims();
double[,] allsims;
allsims = all.allsims_calculate(S, K, Rate, Sigma, Tenor, Sims, Steps, TYPE, Ant, CV, Multithreading, Rn);
if (CV == true)//choose CV
{
double[] CT = new double[2 * Sims];
for (int i = 0; i < 2 * Sims; i++)
{
double cv = 0;
for (int j = 0; j < Steps; j++)
{
double delta = BSDelta(allsims[i, j], K, Rate, Sigma, Tenor - j * Tenor / Steps, TYPE);
cv += delta * (allsims[i, j + 1] - allsims[i, j] * Math.Exp(Rate * (Tenor / Steps)));
}
CT[i] = (maxnumber(allsims, i) - minnumber(allsims, i)) * Math.Exp(-Rate * Tenor);
}
optionprice = CT.Average();
stderror = Math.Sqrt(Option.deviation(CT, 2 * Sims) / (2 * Sims));
}
else//not choose CV
{
double[] value = new double[2 * Sims];
for (int i = 0; i < Sims; i++)
{
value[i] = maxnumber(allsims, i) - minnumber(allsims, i);
value[i + Sims] = maxnumber(allsims, i + Sims) - minnumber(allsims, i + Sims);
sum1 += value[i];
}
//calculate option price
optionprice = sum1 / Sims * Math.Exp(-Rate * Tenor);
double[] C = new double[Sims];
for (int i = 0; i < Sims; i++)
{
C[i] = (value[i] * Math.Exp(-Rate * Tenor) + value[i + Sims] * Math.Exp(-Rate * Tenor)) / 2;
}
stderror = Math.Sqrt(Option.deviation(C, Sims) / Sims);
}
//store the result into matrix result
result[0] = optionprice;
result[1] = stderror;
}
else//not choosing Ant Var
{
Allsims all = new Allsims();
double[,] allsims;
allsims = all.allsims_calculate(S, K, Rate, Sigma, Tenor, Sims, Steps, TYPE, Ant, CV, Multithreading, Rn);
if (CV == true)//choose CV
{
double[] CT = new double[Sims];
for (int i = 0; i < Sims; i++)
{
double cv = 0;
for (int j = 0; j < Steps; j++)
{
double delta = BSDelta(allsims[i, j], K, Rate, Sigma, Tenor - j * Tenor / Steps, TYPE);
cv += delta * (allsims[i, j + 1] - allsims[i, j] * Math.Exp(Rate * (Tenor / Steps)));
}
CT[i] = (maxnumber(allsims, i) - minnumber(allsims, i)) * Math.Exp(-Rate * Tenor);
}
optionprice = CT.Average();
stderror = Math.Sqrt(Option.deviation(CT, Sims) / Sims);
}
else//not choose CV
{
double[] value = new double[Sims];
for (int i = 0; i < Sims; i++)
{
value[i] = (maxnumber(allsims, i) - minnumber(allsims, i)) * Math.Exp(-Rate * Tenor);
}
//calculate option price
optionprice = value.Average();
stderror = Math.Sqrt(Option.deviation(value, Sims) / Sims);
}
//store the result into matrix result
result[0] = optionprice;
result[1] = stderror;
}
return(result);
}
//First, calculate the option price
public override double[] OptionPrice()
{
//sum1 means the sum of the pair of optionprice
double sum1 = 0;
double optionprice = 0;// means option price
double stderror = 0;
double[] result = new double[2];
//allsims store the price of each step
if (Ant == true)//choose Ant Var
{
//allsims store the price of each step
Allsims all = new Allsims();
double[,] allsims;
allsims = all.allsims_calculate(S, K, Rate, Sigma, Tenor, Sims, Steps, TYPE, Ant, CV, Multithreading, Rn);
//Barrier types
double[] barrier_payoff = new double[2 * Sims];
for (int i = 0; i < 2 * Sims; i++)
{
//Down and out
if (BarrierType == 0)
{
if (minnumber(allsims, i) <= Barrier)
{
barrier_payoff[i] = 0;
}
else
{
barrier_payoff[i] = 1;
}
}
//Up and out
if (BarrierType == 1)
{
if (maxnumber(allsims, i) >= Barrier)
{
barrier_payoff[i] = 0;
}
else
{
barrier_payoff[i] = 1;
}
}
//Down and in
if (BarrierType == 2)
{
if (minnumber(allsims, i) <= Barrier)
{
barrier_payoff[i] = 1;
}
else
{
barrier_payoff[i] = 0;
}
}
//Up and in
if (BarrierType == 3)
{
if (maxnumber(allsims, i) >= Barrier)
{
barrier_payoff[i] = 1;
}
else
{
barrier_payoff[i] = 0;
}
}
}
if (CV == true)//choose CV
{
