public static void Task5()
{
// Variance Process Values
double Kappa = 1.5768;
double Theta = 0.398;
double Sigma = 0.5751;
double V0 = 1.0175;
double Rho = -0.5711;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.025;
// Callibration Settings
double accuracy = 0.001;
int maxIter = 1000;
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
CalibrationSettings calibrationSettings = new CalibrationSettings(accuracy, maxIter);
// Market Data
LinkedList <IOptionMarketData <IEuropeanOption> > observedOptions =
new LinkedList <IOptionMarketData <IEuropeanOption> >();
EuropeanOption eu1 = new EuropeanOption(80, PayoffType.Call, 1);
OptionMarketData <IEuropeanOption> marketData1 =
new OptionMarketData <IEuropeanOption>(eu1, 25.72);
observedOptions.AddLast(marketData1);
EuropeanOption eu2 = new EuropeanOption(90, PayoffType.Call, 1);
OptionMarketData <IEuropeanOption> marketData2 =
new OptionMarketData <IEuropeanOption>(eu2, 18.93);
observedOptions.AddLast(marketData2);
EuropeanOption eu3 = new EuropeanOption(80, PayoffType.Call, 2);
OptionMarketData <IEuropeanOption> marketData3 =
new OptionMarketData <IEuropeanOption>(eu3, 30.49);
observedOptions.AddLast(marketData3);
EuropeanOption eu4 = new EuropeanOption(100, PayoffType.Call, 2);
OptionMarketData <IEuropeanOption> marketData4 =
new OptionMarketData <IEuropeanOption>(eu4, 19.36);
observedOptions.AddLast(marketData4);
EuropeanOption eu5 = new EuropeanOption(100, PayoffType.Call, 1.5);
OptionMarketData <IEuropeanOption> marketData5 =
new OptionMarketData <IEuropeanOption>(eu5, 16.58);
observedOptions.AddLast(marketData5);
HestonCalibrationResult result;
result = (HestonCalibrationResult)
Heston.CalibrateHestonParameters(hestonModel, observedOptions, calibrationSettings);
Console.WriteLine("Calibration outcome: {0} and error: {1}", result.MinimizerStatus, result.PricingError);
}
public static void Task6()
{
Console.WriteLine("********Task 6*********");
// Variance Process Values
double Kappa = 1.5768;
double Theta = 0.398;
double Sigma = 0.5751;
double V0 = 0.0175;
double Rho = -0.5711;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.025;
// Callibration Settings
double accuracy = 1.0e-3;
int maxIter = 1000;
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
HestonModelParameters guess =
new HestonModelParameters(InitialStockPrice, RiskFreeRate,
new VarianceProcessParameters(1.55, 0.88, 1.5999, 0.4, -0.55));
CalibrationSettings calibrationSettings = new CalibrationSettings(accuracy, maxIter);
// Market Data
LinkedList <IOptionMarketData <IEuropeanOption> > observedOptions =
new LinkedList <IOptionMarketData <IEuropeanOption> >();
EuropeanOption eu1 = new EuropeanOption(80, PayoffType.Call, 1);
EuropeanOptionFormula eu1Form = new EuropeanOptionFormula(hestonModel, eu1);
OptionMarketData <IEuropeanOption> marketData1 =
new OptionMarketData <IEuropeanOption>(eu1, eu1Form.Price());
observedOptions.AddLast(marketData1);
EuropeanOption eu2 = new EuropeanOption(90, PayoffType.Call, 1);
EuropeanOptionFormula eu2Form = new EuropeanOptionFormula(hestonModel, eu2);
OptionMarketData <IEuropeanOption> marketData2 =
new OptionMarketData <IEuropeanOption>(eu2, eu2Form.Price());
observedOptions.AddLast(marketData2);
EuropeanOption eu3 = new EuropeanOption(80, PayoffType.Call, 2);
EuropeanOptionFormula eu3Form = new EuropeanOptionFormula(hestonModel, eu3);
OptionMarketData <IEuropeanOption> marketData3 =
new OptionMarketData <IEuropeanOption>(eu3, eu3Form.Price());
observedOptions.AddLast(marketData3);
EuropeanOption eu4 = new EuropeanOption(100, PayoffType.Call, 2);
EuropeanOptionFormula eu4Form = new EuropeanOptionFormula(hestonModel, eu4);
