private double CalculateAsianOptionPrice(double S0, double[] T, double maturity, Func <double, double> payoffFn)
{
int nMonitorTimes = T.Length;
double[][] stockPaths = MonteCarloPaths.ParallelGenerateMcPaths(N, M, maturity, r, S0, ssviParams); // size N x nMonitorTimes
// the is the average for Asian option price
double averageAlongPath;
// this is the MC average
double averagePayoff = 0;
for (int n = 0; n < N; ++n)
{
averageAlongPath = 0;
for (int i = 0; i < nMonitorTimes; ++i)
{
int index = (int)Math.Round((T[i] / maturity) * (M - 1));
averageAlongPath += stockPaths[n][index];
}
averageAlongPath *= 1.0 / nMonitorTimes;
averagePayoff += payoffFn(averageAlongPath);
}
averagePayoff *= 1.0 / N;
return(Math.Exp(-r * maturity) * averagePayoff);
}
private double CalculateBarrierOptionPrice(double S0, double maturity, string DownOrUp, string InOrOut, double barrier, Func <double, double> payoffFn)
{
double[][] stockPaths = MonteCarloPaths.ParallelGenerateMcPaths(N, M, maturity, r, S0, ssviParams);
double payoff = 0;
for (int n = 0; n < N; ++n)
{
bool barrierAchieved = false;
for (int m = 0; m < M; ++m)
{
if (DownOrUp == "D")
{
if (stockPaths[n][m] <= barrier)
{
barrierAchieved = true;
}
}
else if (DownOrUp == "U")
{
if (stockPaths[n][m] >= barrier)
{
barrierAchieved = true;
}
}
else
{
throw new ArgumentException("Barrier type must be either D or U");
}
}
if (barrierAchieved)
{
if (InOrOut == "I")
{
payoff += payoffFn(stockPaths[n][M - 1]);
}
else if (InOrOut != "O")
{
throw new ArgumentException("InOrOut must be I or O.");
}
}
else
{
if (InOrOut == "O")
{
payoff += payoffFn(stockPaths[n][M - 1]);
}
else if (InOrOut != "I")
{
throw new ArgumentException("InOrOut must be I or O.");
}
}
}
return(Math.Exp(-r * maturity) * payoff / N);
}
private double CalculateEurOptionPrice(double S0, double T, Func <double, double> payoffFn)
{
double[][] stockPaths = MonteCarloPaths.ParallelGenerateMcPaths(N, M, T, r, S0, ssviParams);
double Price = 0;
for (int n = 0; n < N; ++n)
{
Price += payoffFn(stockPaths[n][M - 1]);
}
return(Math.Exp(-r * T) * (Price / N));
}
public static void Main(string[] args)
{
//ConstrainedMinimizationTest.RunTest();
//SsviTests.RunVolatilityTest();
// MonteCarloTests.RunEurOptionPricing();
double[] ssviParams = new double[] { Math.Sqrt(0.1), 1, 0.7, 0.2, 0.3 };
double r = 0.025;
double S0 = 100;
double T = 1;
int N = 100000;
int M = 128;
Stopwatch timer = Stopwatch.StartNew();
double[,] paths = MonteCarloPaths.GenerateMcPaths(N, M, T, r, S0, ssviParams);
timer.Stop();
TimeSpan serial_length = timer.Elapsed;
Console.WriteLine("Serial elapsed time = " + serial_length.ToString("mm\\:ss\\.ff"));
Stopwatch timer1 = Stopwatch.StartNew();
double[][] paths1 = MonteCarloPaths.ParallelGenerateMcPaths(N, M, T, r, S0, ssviParams);
timer1.Stop();
TimeSpan serial_length1 = timer1.Elapsed;
Console.WriteLine("Parallel elapsed time = " + serial_length1.ToString("mm\\:ss\\.ff"));
//using (System.IO.StreamWriter file = new System.IO.StreamWriter("Paths.csv"))
//{
// for (int i = 0; i < paths.GetLength(0); ++i)
// {
// for (int j = 0; j < paths.GetLength(1); ++j)
// file.Write(paths[i, j].ToString() + ",");
// file.Write(Environment.NewLine);
// }
//}
Console.WriteLine("All done.");
Console.ReadKey();
}
public double CalculateLookbackOptionPrice(double S0, double maturity)
{
double[][] stockPaths = MonteCarloPaths.ParallelGenerateMcPaths(N, M, maturity, r, S0, ssviParams);
double payoff = 0;
for (int n = 0; n < N; ++n)
{
double minValue = double.MaxValue;
for (int m = 0; m < M; ++m)
{
if (stockPaths[n][m] < minValue)
{
minValue = stockPaths[n][m];
}
}
payoff += stockPaths[n][M - 1] - minValue;
}
return(Math.Exp(-r * maturity) * payoff / N);
}
public static void RunPathBuildTest()
{
double[] ssviParams = new double[] { Math.Sqrt(0.1), 1, 0.7, 0.2, 0.3 };
double r = 0.025;
double S0 = 100;
double T = 1;
int N = 6;
int M = 4;
double[,] paths = MonteCarloPaths.GenerateMcPaths(N, M, T, r, S0, ssviParams);
int rLength = paths.GetLength(0);
int cLength = paths.GetLength(1);
for (int i = 0; i < rLength; ++i)
{
for (int j = 0; j < cLength; ++j)
{
Console.Write("{0}, ", paths[i, j]);
}
Console.WriteLine();
}
}