internal static double[,] RandomSetMulti(int TrailNum, int StepNum)
{
//this is the road which use the multithreading
double[,] RandomSetMulti = new double[TrailNum, StepNum];
Random rand2 = new Random();
// int Thread1 = 1;
Action <object> MyAct = x =>
{
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = cores
}, a =>
{
for (long b = 0; b < StepNum; b++)
{
RandomSetMulti[a, b] = mt_rand();//Call box muller to generate ONE NORMAL random
}
});
};
Thread th = new Thread(new ParameterizedThreadStart(MyAct));
th.Start();
th.Join();
th.Abort();
return(RandomSetMulti);
double mt_rand()
//Box Muller Norm Random have to lock when nulti threading
{
//var obj = new Object();
double randn1 = 0, randn2 = 0;
//for parallel computing in the future, lock to ensure serial access
// The item you locked is your Random Class
lock (rand2) randn1 = rand2.NextDouble();
lock (rand2) randn2 = rand2.NextDouble();
double z1 = 0;
z1 = Math.Sqrt((-2) * Math.Log(randn1)) * Math.Cos(2 * Math.PI * randn2);
return(z1);
}
}
internal static double[] Simulate(double SO, double K, double sigma, double r, double t, Int32 StepNum, Int32 TrailNum, double[,] Randoms, int Anti, double div, int Deltabase, int MultiThread)
{
double[] Result = new double[4];
double[,] set = new double[1, 4];
double SumCall = 0.0;
double SumPut = 0.0;
double StdCallEr = 0.0;
double StdCallSum = 0.0;
double StdPutSum = 0.0;
double StdPutEr = 0.0;
double CallSd, PutSd;
if (Anti == 1)
{
double x, y;
if (Deltabase == 1)
{
double dt, St, St1, Stn, Stn1, cv, cv1, CT, PT, Sum_CT, Sum_PT, Sum_PT2, Sum_CT2, t1, CallDelta = 0, CallDelta1 = 0, PutDelta = 0, PutDelta1 = 0, beta1, nudt, sigsdt, erddt;//I don't know what the beta1 is.
dt = t / (StepNum);
nudt = (r - div - 0.5 * Math.Pow(sigma, 2)) * dt;
sigsdt = sigma * Math.Sqrt(dt);
erddt = Math.Exp((r - div) * dt);
Sum_CT = 0;
Sum_CT2 = 0;
Sum_PT = 0;
Sum_PT2 = 0;
beta1 = -1;
double[] DeltaSet = new double[2];
double[] DeltaSet1 = new double[2];
//this loop is used for restoring the simulation result
if (MultiThread == 1)
{
int Thread1 = 1;
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = Thread1
}, a =>
{
St = SO;
St1 = SO;
cv = 0;
cv1 = 0;
for (int j = 1; j <= StepNum; j++)
{
t1 = t - dt * (j - 1);
DeltaSet = Black_Scholes_Delta.Black_Scholes_DeltaSet(St, t1, K, sigma, r);
DeltaSet1 = Black_Scholes_Delta.Black_Scholes_DeltaSet(St1, t1, K, sigma, r);
CallDelta = DeltaSet[0];
PutDelta = DeltaSet[1];
CallDelta1 = DeltaSet1[0];
PutDelta1 = DeltaSet1[1];
Stn = St * Math.Exp(nudt + sigsdt * Randoms[a, j - 1]);
Stn1 = St1 * Math.Exp(nudt + sigsdt * (-Randoms[a, j - 1]));
cv = cv + CallDelta * (Stn - St * erddt) + CallDelta1 * (Stn1 - St1 * erddt);
cv1 = cv1 + PutDelta * (Stn - St * erddt) + PutDelta1 * (Stn1 - St1 * erddt);
St = Stn;
St1 = Stn1;
}
CT = Math.Max(St - K, 0) + Math.Max(St1 - K, 0) + beta1 * cv;
Sum_CT = Sum_CT + CT;
Sum_CT2 = Sum_CT2 + CT * CT;
PT = Math.Max(K - St, 0) + Math.Max(K - St1, 0) + beta1 * cv1;
Sum_PT = Sum_PT + PT;
Sum_PT2 = Sum_PT2 + PT * PT;
});
x = Sum_CT * Math.Exp(-r * t) / (2 * TrailNum);;
