public static void Task2() { // Task 2 // Variance Process Values Console.WriteLine("Task 2"); double Kappa = 1.5768; double Theta = 0.0398; double Sigma = 0.5751; double V0 = 0.0175; double Rho = -0.5711; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.025; // Option Params double StrikePrice = 100; PayoffType Type = PayoffType.Call; int[] Maturity = new int[5] { 1, 2, 3, 4, 15 }; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 2.1 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("K, T, Price"); csv.AppendLine(newLine); for (int i = 0; i < 5; i++) { EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity[i]); double price = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); System.Console.WriteLine("K={0}, T={1}, C={2}", StrikePrice, Maturity[i], price); newLine = string.Format("{0}, {1}, {2}", StrikePrice, Maturity[i], price); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./task2.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
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($"Timed out ({timeOutInMinutes} mins)"); } } catch (Exception e) { return("HestonAsianOptionPriceMC: unknown error: " + e.Message); } }
public static object HestonOneOptionPrice(double underlying, double riskFreeRate, double kappa, double theta, double sigma, double rho, double v0, double maturity, double strike, string type, [ExcelArgument(Description = "Timeout set to 1 min if not specified")] int timeOutInMinutes) { try { if (ExcelDnaUtil.IsInFunctionWizard()) { return(null); } if (timeOutInMinutes.Equals(0)) { timeOutInMinutes = 1; } var task = Task.Run(() => Heston.HestonEuropeanOptionPrice(new HestonParametersGrading(underlying, riskFreeRate, kappa, theta, sigma, rho, v0), new EuropeanOptionGrading(maturity, strike, GetTypeOfVanillaEuropean(type)))); if (task.Wait(TimeSpan.FromMinutes(timeOutInMinutes))) { return(task.Result); } else { throw new Exception($"Timed out ({timeOutInMinutes} mins)"); } } catch (Exception e) { return("HestonOneOptionPrice: unknown error: " + e.Message); } }
public static void TaskThreadScaling() { // Variance Process Values Console.WriteLine("Task Thread Scaling"); // 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 = 3; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 3 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("Number of Trials, cores, time"); csv.AppendLine(newLine); int[] cores = new int[5] { 1, 2, 4, 8, 16 }; for (int i = 0; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)1e6; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); // Create Monte Carlo EU option object EuropeanOptionMC euOptionMC = new EuropeanOptionMC(hestonModel, monteCarloSettings, euOption); var stopwatch = new Stopwatch(); stopwatch.Start(); double price = euOptionMC.Price(cores[i]); stopwatch.Stop(); long elapsed_time = stopwatch.ElapsedMilliseconds; System.Console.WriteLine("K={0}, T={1}, cores={2}, C_MC={3}, C_form={4}, time={5}", StrikePrice, Maturity, cores[i], price, priceForm, elapsed_time); newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, cores[i], elapsed_time); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./taskThreadScaling.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static void Task8() { // Variance Process Values Console.WriteLine("Task 8"); // 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[] Maturity = new double[5] { 1, 3, 5, 7, 9 }; 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); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("T, Price"); csv.AppendLine(newLine); for (int i = 0; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); Option maturity = new Option(Maturity[i]); double price = Heston.HestonLookbackOptionPriceMC(hestonModel, maturity, monteCarloSettings); System.Console.WriteLine("T={0}, C_MC={1}", Maturity[i], price); newLine = string.Format("{0}, {1}", Maturity[i], price); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./task8.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
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"); }
