/// <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;
}
}
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);
}
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");
}