CallSd = Math.Sqrt((Sum_CT2 - Sum_CT * Sum_CT / (2 * TrailNum)) * Math.Exp(-2 * r * t) / (2 * TrailNum - 1));
StdCallEr = CallSd / Math.Sqrt(2 * TrailNum);
y = Sum_PT * Math.Exp(-r * t) / (2 * TrailNum);
PutSd = Math.Sqrt((Sum_PT2 - Sum_PT * Sum_PT / (2 * TrailNum)) * Math.Exp(-2 * r * t) / (2 * TrailNum - 1));
StdPutEr = PutSd / Math.Sqrt(2 * TrailNum);
}
else
{
for (int i = 0; i < TrailNum; i++)
{
St = SO;
St1 = SO;
cv = 0;
cv1 = 0;
for (int j = 1; j <= StepNum; j++)
{
t1 = t - dt * (j - 1);
DeltaSet = Black_Scholes_Delta.Black_Scholes_DeltaSet(St, t1, K, sigma, r);
DeltaSet1 = Black_Scholes_Delta.Black_Scholes_DeltaSet(St1, t1, K, sigma, r);
CallDelta = DeltaSet[0];
PutDelta = DeltaSet[1];
CallDelta1 = DeltaSet1[0];
PutDelta1 = DeltaSet1[1];
Stn = St * Math.Exp(nudt + sigsdt * Randoms[i, j - 1]);
Stn1 = St1 * Math.Exp(nudt + sigsdt * (-Randoms[i, j - 1]));
cv = cv + CallDelta * (Stn - St * erddt) + CallDelta1 * (Stn1 - St1 * erddt);
cv1 = cv1 + PutDelta * (Stn - St * erddt) + PutDelta1 * (Stn1 - St1 * erddt);
St = Stn;
St1 = Stn1;
}
CT = Math.Max(St - K, 0) + Math.Max(St1 - K, 0) + beta1 * cv;
Sum_CT = Sum_CT + CT;
Sum_CT2 = Sum_CT2 + CT * CT;
PT = Math.Max(K - St, 0) + Math.Max(K - St1, 0) + beta1 * cv1;
Sum_PT = Sum_PT + PT;
Sum_PT2 = Sum_PT2 + PT * PT;
}
}
x = Sum_CT * Math.Exp(-r * t) / (2 * TrailNum);;
CallSd = Math.Sqrt((Sum_CT2 - Sum_CT * Sum_CT / (2 * TrailNum)) * Math.Exp(-2 * r * t) / (2 * TrailNum - 1));
StdCallEr = CallSd / Math.Sqrt(2 * TrailNum);
y = Sum_PT * Math.Exp(-r * t) / (2 * TrailNum);
PutSd = Math.Sqrt((Sum_PT2 - Sum_PT * Sum_PT / (2 * TrailNum)) * Math.Exp(-2 * r * t) / (2 * TrailNum - 1));
StdPutEr = PutSd / Math.Sqrt(2 * TrailNum);
}
else
{
double[,] sims = new double[TrailNum, StepNum];
double[,] sims1 = new double[TrailNum, StepNum];
//int Thread1 = 1;
if (MultiThread == 1)
{
Action <object> MyAct1 = x2 =>
{
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = cores
}, a =>
{
lock (sims) sims[a, 0] = SO;
lock (sims1) sims1[a, 0] = SO;
for (int j = 1; j < StepNum; j++)
{
lock (sims) sims[a, j] = sims[a, j - 1] * Math.Exp((r - 0.5 * Math.Pow(sigma, 2)) * (t / (StepNum - 1)) + sigma * Math.Pow((t / (StepNum - 1)), 0.5) * Randoms[a, j]);
lock (sims1) sims1[a, j] = sims1[a, j - 1] * Math.Exp((r - 0.5 * Math.Pow(sigma, 2)) * (t / (StepNum - 1)) + sigma * Math.Pow((t / (StepNum - 1)), 0.5) * (-Randoms[a, j]));
}
lock (sims) lock (sims1) SumCall += Math.Max(sims[a, StepNum - 1] - K, 0) + Math.Max(sims1[a, StepNum - 1] - K, 0);
lock (sims) lock (sims1) SumPut += Math.Max(K - sims[a, StepNum - 1], 0) + Math.Max(K - sims1[a, StepNum - 1], 0);
});
};
Thread th = new Thread(new ParameterizedThreadStart(MyAct1));
th.Start();
th.Join();
th.Abort();
x = (SumCall / (2 * TrailNum)) * Math.Exp(-r * t);
y = (SumPut / (2 * TrailNum)) * Math.Exp(-r * t);
//calculate the sum of call and put
Action <object> MyAct2 = x2 =>
{
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = cores
}, a =>
{
lock (sims) lock (sims1) StdCallSum = StdCallSum + Math.Pow(((Math.Max(sims[a, StepNum - 1] - K, 0) + Math.Max(sims1[a, StepNum - 1] - K, 0)) / 2 - SumCall / (2 * TrailNum)), 2);
