/// <summary>
/// Test method, displays a sensitivity on heston call and put prices.
/// </summary>
private void PutCallTest()
{
Console.WriteLine("Black-Sholes Calls Market Prices");
Console.WriteLine(this.callMarketPrice);
Console.WriteLine("Strikes");
Console.WriteLine(this.strike);
Console.WriteLine("Maturities");
Console.WriteLine(this.maturity);
var x = new Vector()
{
3.18344026504981,
0.0427882999286046,
0.644527074840708,
-0.659960749691282,
0.0150455464938991,
0.0211747510984717
};
HestonCall hc = new HestonCall(this, x, this.s0);
hc.T = .1;
hc.rate = this.rate[0];
Console.WriteLine("Strike\tCall\tPut");
for (int z = 200; z < 6500; z += 1000)
{
hc.K = z;
var call = hc.HestonCallPrice();
var put = hc.HestonPutPrice();
var callPut = hc.HestonCallPutPrice();
Console.WriteLine(z + "\t" + callPut[0] + "\t" + callPut[1]);
}
}
/// <summary>
/// Calculates a single row of the objective function. Basically
/// options with the same maturity and different strikes.
/// </summary>
/// <param name='context'>
/// An object of type <see cref="HestonCall"/> containing the context.
/// </param>
private void CalculateSingleRow(object context)
{
CalculateSingleRowWithInterpolation(context);
return;
HestonCall hc = context as HestonCall;
int r = hc.row;
for (int c = 0; c < this.callMarketPrice.C; c++)
{
bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
bool putCondition = this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;
if (callCondition)//||putCondition)
{
hc.K = this.strike[c];
var callPut = hc.HestonCallPutPrice();
hc.hestonCallPrice[r, c] = callPut[0];
hc.hestonPutPrice[r, c] = callPut[1];
if (callCondition)
{
if (HestonCallOptimizationProblem.optimizeRelativeError)
{
double mkt = pricingMin + this.callMarketPrice[r, c];
double model = pricingMin + hc.hestonCallPrice[r, c];
hc.sum += callWeight[r, c] * Math.Pow((model - mkt) / mkt, 2);
}
else
{
hc.sum += callWeight[r, c] * Math.Pow(hc.hestonCallPrice[r, c] - this.callMarketPrice[r, c], 2);
}
}
/*
* if (putCondition)
* {
* if (HestonCallOptimizationProblem.optimizeRelativeError)
* {
* double mkt = pricingMin + this.cpmd.PutPrice[r, c];
* double model = pricingMin + hc.hestonPutPrice[r, c];
* hc.sum += putWeight[r,c] * Math.Pow((model - mkt) / mkt, 2);
* }
* else
* {
* hc.sum += putWeight[r,c]* Math.Pow(hc.hestonPutPrice[r, c] - this.cpmd.PutPrice[r, c], 2);
* }
* }
*/
}
}
return;
}
/// <summary>
/// Test method, displays a sensitivity on heston call and put prices.
/// </summary>
private void PutCallTest()
{
Console.WriteLine("Black-Sholes Calls Market Prices");
Console.WriteLine(this.callMarketPrice);
Console.WriteLine("Strikes");
Console.WriteLine(this.strike);
Console.WriteLine("Maturities");
Console.WriteLine(this.maturity);
var x = new Vector() {3.18344026504981,
0.0427882999286046,
0.644527074840708,
-0.659960749691282,
0.0150455464938991,
0.0211747510984717};
HestonCall hc = new HestonCall(this, x, this.s0);
hc.T = .1;
hc.rate = this.rate[0];
Console.WriteLine("Strike\tCall\tPut");
for (int z = 200; z < 6500; z += 1000)
{
hc.K = z;
var call = hc.HestonCallPrice();
var put = hc.HestonPutPrice();
var callPut = hc.HestonCallPutPrice();
Console.WriteLine(z + "\t" + callPut[0] + "\t" + callPut[1]);
}
}
/// <summary>
/// Calculates call put prices for several strikes using controlled interpolation.
/// </summary>
/// <param name="context"></param>
private void CalculateSingleRowWithInterpolation(object context)
{
HestonCall hc = context as HestonCall;
int r = hc.row;
hc.sum = 0;
// Finds upper extreme for call and put
int max_c = 0;
for (int c = this.callMarketPrice.C - 1; c > 0; c--)
{
bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
bool putCondition = this.cpmd.PutPrice != null && this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;
if (callCondition || putCondition)
{
max_c = c;
break;
}
}
var strikes = new List <double>();
var calls = new List <double>();
var puts = new List <double>();
//Evaluates in strategic points
for (int c = 0; c < this.callMarketPrice.C; c++)
{
bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
bool putCondition = this.cpmd.PutPrice != null && this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;
if (callCondition || putCondition)
{
hc.K = this.strike[c];
var callPut = hc.HestonCallPutPrice();
strikes.Add(hc.K);
calls.Add(callPut[0]);
puts.Add(callPut[1]);
if (c == max_c)
{
break;
}
c += 1;//skip the subsequent strikes
if (c > max_c)
{
c = max_c;
}
}
}
// Builds interpolated call and put values.
var callFun = new PFunction((Vector)strikes.ToArray(), (Vector)calls.ToArray());
callFun.m_Function.iType = DVPLUtils.EInterpolationType.SPLINE;
var putFun = new PFunction((Vector)strikes.ToArray(), (Vector)puts.ToArray());
putFun.m_Function.iType = DVPLUtils.EInterpolationType.SPLINE;
// Evaluates at the requested strikes
for (int c = 0; c < this.callMarketPrice.C; c++)
{
bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
bool putCondition = this.cpmd.PutPrice != null && this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;
if (callCondition)
{
hc.hestonCallPrice[r, c] = callFun.Evaluate(this.strike[c]);
if (HestonCallOptimizationProblem.optimizeRelativeError)
{
double mkt = pricingMin + this.callMarketPrice[r, c];
double model = pricingMin + hc.hestonCallPrice[r, c];
hc.sum += callWeight[r, c] * Math.Pow((model - mkt) / mkt, 2);
}
else
{
hc.sum += callWeight[r, c] * Math.Pow(hc.hestonCallPrice[r, c] - this.callMarketPrice[r, c], 2);
}
}
if (putCondition)
{
hc.hestonPutPrice[r, c] = putFun.Evaluate(this.strike[c]);
if (HestonCallOptimizationProblem.optimizeRelativeError)
{
double mkt = pricingMin + this.cpmd.PutPrice[r, c];
double model = pricingMin + hc.hestonPutPrice[r, c];
hc.sum += putWeight[r, c] * Math.Pow((model - mkt) / mkt, 2);
}
else
{
hc.sum += putWeight[r, c] * Math.Pow(hc.hestonPutPrice[r, c] - this.cpmd.PutPrice[r, c], 2);
}
}
}
return;
}
