public VarianceGammaEngine(VarianceGammaProcess process) : this(NQuantLibcPINVOKE.new_VarianceGammaEngine(VarianceGammaProcess.getCPtr(process)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FFTVarianceGammaEngine(VarianceGammaProcess process, double logStrikeSpacing) : this(NQuantLibcPINVOKE.new_FFTVarianceGammaEngine__SWIG_0(VarianceGammaProcess.getCPtr(process), logStrikeSpacing), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Option.Type optionType = Option.Type.Put;
double underlyingPrice = 36;
double strikePrice = 40;
double dividendYield = 0.0;
double riskFreeRate = 0.06;
double volatility = 0.2;
Date todaysDate = new Date(15, Month.May, 1998);
Settings.instance().setEvaluationDate(todaysDate);
Date settlementDate = new Date(17, Month.May, 1998);
Date maturityDate = new Date(17, Month.May, 1999);
Calendar calendar = new TARGET();
DateVector exerciseDates = new DateVector(4);
for (int i = 1; i <= 4; i++)
{
Period forwardPeriod = new Period(3 * i, TimeUnit.Months);
Date forwardDate = settlementDate.Add(forwardPeriod);
exerciseDates.Add(forwardDate);
}
EuropeanExercise europeanExercise =
new EuropeanExercise(maturityDate);
BermudanExercise bermudanExercise =
new BermudanExercise(exerciseDates);
AmericanExercise americanExercise =
new AmericanExercise(settlementDate, maturityDate);
// bootstrap the yield/dividend/vol curves and create a
// BlackScholesMerton stochastic process
DayCounter dayCounter = new Actual365Fixed();
YieldTermStructureHandle flatRateTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, riskFreeRate,
dayCounter));
YieldTermStructureHandle flatDividendTSH =
new YieldTermStructureHandle(
new FlatForward(settlementDate, dividendYield,
dayCounter));
BlackVolTermStructureHandle flatVolTSH =
new BlackVolTermStructureHandle(
new BlackConstantVol(settlementDate, calendar,
volatility, dayCounter));
QuoteHandle underlyingQuoteH =
new QuoteHandle(new SimpleQuote(underlyingPrice));
BlackScholesMertonProcess stochasticProcess =
new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH,
flatRateTSH,
flatVolTSH);
PlainVanillaPayoff payoff =
new PlainVanillaPayoff(optionType, strikePrice);
// options
VanillaOption europeanOption =
new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption =
new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption =
new VanillaOption(payoff, americanExercise);
// report the parameters we are using
ReportParameters(optionType, underlyingPrice, strikePrice,
dividendYield, riskFreeRate,
volatility, maturityDate);
// write out the column headings
ReportHeadings();
#region Analytic Formulas
// Black-Scholes for European
try {
europeanOption.setPricingEngine(
new AnalyticEuropeanEngine(stochasticProcess));
ReportResults("Black-Scholes",
europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Barone-Adesi and Whaley approximation for American
try {
americanOption.setPricingEngine(
new BaroneAdesiWhaleyEngine(stochasticProcess));
ReportResults("Barone-Adesi/Whaley",
null, null, americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Bjerksund and Stensland approximation for American
try {
americanOption.setPricingEngine(
new BjerksundStenslandEngine(stochasticProcess));
ReportResults("Bjerksund/Stensland",
null, null, americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Integral
try {
europeanOption.setPricingEngine(
new IntegralEngine(stochasticProcess));
ReportResults("Integral",
europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
uint timeSteps = 801;
// Finite differences
try {
europeanOption.setPricingEngine(
new FDEuropeanEngine(stochasticProcess,
timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(
new FDBermudanEngine(stochasticProcess,
timeSteps, timeSteps - 1));
americanOption.setPricingEngine(
new FDAmericanEngine(stochasticProcess,
timeSteps, timeSteps - 1));
ReportResults("Finite differences",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
//Variance Gamma
try
{
VarianceGammaProcess vgProcess = new VarianceGammaProcess(underlyingQuoteH,
flatDividendTSH,
flatRateTSH,
volatility, 0.01, 0.0
);
europeanOption.setPricingEngine(
new VarianceGammaEngine(vgProcess));
ReportResults("Variance-Gamma",
europeanOption.NPV(), null, null);
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
