public static object DupireSsviLookbackOptionPriceMC(
[ExcelArgument(Description = "the current risky asset price")] double S0,
[ExcelArgument(Description = "constant continuously compounded rate of return")] double riskFreeRate,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double alpha,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double beta,
[ExcelArgument(Description = "SSVI parameter")] double gamma,
[ExcelArgument(Description = "SSVI parameter")] double eta,
[ExcelArgument(Description = "SSVI parameter")] double rho,
[ExcelArgument(Description = "option maturity (time to expiry)")] double maturity,
[ExcelArgument(Description = "number of time steps e.g. 252")] int numSteps,
[ExcelArgument(Description = "number of trials e.g. 10 000")] int numTrials)
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return(null);
}
try
{
double[] ssviParams = new double[] { alpha, beta, gamma, eta, rho };
MonteCarloPricingLocalVol McPricer = new MonteCarloPricingLocalVol(riskFreeRate, numTrials, numSteps, ssviParams);
return(McPricer.CalculateLookbackOptionPrice(S0, maturity));
}
catch (Exception e)
{
XLInterfaceBase.AddErrorMessage("DupireSsviLookbackOptionPriceMC error: " + e.Message);
}
return(null);
}
public static object DupireSsviBarrierPriceWithMC([ExcelArgument(Description = "the current risky asset price")] double S0,
[ExcelArgument(Description = "constant continuously compounded rate of return")] double riskFreeRate,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double alpha,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double beta,
[ExcelArgument(Description = "SSVI parameter")] double gamma,
[ExcelArgument(Description = "SSVI parameter")] double eta,
[ExcelArgument(Description = "SSVI parameter")] double rho,
[ExcelArgument(Description = "option maturity (time to expiry)")] double maturity,
[ExcelArgument(Description = "option strike")] double strike,
[ExcelArgument(Description = "option barrier")] double barrier,
[ExcelArgument(Description = "option type, 'C' for call 'P' for put")] string CallOrPut,
[ExcelArgument(Description = "option type, 'U' for up 'D' for down")] string UpOrDown,
[ExcelArgument(Description = "option type, 'I' for in 'O' for out")] string InOrOut,
[ExcelArgument(Description = "number of time steps e.g. 252")] int numSteps,
[ExcelArgument(Description = "number of trials e.g. 10 000")] int numTrials)
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return(null);
}
try
{
double[] ssviParams = new double[] { alpha, beta, gamma, eta, rho };
MonteCarloPricingLocalVol pricer = new MonteCarloPricingLocalVol(riskFreeRate, numTrials, numSteps, ssviParams);
if (CallOrPut == "C")
{
return(pricer.CalculateCallBarrierOptionPrice(S0, strike, maturity, UpOrDown, InOrOut, barrier));
}
else if (CallOrPut == "P")
{
return(pricer.CalculatePutBarrierOptionPrice(S0, strike, maturity, UpOrDown, InOrOut, barrier));
}
else
{
throw new ArgumentException("Input must be either C or P.");
}
}
catch (Exception e)
{
XLInterfaceBase.AddErrorMessage("DupireSsviEuropeanPriceWithMC error: " + e.Message);
}
return(null);
}
public static object DupireSsviAsianOptionPriceMC(
[ExcelArgument(Description = "the current risky asset price")] double S0,
[ExcelArgument(Description = "constant continuously compounded rate of return")] double riskFreeRate,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double alpha,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double beta,
[ExcelArgument(Description = "SSVI parameter")] double gamma,
[ExcelArgument(Description = "SSVI parameter")] double eta,
[ExcelArgument(Description = "SSVI parameter")] double rho,
[ExcelArgument(Description = "option maturity (time to expiry)")] double maturity,
[ExcelArgument(Description = "option strike")] double strike,
[ExcelArgument(Description = "an Nx1 XL range of values over which the average is taken")] object monitoringTimes,
[ExcelArgument(Description = "option type, 'C' for call 'P' for put")] string type,
[ExcelArgument(Description = "number of time steps e.g. 252")] int numSteps,
[ExcelArgument(Description = "number of trials e.g. 10 000")] int numTrials)
{
try
{
double[] monitoringT = XLInterfaceBase.ConvertToVector <double>(monitoringTimes);
double[] ssviParams = new double[] { alpha, beta, gamma, eta, rho };
MonteCarloPricingLocalVol McPricer = new MonteCarloPricingLocalVol(riskFreeRate, numTrials, numSteps, ssviParams);
if (type == "Call" || type == "call" || type == "C" || type == "c")
{
return(McPricer.CalculateAsianCallOptionPrice(S0, strike, monitoringT, maturity));
}
else if (type == "Put" || type == "put" || type == "P" || type == "p")
{
return(McPricer.CalculateAsianPutOptionPrice(S0, strike, monitoringT, maturity));
}
else
{
throw new ArgumentException("Input must be either Call, call, C, c, Put, put, P or p.");
}
}
catch (Exception e)
{
XLInterfaceBase.AddErrorMessage("DupireSsviAsianOptionPriceMC error: " + e.Message);
}
return(null);
}