lock (sims) lock (sims1) StdPutSum = StdPutSum + Math.Pow(((Math.Max(K - sims[a, StepNum - 1], 0) + Math.Max(K - sims1[a, StepNum - 1], 0)) / 2 - (SumPut / (2 * TrailNum))), 2);
});
};
Thread th1 = new Thread(new ParameterizedThreadStart(MyAct2));
th1.Start();
th1.Join();
th1.Abort();
//calculate the StdError
StdCallEr = Math.Sqrt(StdCallSum) * Math.Exp(-r * t) / TrailNum;
StdPutEr = Math.Sqrt(StdPutSum) * Math.Exp(-r * t) / TrailNum;
}
else
{
for (int p = 0; p < TrailNum; p++)
{
sims[p, 0] = SO;
sims1[p, 0] = SO;
}
//this loop is used for restoring the simulation result
for (int i = 0; i < TrailNum; i++)
{
for (int j = 1; j < StepNum; j++)
{
sims[i, j] = sims[i, j - 1] * Math.Exp((r - 0.5 * Math.Pow(sigma, 2)) * (t / (StepNum - 1)) + sigma * Math.Pow((t / (StepNum - 1)), 0.5) * Randoms[i, j]);
sims1[i, j] = sims1[i, j - 1] * Math.Exp((r - 0.5 * Math.Pow(sigma, 2)) * (t / (StepNum - 1)) + sigma * Math.Pow((t / (StepNum - 1)), 0.5) * (-Randoms[i, j]));
}
}
for (int a = 0; a < TrailNum; a++)
{
SumCall += Math.Max(sims[a, StepNum - 1] - K, 0) + Math.Max(sims1[a, StepNum - 1] - K, 0);
SumPut += Math.Max(K - sims[a, StepNum - 1], 0) + Math.Max(K - sims1[a, StepNum - 1], 0);
}
x = (SumCall / (2 * TrailNum)) * Math.Exp(-r * t);
y = (SumPut / (2 * TrailNum)) * Math.Exp(-r * t);
//calculate the sum of call and put
for (int q = 0; q < TrailNum; q++)
{
StdCallSum = StdCallSum + Math.Pow(((Math.Max(sims[q, StepNum - 1] - K, 0) + Math.Max(sims1[q, StepNum - 1] - K, 0)) / 2 - SumCall / (2 * TrailNum)), 2);
StdPutSum = StdPutSum + Math.Pow(((Math.Max(K - sims[q, StepNum - 1], 0) + Math.Max(K - sims1[q, StepNum - 1], 0)) / 2 - (SumPut / (2 * TrailNum))), 2);
}
//calculate the StdError
StdCallEr = Math.Sqrt(StdCallSum) * Math.Exp(-r * t) / TrailNum;
StdPutEr = Math.Sqrt(StdPutSum) * Math.Exp(-r * t) / TrailNum;
}
}
Result[0] = x;
Result[1] = y;
Result[2] = StdCallEr;
Result[3] = StdPutEr;
}
else
{
double[,] sims = new double[TrailNum, StepNum];
double x, y;
if (Deltabase == 1)
{
double dt, St, Stn, cv, cv1, CT, PT, Sum_CT, Sum_PT, Sum_PT2, Sum_CT2, t1, CallDelta = 0, PutDelta = 0, beta1, nudt, sigsdt, erddt;//I don't know what the beta1 is.
dt = t / (StepNum);
nudt = (r - div - 0.5 * Math.Pow(sigma, 2)) * dt;
sigsdt = sigma * Math.Sqrt(dt);
erddt = Math.Exp((r - div) * dt);
Sum_CT = 0;
Sum_CT2 = 0;
Sum_PT = 0;
Sum_PT2 = 0;
beta1 = -1;
double[] DeltaSet = new double[2];
int Thread1 = 1;
//this loop is used for restoring the simulation result
if (MultiThread == 1)
{
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = Thread1
}, a =>
{
St = SO;
cv = 0;
cv1 = 0;
for (int j = 1; j <= StepNum; j++)
{
t1 = t - dt * (j - 1);
DeltaSet = Black_Scholes_Delta.Black_Scholes_DeltaSet(St, t1, K, sigma, r);
CallDelta = DeltaSet[0];
PutDelta = DeltaSet[1];
Stn = St * Math.Exp(nudt + sigsdt * Randoms[a, j - 1]);
cv = cv + CallDelta * (Stn - St * erddt);
cv1 = cv1 + PutDelta * (Stn - St * erddt);
St = Stn;
}
CT = Math.Max(St - K, 0) + beta1 * cv;
Sum_CT = Sum_CT + CT;
Sum_CT2 = Sum_CT2 + CT * CT;
PT = Math.Max(K - St, 0) + beta1 * cv1;
Sum_PT = Sum_PT + PT;
Sum_PT2 = Sum_PT2 + PT * PT;
