public void Test()
{
double nu = 0.6;
double theta = -0.2;
double sigma = 0.2;
double rate = 0.02;
double dy = 0.01;
double s0 = 1;
double maturity = 2.0;
double strike = 1.2;
Vector mat = new Vector(1) + maturity;
Vector k = new Vector(1) + strike;
// Calculates the theoretical value of the call.
double theoreticalPrice = VarianceGammaOptionsCalibration.VGCall(theta, sigma, nu,
maturity, strike,
dy, s0, rate);
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 50000;
int n_steps = 512;
ModelParameter paramStrike = new ModelParameter(strike, "strike");
paramStrike.VarName = "strike";
rov.Symbols.Add(paramStrike);
ModelParameter paramRate = new ModelParameter(rate, "rfrate");
paramRate.VarName = "rfrate";
rov.Symbols.Add(paramRate);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
VarianceGamma process = new VarianceGamma(s0, theta, sigma, nu, rate, dy);
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 = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)maturity;
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)
{
rov.DisplayErrors();
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
Console.WriteLine("Theoretical Price = " + theoreticalPrice);
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.Less(Math.Abs(theoreticalPrice - samplePrice), tol);
}
public void Test()
{
double nu = 0.6;
double theta = -0.2;
double sigma = 0.2;
double rate = 0.02;
double dy = 0.01;
double s0 = 1;
double maturity = 2.0;
double strike = 1.2;
Vector mat = new Vector(1) + maturity;
Vector k = new Vector(1) + strike;
// Calculates the theoretical value of the call.
double theoreticalPrice = VarianceGammaOptionsCalibration.VGCall(theta, sigma, nu,
maturity, strike,
dy, s0, rate);
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 50000;
int n_steps = 512;
ModelParameter paramStrike = new ModelParameter(strike, "strike");
paramStrike.VarName = "strike";
rov.Symbols.Add(paramStrike);
ModelParameter paramRate = new ModelParameter(rate, "rfrate");
paramRate.VarName = "rfrate";
rov.Symbols.Add(paramRate);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
VarianceGamma process = new VarianceGamma(s0, theta, sigma, nu, rate, dy);
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 = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)maturity;
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)
{
rov.DisplayErrors();
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
Console.WriteLine("Theoretical Price = " + theoreticalPrice);
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.Less(Math.Abs(theoreticalPrice - samplePrice), tol);
}
