public static void test_beta_black_perf()
{
Console.WriteLine("Computing ... ");
var N = 100000;
var tic = DateTime.Now;
for (var i = 0; i < N; ++i)
{
ClosedForm.black76(OptionType.Put, 10.0, 4.0, 0.5, 0.4);
ClosedForm.black76(OptionType.Put, 10.0, 8.0, 1.5, 0.4);
ClosedForm.black76(OptionType.Put, 10.0, 4.0, 0.5, 0.4);
ClosedForm.black76(OptionType.Put, 10.0, 8.0, 1.5, 0.4);
ClosedForm.black76(OptionType.Put, 10.0, 4.0, 0.5, 0.4);
ClosedForm.black76(OptionType.Put, 10.0, 8.0, 1.5, 0.4);
}
var toc = DateTime.Now;
var ticBB = DateTime.Now;
for (var i = 0; i < N; ++i)
{
BetaBlack.beta_black(0.1, OptionType.Put, 10.0, 4.0, 0.5, 0.4);
BetaBlack.beta_black(0.1, OptionType.Put, 8.0, 4.0, 0.5, 0.4);
BetaBlack.beta_black(0.5, OptionType.Put, 10.0, 4.0, 0.5, 0.4);
BetaBlack.beta_black(0.5, OptionType.Put, 8.0, 4.0, 0.5, 0.4);
BetaBlack.beta_black(0.5, OptionType.Put, -10.0, -14.0, 0.5, 0.4);
BetaBlack.beta_black(0.5, OptionType.Put, -8.0, -10.0, 0.5, 0.4);
}
var tocBB = DateTime.Now;
var ticBBP = DateTime.Now;
var ignore = 0.0;
for (var i = 0; i < N; ++i)
{
BetaBlack.beta_black_b(0.1, OptionType.Put, 10.0, 4.0, 0.5, 0.4, ref ignore, ref ignore, ref ignore,
ref ignore, ref ignore, 1.0);
BetaBlack.beta_black_b(0.1, OptionType.Put, 8.0, 4.0, 0.5, 0.4, ref ignore, ref ignore, ref ignore,
ref ignore, ref ignore, 1.0);
BetaBlack.beta_black_b(0.5, OptionType.Put, 10.0, 4.0, 0.5, 0.4, ref ignore, ref ignore, ref ignore,
ref ignore, ref ignore, 1.0);
BetaBlack.beta_black_b(0.5, OptionType.Put, 8.0, 4.0, 0.5, 0.4, ref ignore, ref ignore, ref ignore,
ref ignore, ref ignore, 1.0);
BetaBlack.beta_black_b(0.5, OptionType.Put, -10.0, -14.0, 0.5, 0.4, ref ignore, ref ignore, ref ignore,
ref ignore, ref ignore, 1.0);
BetaBlack.beta_black_b(0.5, OptionType.Put, -8.0, -10.0, 0.5, 0.4, ref ignore, ref ignore, ref ignore,
ref ignore, ref ignore, 1.0);
}
var tocBBP = DateTime.Now;
Console.WriteLine("Done");
Console.WriteLine($"Black: {(toc - tic).TotalMilliseconds}");
Console.WriteLine($"B-Black: {(tocBB - ticBB).TotalMilliseconds}");
Console.WriteLine($"First Order Risk B-Black : {(tocBBP - ticBBP).TotalMilliseconds}");
Console.WriteLine($"PV time in # blacks: {(tocBB - ticBB).TotalMilliseconds / (toc - tic).TotalMilliseconds}");
Console.WriteLine($"Risk first order time in # blacks: {(tocBBP - ticBBP).TotalMilliseconds / (toc - tic).TotalMilliseconds}");
}
public static double beta_black_normal_vol(double beta, double F, double K, double T, double sigma)
{
var optType = OptionType.Put; // F > K ? OptionType.Put : OptionType.Call;
var bbPrice = beta_black(beta, optType, F, K, T, sigma);
try
{
return(ClosedForm.ibachelier(optType, F, K, T, bbPrice));
}
catch (Exception e)
{
FS.WithInfo(e, $"beta ={beta}, optType = {optType}, F = {F}, K = {K}, T = {T}, sigma = {sigma}, bbPrice = {bbPrice}");
throw;
}
}