OptionMarketData <IEuropeanOption> marketData4 =
new OptionMarketData <IEuropeanOption>(eu4, eu4Form.Price());
observedOptions.AddLast(marketData4);
EuropeanOption eu5 = new EuropeanOption(100, PayoffType.Call, 1.5);
EuropeanOptionFormula eu5Form = new EuropeanOptionFormula(hestonModel, eu5);
OptionMarketData <IEuropeanOption> marketData5 =
new OptionMarketData <IEuropeanOption>(eu5, eu5Form.Price());
observedOptions.AddLast(marketData5);
HestonCalibrationResult result;
result = (HestonCalibrationResult)
Heston.CalibrateHestonParameters(guess, observedOptions, calibrationSettings);
Console.WriteLine("Calibration outcome: {0} and error: {1}", result.MinimizerStatus, result.PricingError);
}
public static object CalibrateHestonParameters(object guessModelParameters,
double riskFreeRate,
double underlyingPrice,
object strikes,
object maturities,
object type,
object observedPrices,
double accuracy,
int maxIterations,
[ExcelArgument(Description = "Timeout set to 10 mins if not specified")]
int timeOutInMinutes)
{
try
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return(null);
}
if (timeOutInMinutes.Equals(0))
{
timeOutInMinutes = 10;
}
double[] strikesArray = ConvertToVector <double>(strikes);
double[] maturitiesArray = ConvertToVector <double>(maturities);
string[] optTypeArray = ConvertToVector <string>(type);
double[] observedPricesArray = ConvertToVector <double>(observedPrices);
if (strikesArray.Length != maturitiesArray.Length ||
maturitiesArray.Length != optTypeArray.Length ||
optTypeArray.Length != observedPricesArray.Length)
{
// must improve error message display
return(null);
}
HestonParametersGrading guessHestonModelParams = ParseParameters(guessModelParameters, underlyingPrice, riskFreeRate);
if (guessHestonModelParams == null)
{
return(null);
}
int numObservedOptions = strikesArray.Length;
var marketData = new OptionMarketDataGrading[numObservedOptions];
for (int optionIdx = 0; optionIdx < numObservedOptions; ++optionIdx)
{
marketData[optionIdx] = new OptionMarketDataGrading(
new EuropeanOptionGrading(
maturitiesArray[optionIdx],
strikesArray[optionIdx],
GetTypeOfVanillaEuropean(optTypeArray[optionIdx])),
observedPricesArray[optionIdx]);
}
var calibrationSettings = new CalibrationSettingsGrading(accuracy, maxIterations);
var task = Task.Run(() =>
{
var result = Heston.CalibrateHestonParameters(guessHestonModelParams, marketData, calibrationSettings);
const int numCols = 2;
const int numRows = 7;
object[,] output = new object[numRows, numCols];
output[0, 0] = "Kappa"; output[0, 1] = result.Parameters.VarianceParameters.Kappa;
output[1, 0] = "Theta"; output[1, 1] = result.Parameters.VarianceParameters.Theta;
output[2, 0] = "Sigma"; output[2, 1] = result.Parameters.VarianceParameters.Sigma;
output[3, 0] = "Rho"; output[3, 1] = result.Parameters.VarianceParameters.Rho;
output[4, 0] = "v0"; output[4, 1] = result.Parameters.VarianceParameters.V0;
output[5, 0] = "Minimizer Status";
if (result.MinimizerStatus == CalibrationOutcome.FinishedOK)
{
output[5, 1] = "OK";
}
else if (result.MinimizerStatus == CalibrationOutcome.FailedMaxItReached)
{
output[5, 1] = "Reached max. num. iterations.";
}
else if (result.MinimizerStatus == CalibrationOutcome.FailedOtherReason)
{
output[5, 1] = "Failed.";
}
else
{
output[5, 1] = "Unknown outcome.";
}
output[6, 0] = "Pricing error"; output[6, 1] = result.PricingError;
return(output);
});
if (task.Wait(TimeSpan.FromMinutes(timeOutInMinutes)))
{
return(task.Result);
}
else
{
throw new Exception($"Timed out ({timeOutInMinutes} mins)");
}
}
catch (Exception e)
{
return("CalibrateHestonParameters: unknown error: " + e.Message);
}
}