#endregion Analytic Formulas
#region Binomial Methods
// Binomial Jarrow-Rudd
try {
europeanOption.setPricingEngine(
new BinomialJRVanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialJRVanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialJRVanillaEngine(stochasticProcess, timeSteps));
ReportResults("Binomial Jarrow-Rudd",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Cox-Ross-Rubinstein
try {
europeanOption.setPricingEngine(
new BinomialCRRVanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialCRRVanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialCRRVanillaEngine(stochasticProcess, timeSteps));
ReportResults("Binomial Cox-Ross-Rubinstein",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Additive Equiprobabilities
try {
europeanOption.setPricingEngine(
new BinomialEQPVanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialEQPVanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialEQPVanillaEngine(stochasticProcess, timeSteps));
ReportResults("Additive Equiprobabilities",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Trigeorgis
try {
europeanOption.setPricingEngine(
new BinomialTrigeorgisVanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialTrigeorgisVanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialTrigeorgisVanillaEngine(stochasticProcess, timeSteps));
ReportResults("Binomial Trigeorgis",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Tian
try {
europeanOption.setPricingEngine(
new BinomialTianVanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialTianVanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialTianVanillaEngine(stochasticProcess, timeSteps));
ReportResults("Binomial Tian",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Leisen-Reimer
try {
europeanOption.setPricingEngine(
new BinomialLRVanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialLRVanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialLRVanillaEngine(stochasticProcess, timeSteps));
ReportResults("Binomial Leisen-Reimer",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// Binomial Joshi
try {
europeanOption.setPricingEngine(
new BinomialJ4VanillaEngine(stochasticProcess, timeSteps));
bermudanOption.setPricingEngine(
new BinomialJ4VanillaEngine(stochasticProcess, timeSteps));
americanOption.setPricingEngine(
new BinomialJ4VanillaEngine(stochasticProcess, timeSteps));
ReportResults("Binomial Joshi",
europeanOption.NPV(),
bermudanOption.NPV(),
americanOption.NPV());
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
#endregion Binomial Methods
#region Monte Carlo Methods
// quantlib appears to use max numeric (int and real) values to test for 'null' (or rather 'default') values
// MC (crude)
try {
int mcTimeSteps = 1;
int timeStepsPerYear = int.MaxValue;
bool brownianBridge = false;
bool antitheticVariate = false;
int requiredSamples = int.MaxValue;
double requiredTolerance = 0.02;
int maxSamples = int.MaxValue;
int seed = 42;
europeanOption.setPricingEngine(
new MCPREuropeanEngine(stochasticProcess,
mcTimeSteps,
timeStepsPerYear,
brownianBridge,
antitheticVariate,
requiredSamples,
requiredTolerance,
maxSamples, seed));
ReportResults("MC (crude)", europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
// MC (Sobol)
try {
int mcTimeSteps = 1;
int timeStepsPerYear = int.MaxValue;
bool brownianBridge = false;
bool antitheticVariate = false;
int requiredSamples = 32768; // 2^15
double requiredTolerance = double.MaxValue;
int maxSamples = int.MaxValue;
int seed = 0;
europeanOption.setPricingEngine(
new MCLDEuropeanEngine(stochasticProcess,
mcTimeSteps,
timeStepsPerYear,
brownianBridge,
antitheticVariate,
requiredSamples,
requiredTolerance,
maxSamples, seed));
ReportResults("MC (Sobol)", europeanOption.NPV(), null, null);
}
catch (Exception e) {
Console.WriteLine(e.ToString());
}
#endregion Monte Carlo Methods
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(VarianceGammaProcess obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public FFTVarianceGammaEngine(VarianceGammaProcess process) : this(NQuantLibcPINVOKE.new_FFTVarianceGammaEngine__SWIG_1(VarianceGammaProcess.getCPtr(process)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(VarianceGammaProcess obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