double[] CT = new double[2 * Sims];
for (int i = 0; i < 2 * Sims; i++)
{
double cv = 0;
for (int j = 0; j < Steps; j++)
{
double delta = BSDelta(allsims[i, j], K, Rate, Sigma, Tenor - j * Tenor / Steps, TYPE);
cv += delta * (allsims[i, j + 1] - allsims[i, j] * Math.Exp(Rate * (Tenor / Steps)));
}
if (TYPE == true)
{
CT[i] = barrier_payoff[i] * (Math.Max(allsims[i, Steps] - K, 0) - cv) * Math.Exp(-Rate * Tenor);
}
else
{
CT[i] = barrier_payoff[i] * (Math.Max(K - allsims[i, Steps], 0) - cv) * Math.Exp(-Rate * Tenor);
}
}
optionprice = CT.Average();
stderror = Math.Sqrt(Option.deviation(CT, 2 * Sims) / (2 * Sims));
}
else//not choose CV
{
double[] value = new double[2 * Sims];
if (TYPE == true)//call
{
for (int i = 0; i < Sims; i++)
{
value[i] = barrier_payoff[i] * Math.Max(allsims[i, Steps] - K, 0);
value[i + Sims] = barrier_payoff[i] * Math.Max(allsims[i + Sims, Steps] - K, 0);
sum1 += value[i];
}
}
else//put
{
for (int i = 0; i < Sims; i++)
{
value[i] = barrier_payoff[i] * Math.Max(K - allsims[i, Steps], 0);
value[i + Sims] = barrier_payoff[i] * Math.Max(K - allsims[i + Sims, Steps], 0);
sum1 += value[i];
}
}
//calculate option price
optionprice = sum1 / Sims * Math.Exp(-Rate * Tenor);
double[] C = new double[Sims];
for (int i = 0; i < Sims; i++)
{
C[i] = (value[i] * Math.Exp(-Rate * Tenor) + value[i + Sims] * Math.Exp(-Rate * Tenor)) / 2;
}
stderror = Math.Sqrt(Option.deviation(C, Sims) / Sims);
}
//store the result into matrix result
result[0] = optionprice;
result[1] = stderror;
}
else//not choosing Ant Var
{
Allsims all = new Allsims();
double[,] allsims;
allsims = all.allsims_calculate(S, K, Rate, Sigma, Tenor, Sims, Steps, TYPE, Ant, CV, Multithreading, Rn);
//Barrier types
double[] barrier_payoff = new double[Sims];
for (int i = 0; i < Sims; i++)
{
//Down and out
if (BarrierType == 0)
{
if (minnumber(allsims, i) <= Barrier)
{
barrier_payoff[i] = 0;
}
else
{
barrier_payoff[i] = 1;
}
}
//Up and out
if (BarrierType == 1)
{
if (maxnumber(allsims, i) >= Barrier)
{
barrier_payoff[i] = 0;
}
else
{
barrier_payoff[i] = 1;
}
}
//Down and in
if (BarrierType == 2)
{
if (minnumber(allsims, i) <= Barrier)
{
barrier_payoff[i] = 1;
}
else
{
barrier_payoff[i] = 0;
}
}
//Up and in
if (BarrierType == 3)
{
if (maxnumber(allsims, i) >= Barrier)
{
barrier_payoff[i] = 1;
}
else
{
barrier_payoff[i] = 0;
}
}
}
if (CV == true)//choose CV
{
double[] CT = new double[Sims];
for (int i = 0; i < Sims; i++)
{
double cv = 0;
for (int j = 0; j < Steps; j++)
{
double delta = BSDelta(allsims[i, j], K, Rate, Sigma, Tenor - j * Tenor / Steps, TYPE);
cv += delta * (allsims[i, j + 1] - allsims[i, j] * Math.Exp(Rate * (Tenor / Steps)));
}
if (TYPE == true)
{
CT[i] = barrier_payoff[i] * (Math.Max(allsims[i, Steps] - K, 0) - cv) * Math.Exp(-Rate * Tenor);
}
else
{
CT[i] = barrier_payoff[i] * (Math.Max(K - allsims[i, Steps], 0) - cv) * Math.Exp(-Rate * Tenor);
}
}
optionprice = CT.Average();
stderror = Math.Sqrt(Option.deviation(CT, Sims) / Sims);
}
else//not choose CV
{
double[] value = new double[Sims];
if (TYPE == true)//call
{
for (int i = 0; i < Sims; i++)
{
value[i] = barrier_payoff[i] * Math.Max(allsims[i, Steps] - K, 0) * Math.Exp(-Rate * Tenor);
}
}
else//put
{
for (int i = 0; i < Sims; i++)
{
value[i] = barrier_payoff[i] * Math.Max(K - allsims[i, Steps], 0) * Math.Exp(-Rate * Tenor);
}
}
//calculate option price
optionprice = value.Average();
stderror = Math.Sqrt(Option.deviation(value, Sims) / Sims);
}
//store the result into matrix result
result[0] = optionprice;
result[1] = stderror;
}
return(result);
}