static void Main(string[] args)
{
DateTime timer = DateTime.Now;
//////////////// DATES //////////////////////////////////////////////
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.January, 2017);
Date settlementDate = new Date(todaysDate);
Settings.setEvaluationDate(todaysDate);
DayCounter dayCounter = new Actual365Fixed();
//////////////// MARKET //////////////////////////////////////////////
// Spot
double underlying = 4468.17;
Handle <Quote> underlyingH = new Handle <Quote>(new SimpleQuote(underlying));
// riskfree
double riskFreeRate = 0.035;
Handle <YieldTermStructure> flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
// dividend
double dividendYield = 0.0;
double fixedDiv = 5.0;
Handle <YieldTermStructure> flatDividendTS = new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
Handle <YieldTermStructure> FixedDivTermStructure = new Handle <YieldTermStructure>(new FixedForward(settlementDate, fixedDiv, underlying, dayCounter));
// vol surface
Date StartDateVol = settlementDate + new Period(1, TimeUnit.Months);
List <int> maturityInDays = new InitializedList <int>()
{
0, 13, 41, 90, 165, 256, 345, 524, 703
};
List <Date> datesVol = new InitializedList <Date>();
for (int d = 1; d < maturityInDays.Count; d++)
{
datesVol.Add(calendar.advance(settlementDate, new Period(maturityInDays[d], TimeUnit.Days)));
}
List <double> strikes = new InitializedList <double>()
{
3400, 3600, 3800, 4000, 4200, 4400, 4500, 4600, 4800, 5000, 5200, 5400, 5600
};
Matrix blackVolMatrix = new Matrix(maturityInDays.Count - 1, strikes.Count, 0.2);
var vols = new InitializedList <double>()
{
0.6625, 0.4875, 0.4204, 0.3667, 0.3431, 0.3267, 0.3121, 0.3121,
0.6007, 0.4543, 0.3967, 0.3511, 0.3279, 0.3154, 0.2984, 0.2921,
0.5084, 0.4221, 0.3718, 0.3327, 0.3155, 0.3027, 0.2919, 0.2889,
0.4541, 0.3869, 0.3492, 0.3149, 0.2963, 0.2926, 0.2819, 0.2800,
0.4060, 0.3607, 0.3330, 0.2999, 0.2887, 0.2811, 0.2751, 0.2775,
0.3726, 0.3396, 0.3108, 0.2781, 0.2788, 0.2722, 0.2661, 0.2686,
0.3550, 0.3277, 0.3012, 0.2781, 0.2781, 0.2661, 0.2661, 0.2681,
0.3428, 0.3209, 0.2958, 0.2740, 0.2688, 0.2627, 0.2580, 0.2620,
0.3302, 0.3062, 0.2799, 0.2631, 0.2573, 0.2533, 0.2504, 0.2544,
0.3343, 0.2959, 0.2705, 0.2540, 0.2504, 0.2464, 0.2448, 0.2462,
0.3460, 0.2845, 0.2624, 0.2463, 0.2425, 0.2385, 0.2373, 0.2422,
0.3857, 0.2860, 0.2578, 0.2399, 0.2357, 0.2327, 0.2312, 0.2351,
0.3976, 0.2860, 0.2607, 0.2356, 0.2297, 0.2268, 0.2241, 0.2320
};
for (int i = 0; i < vols.Count; i++)
{
int testraw = (int)(i % (datesVol.Count));
int testcol = (int)(i / (datesVol.Count));
blackVolMatrix[testraw, testcol] = vols[i];
}
BlackVarianceSurface mySurface = new BlackVarianceSurface(settlementDate, calendar, datesVol,
strikes, Matrix.transpose(blackVolMatrix), dayCounter);
Handle <BlackVolTermStructure> mySurfaceH = new Handle <BlackVolTermStructure>(mySurface);
//////////////// CALIBRATION //////////////////////////////////////////////
Period helperPeriod = new Period();
//helpers
List <CalibrationHelper> calibrationHelpers = new List <CalibrationHelper>();
for (int k = 0; k < strikes.Count; k++)
{
for (int d = 0; d < datesVol.Count; d++)
{
helperPeriod = new Period(datesVol[d] - settlementDate, TimeUnit.Days);
calibrationHelpers.Add(new HestonModelHelper(helperPeriod,
calendar,
underlying,
strikes[k],
new Handle <Quote>(new SimpleQuote(blackVolMatrix[d, k])),
