public void PathsGenerated()
{
var vol = 0.32;
using var engine = new PathEngine(IsCoverageOnly ? 2.IntPow(6) : 2 << 10);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: vol,
spot: 500,
drift: 0.00,
numberOfSteps: IsCoverageOnly ? 1 : 365,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(500, 500, 0, 1, vol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.Equal(blackPv, pv, 0);
}
}
public void LVMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 12))
{
Parallelize = false
};
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { 0.1, 0.25, 0.5, 0.75, 0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var tExp = (origin.AddMonths(6) - origin).TotalDays / 365.0;
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
StrikeType.ForwardDelta, Interpolator1DType.GaussianKernel,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t / tExp); });
var asset = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddMonths(6));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddMonths(6));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddMonths(6), fwdCurve(tExp));
var blackPv = BlackFunctions.BlackPV(fwdCurve(tExp), 900, 0, tExp, blackVol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv / pv - 1.0) < 0.02);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(tExp) / fwd - 1.0) < 0.005);
}
}
public void LVMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
var engine = new PathEngine(2.IntPow(17));
//engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
//{
// UseNormalInverse = true,
// UseAnthithetic = false
//});
engine.AddPathProcess(new Random.Sobol.SobolShiftedPathGenerator(new Random.Sobol.SobolDirectionNumbers(s_directionNumbers), 0)
{
UseNormalInverse = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m", "9m", "1y" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
Core.Basic.StrikeType.ForwardDelta, Interpolator1DType.LinearFlatExtrap,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: 365,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddYears(1), fwdCurve(1.0));
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, blackVol, OptionType.P);
Assert.Equal(blackPv, pv, 0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
//var output = new OutputPathsToImage(engine,2000,1000);
}
public void PathsGenerated()
{
var engine = new PathEngine(2 << 8);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 1000,
drift: 0.00,
numberOfSteps: 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 500,
drift: 0.00,
numberOfSteps: 25,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var output = new OutputPathsToImage(engine, 2000, 1000);
}
public void BlackMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 15));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
var volSurface = new ConstantVolSurface(origin, 0.32);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new BlackSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 1 : 10,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, 0.32, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv - pv) < 1.0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
}
}