public static void Task6() { Console.WriteLine("********Task 6*********"); // Variance Process Values double Kappa = 1.5768; double Theta = 0.398; double Sigma = 0.5751; double V0 = 0.0175; double Rho = -0.5711; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.025; // Callibration Settings double accuracy = 1.0e-3; int maxIter = 1000; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); HestonModelParameters guess = new HestonModelParameters(InitialStockPrice, RiskFreeRate, new VarianceProcessParameters(1.55, 0.88, 1.5999, 0.4, -0.55)); CalibrationSettings calibrationSettings = new CalibrationSettings(accuracy, maxIter); // Market Data LinkedList <IOptionMarketData <IEuropeanOption> > observedOptions = new LinkedList <IOptionMarketData <IEuropeanOption> >(); EuropeanOption eu1 = new EuropeanOption(80, PayoffType.Call, 1); EuropeanOptionFormula eu1Form = new EuropeanOptionFormula(hestonModel, eu1); OptionMarketData <IEuropeanOption> marketData1 = new OptionMarketData <IEuropeanOption>(eu1, eu1Form.Price()); observedOptions.AddLast(marketData1); EuropeanOption eu2 = new EuropeanOption(90, PayoffType.Call, 1); EuropeanOptionFormula eu2Form = new EuropeanOptionFormula(hestonModel, eu2); OptionMarketData <IEuropeanOption> marketData2 = new OptionMarketData <IEuropeanOption>(eu2, eu2Form.Price()); observedOptions.AddLast(marketData2); EuropeanOption eu3 = new EuropeanOption(80, PayoffType.Call, 2); EuropeanOptionFormula eu3Form = new EuropeanOptionFormula(hestonModel, eu3); OptionMarketData <IEuropeanOption> marketData3 = new OptionMarketData <IEuropeanOption>(eu3, eu3Form.Price()); observedOptions.AddLast(marketData3); EuropeanOption eu4 = new EuropeanOption(100, PayoffType.Call, 2); EuropeanOptionFormula eu4Form = new EuropeanOptionFormula(hestonModel, eu4); OptionMarketData <IEuropeanOption> marketData4 = new OptionMarketData <IEuropeanOption>(eu4, eu4Form.Price()); observedOptions.AddLast(marketData4); EuropeanOption eu5 = new EuropeanOption(100, PayoffType.Call, 1.5); EuropeanOptionFormula eu5Form = new EuropeanOptionFormula(hestonModel, eu5); OptionMarketData <IEuropeanOption> marketData5 = new OptionMarketData <IEuropeanOption>(eu5, eu5Form.Price()); observedOptions.AddLast(marketData5); HestonCalibrationResult result; result = (HestonCalibrationResult) Heston.CalibrateHestonParameters(guess, observedOptions, calibrationSettings); Console.WriteLine("Calibration outcome: {0} and error: {1}", result.MinimizerStatus, result.PricingError); }
public static void Task5() { // Variance Process Values double Kappa = 1.5768; double Theta = 0.398; double Sigma = 0.5751; double V0 = 1.0175; double Rho = -0.5711; // Heston Model Params double InitialStockPrice = 100; double RiskFreeRate = 0.025; // Callibration Settings double accuracy = 0.001; int maxIter = 1000; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); CalibrationSettings calibrationSettings = new CalibrationSettings(accuracy, maxIter); // Market Data LinkedList <IOptionMarketData <IEuropeanOption> > observedOptions = new LinkedList <IOptionMarketData <IEuropeanOption> >(); EuropeanOption eu1 = new EuropeanOption(80, PayoffType.Call, 1); OptionMarketData <IEuropeanOption> marketData1 = new OptionMarketData <IEuropeanOption>(eu1, 25.72); observedOptions.AddLast(marketData1); EuropeanOption eu2 = new EuropeanOption(90, PayoffType.Call, 1); OptionMarketData <IEuropeanOption> marketData2 = new OptionMarketData <IEuropeanOption>(eu2, 18.93); observedOptions.AddLast(marketData2); EuropeanOption eu3 = new EuropeanOption(80, PayoffType.Call, 2); OptionMarketData <IEuropeanOption> marketData3 = new OptionMarketData <IEuropeanOption>(eu3, 30.49); observedOptions.AddLast(marketData3); EuropeanOption eu4 = new EuropeanOption(100, PayoffType.Call, 2); OptionMarketData <IEuropeanOption> marketData4 = new OptionMarketData <IEuropeanOption>(eu4, 19.36); observedOptions.AddLast(marketData4); EuropeanOption eu5 = new EuropeanOption(100, PayoffType.Call, 1.5); OptionMarketData <IEuropeanOption> marketData5 = new OptionMarketData <IEuropeanOption>(eu5, 16.58); observedOptions.AddLast(marketData5); HestonCalibrationResult result; result = (HestonCalibrationResult) Heston.CalibrateHestonParameters(hestonModel, observedOptions, calibrationSettings); Console.WriteLine("Calibration outcome: {0} and error: {1}", result.MinimizerStatus, result.PricingError); }
public static void Task4() { // Variance Process Values Console.WriteLine("Task 4"); // 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 = 1; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 4 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity); double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); System.Console.WriteLine("K={0}, T={1}, refPrice={2}", StrikePrice, Maturity, priceForm); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("Trials, Time Steps, relError"); csv.AppendLine(newLine); for (int i = 3; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)Math.Pow(10, i); double[] factor = new double[3] { 0.5, 1, 2 }; for (int j = 0; j < 3; j++) { int NumberOfTimeSteps = (int)Math.Ceiling(factor[j] * 365 * Maturity); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings); System.Console.WriteLine("K={0}, T={1}, #Trials={2}, #TimeSteps={3}, rel_error={4}", StrikePrice, Maturity, NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm); newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm); csv.AppendLine(newLine); } } //Write to csv File.WriteAllText(@"./task4.