protected virtual void SetPricingVol(PricingResult result, IOption option, IMarketCondition market)
{
var vol = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: option.ExerciseDates.Last(), option: option, spot: market.SpotPrices.Value.Values.First());
result.PricingVol = vol;
}
//Precise TimeValue Optiong Pricing Mode:
// if nightMarket,
// T0, <12:00, T = original T + 2/3
// T0, >12:00 && <15:00, T = original T + 1/3
// T0, >=15:00 && <21:00, T = original T
// T0, >=21:00, T = original T (nightMarket)
// if noNightMarket
// T0, <12:00, T = orignal T + 1
// T0, >12:00 && <15:00, T = original T + 1/2
// T0, >= 15:00, T = original T
/// <summary>
/// 计算期权现值
/// </summary>
/// <param name="option">期权</param>
/// <param name="markets">市场</param>
/// <returns>计算结果</returns>
public virtual double[] CalcPvs(IOption option, IMarketCondition[] markets)
{
var timeIncrement = AnalyticalOptionPricerUtil.optionTimeToMaturityIncrement(option);
return(markets.Select(x => {
if (x.ValuationDate == option.ExerciseDates.Last())
{
return CalcIntrinsicValue(option, x);
}
else
{
return CalcPv(option, x, timeIncrement);
}
}).ToArray());
}
private double DoCalcPv(IOption option, IMarketCondition market, double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var valueDate = market.ValuationDate;
var dayCount = market.DiscountCurve.Value.DayCount;
var exerciseDates = option.ExerciseDates.Where(x => x >= market.ValuationDate).ToArray();
var tExStart = dayCount.CalcDayCountFraction(valueDate, exerciseDates[0]) + timeIncrement;
var tExEnd = dayCount.CalcDayCountFraction(valueDate, exerciseDates.Last()) + timeIncrement;
if (!double.IsNaN(expiryDayRemainingLife))
{
tExEnd = expiryDayRemainingLife;
}
var spot = market.SpotPrices.Value.Values.First();
Tuple <Date, double>[] dividends = (option.Dividends != null)? option.Dividends.Select(x => new Tuple <Date, double>(x.Key, x.Value)).ToArray(): null;
if (dividends != null)
{
Array.Sort(dividends, (o1, o2) => o1.Item1.CompareTo(o2.Item1));
}
var sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: option.ExerciseDates.Last(), option: option, spot: spot);
//Notional is been considered during simulation.
var fa = BinomialDiscreteDividends(option, market,
market.ValuationDate,
dayCount: market.DiscountCurve.Value.DayCount,
spotPrice: market.SpotPrices.Value.Values.First(),
r: market.DiscountCurve.Value.ZeroRate(market.ValuationDate, option.ExerciseDates.Last()),
v: sigma,
dividends: dividends,
steps: _steps,
tStart: tExStart,
tEnd: tExEnd);
var option2 = option.Clone(OptionExercise.European);
var bsmEngine = new AnalyticalVanillaEuropeanOptionEngine();
//if cash dividends, then annualize it to equivalent dividend yield
//var diviFraction = dayCount.CalcDayCountFraction(option.StartDate, option.ExerciseDates.Last());
//var eqvDividendYield = (dividends ==null)? 0.0: dividends.Select(x => x.Item2).Sum() / spot / diviFraction;
//var eqvDividendCurve = new YieldCurve(
// "dividend",
// valueDate,
// new[]
// {
// Tuple.Create((ITerm)new Term("1D"), eqvDividendYield),
// Tuple.Create((ITerm)new Term("1Y"), eqvDividendYield)
// },
// BusinessDayConvention.ModifiedFollowing,
// dayCount,
// market.DividendCurves.Value.First().Value.Calendar,
// CurrencyCode.CNY,
// Compound.Continuous,
// Interpolation.CubicHermiteMonotic,
// YieldCurveTrait.SpotCurve
// );
//var eqvMarket = market.UpdateDividendCurve(eqvDividendCurve, market.DividendCurves.Value.First().Key);
var fbsm = bsmEngine.Calculate(option2, market, PricingRequest.Pv).Pv;
var fe = BinomialDiscreteDividends(option2, market,
market.ValuationDate,
dayCount: market.DiscountCurve.Value.DayCount,
spotPrice: spot,
r: market.DiscountCurve.Value.ZeroRate(market.ValuationDate, option.ExerciseDates.Last()),
v: sigma,
