static void Main(string[] args)
{
var timeHorizon = 100;
var gridPoints = 1;
//var testESG = new BSESG(T:TimeHorizon);
//var testscenario = testESG.Simulate();
////var simpletest = new FinancialObject(null, 1);
//var test = new FinancialObject2(0.3, 1, TimeHorizon, testscenario);
////simpletest.WriteData("C:/Users/Steffen/Dropbox (Keylane)/Speciale/Data/simpletest.csv");
//test.WriteData("C:/Users/Steffen/Dropbox (Keylane)/Speciale/Data/test.csv");
var cashflowtool = new CashFlowTool();
var intensititer = new intensityObject(0.1, 0.01, 0.01, timeHorizon, gridPoints, 0, 0, null, null, null, null);
intensititer.simulate("");
intensititer.exportTxt();
// PW-means //
// TODO: Sim r and mu
// TODO: Then calculate transition probs P^mu and forward rates
// The E[a^circle|r and mu up till time t] cashflow
double result = findResult(timeHorizon, cashflowtool, intensititer, "ikke cor", "marginal");
Console.WriteLine("Bonus værdi helt standard");
double r = result / timeHorizon;
Console.WriteLine(r.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "ikke cor", "simulation");
Console.WriteLine("Bonus værdi helt standard, men fundet med sim");
double p = result / timeHorizon;
Console.WriteLine(p.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "cor", "marginal");
Console.WriteLine("Bonus værdi med cor men med marginale");
double q = result / timeHorizon;
Console.WriteLine(q.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "cor", "simulation");
Console.WriteLine("Bonus værdi med cor men med simulation");
double s = result / timeHorizon;
Console.WriteLine(s.ToString());
}
private static double findResult(int timeHorizon, CashFlowTool cashflowtool, intensityObject intensititer, String simMethod, String approxMethod)
{
var aCircle = new double[timeHorizon + 1, timeHorizon + 1];
var ab = new double[timeHorizon + 1, timeHorizon + 1];
var interestContainer = new List <double[]>(timeHorizon);
ab[0, 0] = 0;
ab[1, 0] = 0;
double result = 0;
for (int scenario = 0; scenario < timeHorizon; scenario++)
{
intensititer.simulate(simMethod);
double[] Q = cashflowtool.calculateQ(intensititer);
double[] forward = cashflowtool.forward00(intensititer, 0, timeHorizon, approxMethod);
for (int time_i = 1; time_i <= timeHorizon; time_i++)
{
//CALCULATING NECESSARY CONTROLS
// DERIVING CONTROLS
double eta = 0;
double delta_1 = 0;
// double delta_0 = cashflowtool.tekniskReserve_circle(time_i, intensititer) * (intensititer.r[time_i-1] - intensititer.tekniskr(time_i));
// Calculating PQ
// double Pq = cashflowtool.calculatePq(intensititer, 0, time_i);
// Payments
double b_0_circ = 1; double b_01_circ = 2; double b_02_circ = 3;
double b_0_dagger = 1; double b_01_dagger = 0; double b_02_dagger = 0;
aCircle[scenario, time_i] = cashflowtool.muProbability00(intensititer, 0, time_i, "") * b_0_circ + cashflowtool.muProbability01(intensititer, 0, time_i, "") * b_01_circ + cashflowtool.muProbability02(intensititer, 0, time_i, "") * b_02_circ;
ab[scenario, time_i] = Q[time_i] * forward[time_i] * b_0_dagger;
interestContainer.Add(intensititer.r); // need to hold the interest curve for later sum
}
}
for (int scenario = 0; scenario < timeHorizon; scenario++)
{
double scenarioResult = 0;
for (int time = 0; time < timeHorizon - 1; time++)
{
scenarioResult += Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => rFunctionInx(y, interestContainer[scenario], intensititer), 0, time + 0.5)) * ((ab[0, time] + ab[0, time + 1]) / 2);
}
result += scenarioResult;
}
return(result);
}
public double[] forward00(intensityObject intensityobject, int start, int s**t, String method)
{
double[] p = new double[intensityobject.mu.Length + 1];
for (int i = 0; i < start; i++)
{
p[i] = 0;
}
// Exact, returns the E e^int(tau+mu)
if (method == "marginal")
{
p[start] = Math.Exp(-intensityobject.tau[start] - intensityobject.mu[start]);
for (int i = start + 1; i <= s**t; i++)
{
p[i] = zeroCuponPrice(intensityobject.a1, intensityobject.b1, intensityobject.tau, intensityobject.sigma1, start, i) * Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(x => intensityobject.muFunction(x), start, i));
}
return(p);
}
else if (method == "simulation")
{
var paths = new List <double[]>();
for (int n = 0; n < 100; n++)
{
intensityObject intCopy = intensityobject;
intCopy.simulate("cor");
var path = new double[intensityobject.mu.Length + 1];
path[start] = Math.Exp(-intensityobject.tau[start] - intensityobject.mu[start]);
for (int i = start + 1; i <= s**t; i++)
{
path[i] = Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(x => intCopy.tauFunction(x) + intCopy.muFunction(x), start, i));
}
paths.Add(path);
}
for (int i = 0; i <= intensityobject.mu.Length; i++)
{
var total = 0.0;
for (int n = 0; n < 100; n++)
{
total += paths[n][i];
}
p[i] = total / 100;
}
return(p);
}
else
{
throw new NotImplementedException("method not implemented yet");
}
}