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static void Task3() { // Variance Process Values Console.WriteLine("Task 3"); // 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[5] { 1, 2, 3, 4, 15 }; VarianceProcessParameters varParams = new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho); HestonModelParameters hestonModel = new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams); // ************Task 3 Print**************** System.Console.WriteLine("*********************"); HestonModelParamPrint(varParams, hestonModel); //Prepare csv var csv = new StringBuilder(); String newLine = string.Format("K, T, Price, refPrice"); csv.AppendLine(newLine); for (int i = 0; i < 5; i++) { // MC Simulation Params int NumberOfTrials = (int)1e5; int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]); EuropeanOption euOption = new EuropeanOption(StrikePrice, Type, Maturity[i]); MonteCarloSettings monteCarloSettings = new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps); double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption); double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings); System.Console.WriteLine("K={0}, T={1}, C_MC={2}, C_form={3}", StrikePrice, Maturity[i], price, priceForm); newLine = string.Format("{0}, {1}, {2}, {3}", StrikePrice, Maturity[i], price, priceForm); csv.AppendLine(newLine); } //Write to csv File.WriteAllText(@"./task3.csv", csv.ToString()); System.Console.WriteLine("*********************"); System.Console.WriteLine("\n\n"); }
public static object CalibrateHestonParameters(object guessModelParameters, double riskFreeRate, double underlyingPrice, object strikes, object maturities, object type, object observedPrices, double accuracy, int maxIterations, [ExcelArgument(Description = "Timeout set to 10 mins if not specified")] int timeOutInMinutes) { try { if (ExcelDnaUtil.IsInFunctionWizard()) { return(null); } if (timeOutInMinutes.Equals(0)) { timeOutInMinutes = 10; } double[] strikesArray = ConvertToVector <double>(strikes); double[] maturitiesArray = ConvertToVector <double>(maturities); string[] optTypeArray = ConvertToVector <string>(type); double[] observedPricesArray = ConvertToVector <double>(observedPrices); if (strikesArray.Length != maturitiesArray.Length || maturitiesArray.Length != optTypeArray.Length || optTypeArray.Length != observedPricesArray.Length) { // must improve error message display return(null); } HestonParametersGrading guessHestonModelParams = ParseParameters(guessModelParameters, underlyingPrice, riskFreeRate); if (guessHestonModelParams == null) { return(null); } int numObservedOptions = strikesArray.Length; var marketData = new OptionMarketDataGrading[numObservedOptions]; for (int optionIdx = 0; optionIdx < numObservedOptions; ++optionIdx) { marketData[optionIdx] = new OptionMarketDataGrading( new EuropeanOptionGrading( maturitiesArray[optionIdx], strikesArray[optionIdx], GetTypeOfVanillaEuropean(optTypeArray[optionIdx])), observedPricesArray[optionIdx]); } var calibrationSettings = new CalibrationSettingsGrading(accuracy, maxIterations); var task = Task.Run(() => { var result = Heston.CalibrateHestonParameters(guessHestonModelParams, marketData, calibrationSettings); const int numCols = 2; const int numRows = 7; object[,] output = new object[numRows, numCols]; output[0, 0] = "Kappa"; output[0, 1] = result.Parameters.VarianceParameters.Kappa; output[1, 0] = "Theta"; output[1, 1] = result.Parameters.VarianceParameters.Theta; output[2, 0] = "Sigma"; output[2, 1] = result.Parameters.VarianceParameters.Sigma; output[3, 0] = "Rho"; output[3, 1] = result.Parameters.VarianceParameters.Rho; output[4, 0] = "v0"; output[4, 1] = result.Parameters.VarianceParameters.V0; output[5, 0] = "Minimizer Status"; if (result.MinimizerStatus == CalibrationOutcome.FinishedOK) { output[5, 1] = "OK"; } else if (result.MinimizerStatus == CalibrationOutcome.FailedMaxItReached) { output[5, 1] = "Reached max. num. iterations."; } else if (result.MinimizerStatus == CalibrationOutcome.FailedOtherReason) { output[5, 1] = "Failed."; } else { output[5, 1] = "Unknown outcome."; } output[6, 0] = "Pricing error"; output[6, 1] = result.PricingError; return(output); }); if (task.Wait(TimeSpan.FromMinutes(timeOutInMinutes))) { return(task.Result); } else { throw new Exception($"Timed out ({timeOutInMinutes} mins)"); } } catch (Exception e) { return("CalibrateHestonParameters: unknown error: " + e.Message); } }