flatTermStructure,
flatDividendTS,
CalibrationHelper.CalibrationErrorType.ImpliedVolError));
}
}
// starting data
double v0 = 0.1;
double kappa = 1.0;
double theta = 0.1;
double sigma = 0.5;
double rho = -0.5;
// model
HestonProcess hestonProcess = new HestonProcess(flatTermStructure,
flatDividendTS,
underlyingH,
v0, kappa, theta, sigma, rho);
HestonModel hestonmodel = new HestonModel(hestonProcess);
AnalyticHestonEngine analyticHestonEngine = new AnalyticHestonEngine(hestonmodel);
foreach (HestonModelHelper hmh in calibrationHelpers)
{
hmh.setPricingEngine(analyticHestonEngine);
}
// optimization
double tolerance = 1.0e-8;
LevenbergMarquardt optimizationmethod = new LevenbergMarquardt(tolerance, tolerance, tolerance);
hestonmodel.calibrate(calibrationHelpers, optimizationmethod, new EndCriteria(400, 40, tolerance, tolerance, tolerance));
double error = 0.0;
List <double> errorList = new InitializedList <double>();
//////////////// CALIBRATION RESULTS //////////////////////////////////////////////
Console.WriteLine("Calbration :");
Console.WriteLine("-----------");
foreach (HestonModelHelper hmh in calibrationHelpers)
{
error += Math.Abs(hmh.calibrationError());
errorList.Add(Math.Abs(hmh.calibrationError()));
}
Vector hestonParameters = hestonmodel.parameters();
Console.WriteLine("v0 = {0:0.00%}", hestonParameters[4]);
Console.WriteLine("kappa = {0:0.00%}", hestonParameters[1]);
Console.WriteLine("theta = {0:0.00%}", hestonParameters[0]);
Console.WriteLine("sigma = {0:0.00%}", hestonParameters[2]);
Console.WriteLine("rho = {0:0.00%}", hestonParameters[3]);
Console.WriteLine();
Console.WriteLine("Total error = {0:0.0000}", error);
Console.WriteLine("Mean error = {0:0.0000%}", error / (errorList.Count - 1));
Console.WriteLine();
int StepsPerYear = 52;
double absoluteTolerance = 80.0;
ulong mcSeed = 42;
// MC Heston process
HestonProcess calibratedHestonProcess = new HestonProcess(flatTermStructure,
flatDividendTS,
underlyingH,
hestonParameters[4],
hestonParameters[1],
hestonParameters[0],
hestonParameters[2],
hestonParameters[3]);
// BS process
GeneralizedBlackScholesProcessTolerance bsmProcess = new GeneralizedBlackScholesProcessTolerance(underlyingH, FixedDivTermStructure, flatTermStructure, mySurfaceH);
//////////////// ENGINES /////////////////////////////////////////////////
IPricingEngine mcHestonEngine = new MakeMCEuropeanHestonEngine <PseudoRandom, Statistics>(calibratedHestonProcess)
.withStepsPerYear(StepsPerYear)
.withAbsoluteTolerance(absoluteTolerance)
.withSeed(mcSeed)
.getAsPricingEngine();
double absoluteTolerance2 = 1.0;
IPricingEngine mcGenHestonEngineTestbs = new MakeMCGenericScriptInstrument <PseudoRandom>(bsmProcess)
.withStepsPerYear(StepsPerYear)
.withAbsoluteTolerance(absoluteTolerance2)
.withSeed(mcSeed)
.value();
IPricingEngine mcGenHestonEngineTestbs2 = new MakeMCGenericScriptInstrument <PseudoRandom>(calibratedHestonProcess)
.withStepsPerYear(StepsPerYear)
.withAbsoluteTolerance(absoluteTolerance2)
.withSeed(mcSeed)
.value();
//////////////// PRICING //////////////////////////////////////////////
Console.WriteLine("Pricing Vanilla:");
Console.WriteLine("---------------");
Date maturity = new Date(17, Month.May, 2019);
Exercise europeanExercise = new EuropeanExercise(maturity);
Option.Type type = Option.Type.Call;
double strike = underlying;
