public InverseNonCentralChiSquareDistribution(double df, double ncp,
int maxEvaluations,
double accuracy){
nonCentralDist_ = new NonCentralChiSquareDistribution(df,ncp);
guess_ = df + ncp;
maxEvaluations_ = maxEvaluations;
accuracy_ = accuracy;
}
public InverseNonCentralChiSquareDistribution(double df, double ncp,
int maxEvaluations,
double accuracy)
{
nonCentralDist_ = new NonCentralChiSquareDistribution(df,ncp);
guess_ = df + ncp;
maxEvaluations_ = maxEvaluations;
accuracy_ = accuracy;
}
public override double discountBondOption(Option.Type type,
double strike,
double maturity,
double bondMaturity)
{
if (!(strike > 0.0))
{
throw new Exception("strike must be positive");
}
double discountT = discountBond(0.0, maturity, x0());
double discountS = discountBond(0.0, bondMaturity, x0());
if (maturity < Const.QL_EPSILON)
{
switch (type)
{
case Option.Type.Call:
return(Math.Max(discountS - strike, 0.0));
case Option.Type.Put:
return(Math.Max(strike - discountS, 0.0));
default:
throw new Exception("unsupported option type");
}
}
double sigma2 = sigma() * sigma();
double h = Math.Sqrt(k() * k() + 2.0 * sigma2);
double b = B(maturity, bondMaturity);
double rho = 2.0 * h / (sigma2 * (Math.Exp(h * maturity) - 1.0));
double psi = (k() + h) / sigma2;
double df = 4.0 * k() * theta() / sigma2;
double ncps = 2.0 * rho * rho * x0() * Math.Exp(h * maturity) / (rho + psi + b);
double ncpt = 2.0 * rho * rho * x0() * Math.Exp(h * maturity) / (rho + psi);
NonCentralChiSquareDistribution chis = new NonCentralChiSquareDistribution(df, ncps);
NonCentralChiSquareDistribution chit = new NonCentralChiSquareDistribution(df, ncpt);
double z = Math.Log(A(maturity, bondMaturity) / strike) / b;
double call = discountS * chis.value(2.0 * z * (rho + psi + b)) -
strike * discountT * chit.value(2.0 * z * (rho + psi));
if (type == Option.Type.Call)
{
return(call);
}
else
{
return(call - discountS + strike * discountT);
}
}
public override double discountBondOption(Option.Type type,
double strike,
double maturity,
double bondMaturity)
{
if (!(strike > 0.0))
throw new ApplicationException("strike must be positive");
double discountT = discountBond(0.0, maturity, x0());
double discountS = discountBond(0.0, bondMaturity, x0());
if (maturity < Const.QL_EPSILON)
{
switch (type){
case Option.Type.Call:
return Math.Max(discountS - strike, 0.0);
case Option.Type.Put:
return Math.Max(strike - discountS, 0.0);
default:
throw new ApplicationException("unsupported option type");
}
}
double sigma2 = sigma()*sigma();
double h = Math.Sqrt(k()*k() + 2.0*sigma2);
double b = B(maturity,bondMaturity);
double rho = 2.0*h/(sigma2*(Math.Exp(h*maturity) - 1.0));
double psi = (k() + h)/sigma2;
double df = 4.0*k()*theta()/sigma2;
double ncps = 2.0*rho*rho*x0()*Math.Exp(h*maturity)/(rho+psi+b);
double ncpt = 2.0*rho*rho*x0()*Math.Exp(h*maturity)/(rho+psi);
NonCentralChiSquareDistribution chis = new NonCentralChiSquareDistribution(df, ncps);
NonCentralChiSquareDistribution chit = new NonCentralChiSquareDistribution(df, ncpt);
double z = Math.Log(A(maturity,bondMaturity)/strike)/b;
double call = discountS*chis.value(2.0*z*(rho+psi+b)) -
strike*discountT*chit.value(2.0*z*(rho+psi));
if (type == Option.Type.Call)
return call;
else
return call - discountS + strike*discountT;
}