Example #1
0
        /// <summary>
        /// Price a European option in the Heston model using the Monte-Carlo method. Accuracy will depend on number of time steps and samples
        /// </summary>
        /// <param name="parameters">Object implementing IHestonModelParameters interface, containing model parameters.</param>
        /// <param name="europeanOption">Object implementing IEuropeanOption interface, containing the option parameters.</param>
        /// <param name="monteCarloSimulationSettings">An object implementing IMonteCarloSettings object and containing simulation settings.</param>
        /// <returns>Option price</returns>
        public static double HestonEuropeanOptionPriceMC(IHestonModelParameters parameters, IEuropeanOption europeanOption, IMonteCarloSettings monteCarloSimulationSettings)
        {
            try
            {
                // Create Monte Carlo EU option object
                EuropeanOptionMC euOptionMC = new EuropeanOptionMC((HestonModelParameters)parameters,
                                                                   (MonteCarloSettings)monteCarloSimulationSettings, (EuropeanOption)europeanOption);

                return(euOptionMC.Price(Environment.ProcessorCount));
            }
            catch (Exception ex)
            {
                throw ex;
            }
        }
Example #2
0
        public void Task_2_3_15()
        {
            // 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    = 15;

            // 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(78.4306, euOptionMC.Price(1), 1e-1);
        }
Example #3
0
        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");
        }