public double[,] Analytic(Parameters parameters, Types.OptionType optionType)
{
var pVArray = default(double[, ]);
switch (optionType)
{
case Types.OptionType.Vanilla:
pVArray =
OptionVanilla.MakeAnalyticPVArray(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.IsCall);
break;
case Types.OptionType.Barrier:
pVArray =
OptionBarrier.MakeAnalyticPVArray(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.Barrier,
parameters.IsCall);
break;
}
return(pVArray);
}
public double[,] FDM(Parameters parameters, Types.OptionType optionType, Types.MethodType methodType)
{
var pVArray = default(double[, ]);
switch (optionType)
{
case Types.OptionType.Vanilla:
pVArray =
OptionVanilla.SetInitialCondition(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.IsCall);
pVArray =
OptionVanilla.SetBoundaryCondition(
pVArray,
parameters.BoundaryPrice,
parameters.Strike,
parameters.IsCall);
pVArray =
MethodTheta.CalculatePVArray(
methodType,
pVArray,
parameters.BoundaryPrice,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility);
break;
case Types.OptionType.Barrier:
pVArray =
OptionBarrier.SetInitialCondition(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Barrier,
parameters.IsCall);
pVArray =
OptionBarrier.SetBoundaryCondition(pVArray);
pVArray =
MethodTheta.CalculatePVArray(
methodType,
pVArray,
parameters.BoundaryPrice,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility);
break;
}
return(pVArray);
}
public static Parameters[] ForVerification(Types.OptionType optionType)
{
var xNumArray = MakeXNumArray();
int xNumNum = xNumArray.GetLength(0);
var parameters = Original(optionType);
var parametersArray = new Parameters[xNumNum];
for (int j = 0; j < xNumNum; j++)
{
switch (optionType)
{
case Types.OptionType.Vanilla:
parametersArray[j] =
new Parameters(
parameters.TNum,
new int[] { xNumArray[j] },
parameters.Maturity,
parameters.BoundaryPrice,
parameters.Strike,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.IsCall);
break;
case Types.OptionType.Barrier:
parametersArray[j] =
new Parameters(
parameters.TNum,
new int[] { xNumArray[j] },
parameters.Maturity,
parameters.BoundaryPrice,
parameters.Strike,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.Barrier,
parameters.IsCall);
break;
case Types.OptionType.Exchange:
parametersArray[j] =
new Parameters(
parameters.TNum,
new int[] { xNumArray[j] },
parameters.Maturity,
parameters.BoundaryPrice,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.Correlation);
break;
}
}
return(parametersArray);
}
private static void MergeIndexAndValue(
StreamWriter file,
Types.OptionType optionType)
{
WriteIndex(file, optionType);
WriteError(file, optionType, Types.MethodType.Explicit);
WriteError(file, optionType, Types.MethodType.Implicit);
WriteError(file, optionType, Types.MethodType.CrankNicolson);
file.Close();
}
private static void WriteIndex(StreamWriter file, Types.OptionType optionType)
{
var parameters = ParametersFactory.Original(optionType);
var xArray = ParametersFactory.MakeXArray(parameters);
int xNum = xArray.GetLength(0);
file.Write(",");
for (int j = 0; j < xNum; j++)
{
file.Write(xArray[j] + ",");
}
file.WriteLine();
}
private static void WriteError(StreamWriter file, Types.OptionType optionType, Types.MethodType methodType)
{
var parameters = ParametersFactory.ForVerification(optionType);
var xNumArray = ParametersFactory.MakeXNumArray();
int xNumNum = xNumArray.GetLength(0);
file.Write(",");
for (int j = 0; j < xNumNum; j++)
{
var makePVArray = new MakePVArrayOneAsset();
var analyticArray =
makePVArray.Analytic(parameters[j], optionType);
var fDMArray =
makePVArray.FDM(parameters[j], optionType, methodType);
double error = CalculateErrorOneAsset.MaxAbsolute(fDMArray, analyticArray);
file.Write(error + ",");
}
file.WriteLine();
}
private static void WriteError(StreamWriter file, Types.OptionType optionType, Types.MethodType methodType)
{
var parameters = ParametersFactory.Original(optionType);
var xArray = ParametersFactory.MakeXArray(parameters);
int xNum = xArray.GetLength(0);
var errorArray = new double[xNum];
file.Write(",");
for (int j = 0; j < xNum; j++)
{
var makePVArray = new MakePVArrayOneAsset();
var analyticArray =
makePVArray.Analytic(parameters, optionType);
var fDMArray =
makePVArray.FDM(parameters, optionType, methodType);
errorArray[j] = CalculateErrorOneAsset.AbsoluteArray(fDMArray, analyticArray)[j];
file.Write(errorArray[j] + ",");
}
file.WriteLine();
}
public static Parameters Original(Types.OptionType optionType)
{
var parameters = default(Parameters);
switch (optionType)
{
case Types.OptionType.Vanilla:
parameters =
new Parameters(
10, // tNum
new int[] { 400 }, // xNum
0.4, // maturity
new double[] { Math.Log(200) }, // boundaryPrice
100, // strike
0, // domesticRate
new double[] { 2e-2 }, // foreignRate
new double[] { 0.2 }, // volatility
true // isCall
);
break;
case Types.OptionType.Barrier:
parameters =
new Parameters(
10, // tNum
new int[] { 400 }, // xNum
0.4, // maturity
new double[] { Math.Log(200) }, // boundaryPrice
100, // strike
0, // domesticRate
new double[] { 2e-2 }, // foreignRate
new double[] { 0.2 }, // volatility
110, // barrier
true // isCall
);
break;
}
return(parameters);
}