dividends: dividends,
steps: _steps,
tStart: tExStart,
tEnd: tExEnd);
//control variate
//fa + ( fbsm - fe)
return(fa + (fbsm - fe));
}
/// <summary>
/// 计算期权现值
/// </summary>
/// <param name="option">期权</param>
/// <param name="markets">市场</param>
/// <returns>计算结果</returns>
public override double[] CalcPvs(IOption option, IMarketCondition[] markets)
{
if (AnalyticalOptionPricerUtil.isForwardFuturesOption(option.UnderlyingProductType))
{
//market = market.UpdateCondition(new UpdateMktConditionPack<Dictionary<string, IYieldCurve>>(m => m.DividendCurves, new Dictionary<string, IYieldCurve> { { "", market.DiscountCurve.Value} }));
markets = markets.Select(x =>
x.UpdateCondition(new UpdateMktConditionPack <Dictionary <string, IYieldCurve> >(m => m.DividendCurves, new Dictionary <string, IYieldCurve> {
{ "", x.DiscountCurve.Value }
}))
).ToArray();
}
var stochasticProcesses = CreateStochasticProcess1Ds(option, markets);
var nProcess = stochasticProcesses.Length;
var partitioner = Partitioner.Create(0, NumSimulations, NumSimulations / ParallelDegrees + 1);
var partitionerPvs = Enumerable.Range(0, nProcess).Select(x => new List <double>()).ToArray();
var parallelOption = new ParallelOptions()
{
MaxDegreeOfParallelism = ParallelDegrees
};
var size = option.ObservationDates.Length * 2 + 3;
List <double>[] result = null;
if (MonteCarloCollectPath)
{
result = new List <double> [NumSimulations + 1];
}
Parallel.ForEach(partitioner, parallelOption,
(range, loopState) =>
{
var pvs = Enumerable.Range(0, nProcess).Select(x => new List <double>()).ToArray();
var random = new MersenneTwister();
for (var n = range.Item1; n < range.Item2; ++n)
{
var paths = PathGenerator.GeneratePath(stochasticProcesses,
markets.Select(x => x.SpotPrices.Value.Values.First()).ToArray(),
markets.Select(x => x.ValuationDate.Value).ToArray(),
option.ObservationDates,
option.Calendar,
option.DayCount,
random);
for (var i = 0; i < nProcess; ++i)
{
pvs[i].Add(
option.GetPayoff(paths[i]).Sum(cf => cf.PaymentAmount * markets[i].DiscountCurve.Value.GetDf(markets[i].ValuationDate.Value, cf.PaymentDate))
);
//pvs[i].Add(option.GetPayoff(paths[i]).Sum(cf => cf.PaymentAmount * market.DiscountCurve.Value.GetDf(market.ValuationDate.Value, cf.PaymentDate)));
}
//antithetic path
for (var i = 0; i < nProcess; ++i)
{
pvs[i].Add(option.GetPayoff(paths[i + nProcess]).Sum(cf => cf.PaymentAmount * markets[i].DiscountCurve.Value.GetDf(markets[i].ValuationDate.Value, cf.PaymentDate)));
//pvs[i].Add(option.GetPayoff(paths[i + nProcess]).Sum(cf => cf.PaymentAmount * market.DiscountCurve.Value.GetDf(market.ValuationDate.Value, cf.PaymentDate)));
}
if (MonteCarloCollectPath)
{
var originalPathPrices = from e in paths[0].ToList() orderby e.Key select e.Value;
//original path price evolution
//result[n].AddRange(prices.ToList());
result[n] = originalPathPrices.ToList();
//pv
result[n].Add(pvs[0].First());
var antiPathPrices = from e in paths[1].ToList() orderby e.Key select e.Value;
//antipath price evolution
result[n].AddRange(antiPathPrices);
//pv
result[n].Add(pvs[0].Last());
//expected pv
result[n].Add(pvs[0].Average());
}
}
lock (partitionerPvs)
{
for (var i = 0; i < nProcess; ++i)
{
partitionerPvs[i].Add(pvs[i].Average());
}
}
//
});
if (MonteCarloCollectPath)
{
result[NumSimulations] = Enumerable.Repeat(0.0, 2 * (option.ObservationDates.Length + 1)).ToList();
result[NumSimulations].Add(partitionerPvs[0].Average());
var resultStr = result.Select(digits => string.Join(",", digits)).ToArray();
var folder = Environment.GetFolderPath(Environment.SpecialFolder.UserProfile);
var filename = folder + "/MonteCarlo.csv";
File.WriteAllLines(filename, resultStr);
}
//return partitionerPvs[0].Average();
return(partitionerPvs.Select(x => x.Average()).ToArray());
}