});
}
else
{
for (int i = 0; i < TrailNum; i++)
{
St = SO;
cv = 0;
cv1 = 0;
for (int j = 1; j <= StepNum; j++)
{
t1 = t - dt * (j - 1);
DeltaSet = Black_Scholes_Delta.Black_Scholes_DeltaSet(St, t1, K, sigma, r);
CallDelta = DeltaSet[0];
PutDelta = DeltaSet[1];
Stn = St * Math.Exp(nudt + sigsdt * Randoms[i, j - 1]);
cv = cv + CallDelta * (Stn - St * erddt);
cv1 = cv1 + PutDelta * (Stn - St * erddt);
St = Stn;
}
CT = Math.Max(St - K, 0) + beta1 * cv;
Sum_CT = Sum_CT + CT;
Sum_CT2 = Sum_CT2 + CT * CT;
PT = Math.Max(K - St, 0) + beta1 * cv1;
Sum_PT = Sum_PT + PT;
Sum_PT2 = Sum_PT2 + PT * PT;
}
}
x = Sum_CT * Math.Exp(-r * t) / (TrailNum);;
CallSd = Math.Sqrt((Sum_CT2 - Sum_CT * Sum_CT / (TrailNum)) * Math.Exp(-2 * r * t) / (TrailNum - 1));
StdCallEr = CallSd / Math.Sqrt(TrailNum);
y = Sum_PT * Math.Exp(-r * t) / (TrailNum);
PutSd = Math.Sqrt((Sum_PT2 - Sum_PT * Sum_PT / (TrailNum)) * Math.Exp(-2 * r * t) / (TrailNum - 1));
StdPutEr = PutSd / Math.Sqrt(TrailNum);
}
else
{
int Thread1 = 1;
if (MultiThread == 1)
{
Action <object> MyAct1 = x2 =>
{
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = cores
}, a =>
{
lock (sims) sims[a, 0] = SO;
for (int j = 1; j < StepNum; j++)
{
lock (sims) sims[a, j] = sims[a, j - 1] * Math.Exp((r - 0.5 * Math.Pow(sigma, 2)) * (t / (StepNum - 1)) + sigma * Math.Pow((t / (StepNum - 1)), 0.5) * Randoms[a, j]);
}
lock (sims) SumCall += Math.Max(sims[a, StepNum - 1] - K, 0);
lock (sims) SumPut += Math.Max(K - sims[a, StepNum - 1], 0);
});
};
Thread th = new Thread(new ParameterizedThreadStart(MyAct1));
th.Start();
th.Join();
th.Abort();
x = (SumCall / TrailNum) * Math.Exp(-r * t);
y = (SumPut / TrailNum) * Math.Exp(-r * t);
//calculate the sum of call and put
Parallel.ForEach(Ienum.Step(0, TrailNum, 1), new ParallelOptions {
MaxDegreeOfParallelism = Thread1
}, a =>
{
StdCallSum = StdCallSum + Math.Pow((Math.Max(sims[a, StepNum - 1] - K, 0) - x), 2);
StdPutSum = StdPutSum + Math.Pow((Math.Max(K - sims[a, StepNum - 1], 0) - y), 2);
});
}
else
{
for (int p = 0; p < TrailNum; p++)
{
sims[p, 0] = SO;
}
//this loop is used for restoring the simulation result
for (int i = 0; i < TrailNum; i++)
{
for (int j = 1; j < StepNum; j++)
{
sims[i, j] = sims[i, j - 1] * Math.Exp((r - 0.5 * Math.Pow(sigma, 2)) * (t / (StepNum - 1)) + sigma * Math.Pow((t / (StepNum - 1)), 0.5) * Randoms[i, j]);
}
}
for (int a = 0; a < TrailNum; a++)
{
SumCall += Math.Max(sims[a, StepNum - 1] - K, 0);
SumPut += Math.Max(K - sims[a, StepNum - 1], 0);
}
x = (SumCall / TrailNum) * Math.Exp(-r * t);
y = (SumPut / TrailNum) * Math.Exp(-r * t);
//calculate the sum of call and put
for (int q = 0; q < TrailNum; q++)
{
StdCallSum = StdCallSum + Math.Pow((Math.Max(sims[q, StepNum - 1] - K, 0) - x), 2);
StdPutSum = StdPutSum + Math.Pow((Math.Max(K - sims[q, StepNum - 1], 0) - y), 2);
}
}
//calculate the StdError
StdCallEr = Math.Sqrt((1.0 / (TrailNum - 1)) * StdCallSum) / Math.Sqrt(TrailNum);
StdPutEr = Math.Sqrt((1.0 / (TrailNum - 1)) * StdPutSum) / Math.Sqrt(TrailNum);
}
Result[0] = x;
Result[1] = y;
Result[2] = StdCallEr;
Result[3] = StdPutEr;
}
return(Result);
}
