| public Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double s ) : double | ||
| dynamic | IReadOnlyMatrixSlice | /// The simulated process. /// |
| dates | double | /// The vector of reference dates. /// |
| i | int | /// The index at which the state variables must be sampled. /// |
| t | double | /// The date in years/fractions at at which the state variables must be sampled. /// |
| s | double | /// The maturity of the bond. /// |
| return | double | |
public void Test()
{
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
AFunction zerorate = new AFunction(rov);
zerorate.VarName = "zr";
zerorate.m_IndependentVariables = 1;
zerorate.m_Value = (RightValue)0.05;
rov.Symbols.Add(zerorate);
int n_sim = 5000;
int n_steps = 900;
SquaredGaussianModel process = new SquaredGaussianModel();
process.a1 = (ModelParameter)0.1;
process.sigma1 = (ModelParameter)0.01;
process.zr = (ModelParameter)"@zr";
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = 0.0;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "bond(t;10;@v1)";
// Set the simulation maturity.
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)2.0;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
Console.WriteLine(rov.m_RuntimeErrorList[0]);
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
Console.WriteLine("Bond Test Value = " + price.value.ToString());
Assert.LessOrEqual(Math.Abs(0.6702 - price.value), .01);
// Try to do some simple tests and check the results.
double b0_10 = process.Bond(DynamicParam(0, process), process.CacheDates, 0, 0, 10);
Console.WriteLine("Bond(0,10) = " + b0_10);
Assert.LessOrEqual(Math.Abs(b0_10 - 0.606513), .001);
double b7_10 = process.Bond(DynamicParam(0.00427631, process), process.CacheDates, 0, 7, 10);
Console.WriteLine("Bond(7,10) = " + b7_10);
Assert.LessOrEqual(Math.Abs(b7_10 - 0.856374), .001);
double b7_30 = process.Bond(DynamicParam(0.00427631, process), process.CacheDates, 0, 7, 30);
}
public void Test()
{
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
AFunction zerorate = new AFunction(rov);
zerorate.VarName = "zr";
zerorate.m_IndependentVariables = 1;
zerorate.m_Value = (RightValue)0.05;
rov.Symbols.Add(zerorate);
int n_sim = 5000;
int n_steps = 900;
SquaredGaussianModel process = new SquaredGaussianModel();
process.a1 = (ModelParameter)0.1;
process.sigma1 = (ModelParameter)0.01;
process.zr = (ModelParameter)"@zr";
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = 0.0;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "bond(t;10;@v1)";
// Set the simulation maturity.
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)2.0;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
Console.WriteLine(rov.m_RuntimeErrorList[0]);
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
Console.WriteLine("Bond Test Value = " + price.value.ToString());
Assert.LessOrEqual(Math.Abs(0.6702 - price.value), .01);
// Try to do some simple tests and check the results.
double b0_10 = process.Bond(DynamicParam(0, process), process.CacheDates, 0, 0, 10);
Console.WriteLine("Bond(0,10) = " + b0_10);
Assert.LessOrEqual(Math.Abs(b0_10 - 0.606513), .001);
double b7_10 = process.Bond(DynamicParam(0.00427631, process), process.CacheDates, 0, 7, 10);
Console.WriteLine("Bond(7,10) = " + b7_10);
Assert.LessOrEqual(Math.Abs(b7_10 - 0.856374), .001);
double b7_30 = process.Bond(DynamicParam(0.00427631, process), process.CacheDates, 0, 7, 30);
}