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// heston
europeanOption.setPricingEngine(analyticHestonEngine);
Console.Write("Heston pricing = {0:0.0000}", europeanOption.NPV());
Console.WriteLine(" -> {0:0.0000%}", europeanOption.NPV() / underlying);
// Mc heston
europeanOption.setPricingEngine(mcHestonEngine);
Console.Write("HestMC pricing = {0:0.0000}", europeanOption.NPV());
Console.Write(" -> {0:0.0000%}", europeanOption.NPV() / underlying);
Console.WriteLine(" tolerance {0:0.0} / {1:0.00%}", absoluteTolerance, absoluteTolerance / underlying);
// analytic bs
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("BS pricing = {0:0.0000}", europeanOption.NPV());
Console.WriteLine(" -> {0:0.0000%}", europeanOption.NPV() / underlying);
Console.WriteLine();
//////////////// AUTOCALL HESTON //////////////////////////////////////////////
List <Date> fixingdates = new InitializedList <Date>();
double coupon = 0.05;
double barrierlvl = 0.6;
for (int i = 1; i <= 4; i++)
{
fixingdates.Add(settlementDate + new Period(i, TimeUnit.Years));
}
ScriptGenericAutocall myGenericAutocallHTTEst = new ScriptGenericAutocall(fixingdates, coupon, barrierlvl, underlying);
myGenericAutocallHTTEst.setPricingEngine(mcGenHestonEngineTestbs);
Console.WriteLine("Pricing Autocall BS :");
Console.WriteLine("---------------------");
Console.WriteLine("test = {0:0.0000}", myGenericAutocallHTTEst.NPV());
Console.WriteLine("Err = {0:0.0000%}", myGenericAutocallHTTEst.errorEstimate() / myGenericAutocallHTTEst.NPV());
Console.WriteLine("Samples = {0}", myGenericAutocallHTTEst.samples());
Console.Write("\n");
for (int i = 0; i < 4; i++)
{
Console.WriteLine("ProbaCall {1} = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaCall " + i), i + 1);
}
Console.WriteLine("ProbaMid = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaMid"));
Console.WriteLine("probaDown = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaDown"));
Console.WriteLine("test = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaDown"));
Console.WriteLine("AvgDown/Proba = {0:0.0000%}", myGenericAutocallHTTEst.inspout("AvgDown") / myGenericAutocallHTTEst.inspout("ProbaDown"));
Console.Write("\n");
myGenericAutocallHTTEst.setPricingEngine(mcGenHestonEngineTestbs2);
Console.WriteLine("Pricing Autocall Heston:");
Console.WriteLine("------------------------");
Console.WriteLine("test = {0:0.0000}", myGenericAutocallHTTEst.NPV());
Console.WriteLine("Err = {0:0.0000%}", myGenericAutocallHTTEst.errorEstimate() / myGenericAutocallHTTEst.NPV());
Console.WriteLine("Samples = {0}", myGenericAutocallHTTEst.samples());
Console.Write("\n");
for (int i = 0; i < 4; i++)
{
Console.WriteLine("ProbaCall {1} = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaCall " + i), i + 1);
}
Console.WriteLine("ProbaMid = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaMid"));
Console.WriteLine("probaDown = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaDown"));
Console.WriteLine("test = {0:0.0000%}", myGenericAutocallHTTEst.inspout("ProbaDown"));
Console.WriteLine("AvgDown/Proba = {0:0.0000%}", myGenericAutocallHTTEst.inspout("AvgDown") / myGenericAutocallHTTEst.inspout("ProbaDown"));
Console.Write("\n");
//////////////// END TEST //////////////////////////////////////////////
Console.WriteLine();
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
