public static object HestonAsianOptionPriceMC(double underlying,
double riskFreeRate,
double kappa,
double theta,
double sigma,
double rho,
double v0,
double maturity,
double strike,
object monitoringTimes,
string type,
int numSamplePaths,
int numSteps,
[ExcelArgument(Description = "Timeout set to 5 mins if not specified")]
int timeOutInMinutes)
{
try
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return(null);
}
if (timeOutInMinutes.Equals(0))
{
timeOutInMinutes = 5;
}
var task = Task.Run(() => Heston.HestonAsianOptionPriceMC(
new HestonParametersGrading(underlying, riskFreeRate, kappa, theta, sigma, rho, v0),
new AsianOptionGrading(ConvertToVector <double>(monitoringTimes), maturity, strike, GetTypeOfVanillaEuropean(type)),
new MonteCarloSettingsGrading(numSamplePaths, numSteps)));
if (task.Wait(TimeSpan.FromMinutes(timeOutInMinutes)))
{
return(task.Result);
}
else
{
throw new Exception($"Timed out ({timeOutInMinutes} mins)");
}
}
catch (Exception e)
{
return("HestonAsianOptionPriceMC: unknown error: " + e.Message);
}
}
public static void Task7()
{
// Variance Process Values
Console.WriteLine("Task 7");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double[] Maturity = new double[3] {
1, 2, 3
};
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 7 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
// Monitoring Times
List <double> monTimes1 = new List <double>
{
0.75,
1.00
};
List <double> monTimes2 = new List <double>
{
0.25, 0.5, 0.75, 1.00, 1.25, 1.5, 1.75
};
List <double> monTimes3 = new List <double>
{
1.00, 2.00, 3.00
};
List <List <double> > MonitoringTimes = new List <List <double> >
{
monTimes1, monTimes2, monTimes3
};
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("K, T, Price");
csv.AppendLine(newLine);
for (int i = 0; i < 3; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]);
AsianOption asianOption =
new AsianOption(StrikePrice, Type, Maturity[i], MonitoringTimes[i]);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double price = Heston.HestonAsianOptionPriceMC(hestonModel,
asianOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, C_MC={2}", StrikePrice,
Maturity[i], price);
newLine = string.Format("{0}, {1}, {2}", StrikePrice, Maturity[i], price);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./task7.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
