static void Main(string[] args)
{
//Ploting results Graph
//Application.EnableVisualStyles();
//Application.SetCompatibleTextRenderingDefault(false);
//Application.Run(new Graph());
rBergomiVIXfuture model = new rBergomiVIXfuture();
Func <double, double> epsilon_0 = t => Math.Pow(0.235, 2);// *Math.Sqrt(1 + t);
double T = 2.0;
//// the Gri t_0 ..... t_{100} = T
int n = 500;
Grid grid = new Grid(0, T, (int)Math.Abs(T * n));
//lognormal
double vixfuture_LogNormal = model.VIXfuture_LogNormal(grid.t(35), epsilon_0);
// //Mc with hybrid Scheme
ColumnVector vixfuture_Hybrid = model.VIXfuture_HybridMethod(T, epsilon_0);
ColumnVector newvixfutures = new ColumnVector(vixfuture_Hybrid.Count());
ColumnVector newvixlognorm = new ColumnVector(vixfuture_Hybrid.Count());
ColumnVector newvixtruncated = new ColumnVector(vixfuture_Hybrid.Count());
ColumnVector ti = new ColumnVector(vixfuture_Hybrid.Count());
int perdiod = 100;
for (int i = 0; i < vixfuture_Hybrid.Count(); i++)
{
int N_i = (i + 1) * perdiod;
ti[i] = grid.t((N_i));
newvixfutures[i] = vixfuture_Hybrid[i];
newvixtruncated[i] = model.VIXfuture_TruncatedChlsky(ti[i], epsilon_0);
newvixlognorm[i] = model.VIXfuture_LogNormal(ti[i], epsilon_0);
}
Application.Run(new Plot(ti, newvixlognorm, newvixfutures, newvixtruncated));
//Application.Run(new Plot(ti, newvixfutures,newvixlognorm, "Volterra Simulation in hybrid Method", "T + Delta ", "V", "volterra process"));
//Application.Run(new Plot(ti, newvixlognorm, "Volterra Simulation in hybrid Method", "T + Delta ", "V", "volterra process"));
// //Mc with trancated Cholesky
double TrancatedMethode_MCstdDeviation;
double vixfuture_trancated = model.VIXfuture_TruncatedChlsky(T, epsilon_0, out TrancatedMethode_MCstdDeviation);
//S&P Option Pricing
VIXOption option = new VIXOption(VIXOption.OptionType.Call, 1.0, 100);
double optionPrice = model.PriceVIXOption(option, epsilon_0, 100);
} //Main
public Graph()
{
InitializeComponent();
GraphPane myPane = zedGraphControl1.GraphPane;
myPane.Title.Text = " ";
myPane.XAxis.Title.Text = "T";
myPane.YAxis.Title.Text = "MC standard deviations ";
PointPairList VIX_fut_Prices_LogN = new PointPairList();
PointPairList VIX_fut_Prices_Hybrid = new PointPairList();
double[] x_i = buildx_i();
rBergomiVIXfuture model = new rBergomiVIXfuture();
Func <double, double> epsilon_0 = t => Math.Pow(0.235, 2);// *Math.Pow(1 + t, 2);
double B = 0.0;
for (int i = 0; i < x_i.Count(); i++)
{
double stdev;
double vix = model.VIXfuture_TruncatedChlsky(x_i[i], epsilon_0, out stdev);
//VIX_fut_Prices_LogN.Add(x_i[i], model.LogNormalBergomi(x_i[i], epsilon_0));
VIX_fut_Prices_Hybrid.Add(x_i[i], stdev);
//VIX_fut_Prices_Hybrid.Add(x_i[i], 0.2);
}
//LineItem teamACurve = myPane.AddCurve("Log Normal Approximation",
// VIX_fut_Prices_LogN, Color.Red, SymbolType.None);
LineItem teamBCurve = myPane.AddCurve("Monte-Carlo standard deviations (Trancated Cholesky) ",
VIX_fut_Prices_Hybrid, Color.Red, SymbolType.None);
zedGraphControl1.AxisChange();
}
