private static void PrintEndInfo(ProgramOptions options, List<StockEstimate> paths)
{
var avg = paths.Select(x => x.RealizedVol).Average();
var avgPrice = paths.Select(x => x.FinalStockPrice).Average();
Console.WriteLine("Experimental average vol: {0} and relative error is {1}", avg, Math.Abs(avg - options.Vol) / Math.Abs(options.Vol));
Console.WriteLine("Average final stock price: {0} which gives {1:P2} return", avgPrice, avgPrice / options.Price);
Console.ReadKey();
}
private static void RunSimulations(ProgramOptions options)
{
TimeSpan ts = new TimeSpan(365 * options.Years, 0, 0, 0);
ts = new TimeSpan(ts.Ticks / options.Steps); // note that ts.TotalDays / 365.0 <=> t / n
Random rnd = new Random(options.Seed);
List<StockEstimate> paths = new List<StockEstimate>();
for (int i = 0; i < options.Count; ++i)
{
PathSimulate(options, ts, rnd, paths);
}
File.WriteAllText("output.txt", paths.ToCsv());
PrintEndInfo(options, paths);
}
public static ProgramOptions ConstructFrom(string[] args)
{
ProgramOptions options = null;
if (args.Length == 14)
{
options = new ProgramOptions();
IList<PropertyInfo> propertyInfos = typeof(ProgramOptions).GetProperties();
for (int i = 1; i < args.Length; i += 2)
{
foreach (var p in propertyInfos) {
if (args[i - 1] == String.Format("/{0}", p.Name.ToLower()))
{
p.SetValue(options, Convert.ChangeType(args[i], p.PropertyType));
}
}
}
}
return options;
}
private static void PathSimulate(ProgramOptions options, TimeSpan ts, Random rnd, List<StockEstimate> paths)
{
GeometricBrownianMotionMarket market = new GeometricBrownianMotionMarket(rnd, options.Price, options.Drift, options.Vol);
List<double> logreturn = new List<double>();
double lastPrice = market.StockPrice;
for (int j = 0; j < options.Steps; ++j)
{
market.Evolve(ts);
logreturn.Add(Math.Log(market.StockPrice / lastPrice));
lastPrice = market.StockPrice;
}
double avg = logreturn.Average();
double realizedVolSquared = 365.0 / (ts.TotalDays * (options.Steps - 1))
* logreturn.Select(x => (x - avg) * (x - avg)).Sum();
paths.Add(new StockEstimate()
{
FinalStockPrice = market.StockPrice,
RealizedVol = Math.Sqrt(realizedVolSquared)
});
}
