/// <summary>
/// Results for Figure 2 of Task 2.4
/// </summary>
public static void GraphError()
{
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3, 4, 15 };
int steps = 365;
double priceHeston = new double();
double[] pricing = new double[7];
int paths = new int();
double price = new double();
HestonPricing heston = new HestonPricing(kappa, theta, sigma, rho, v);
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
for (int i = 0; i < Ts.Length; i++)
{
paths = 1;
priceHeston = heston.HestonOption(r, Ts[i], S, K, PayoffType.Call);
for (int j = 1; j < 6; j++)
{
paths *= 10;
pricing[j] = 0;
for (int k = 0; k < 6; k++)
{
price = mc.HestonEuropeanOptionMC(r, Ts[i], S, K, paths, PayoffType.Call);
}
pricing[j] += Math.Abs(priceHeston - price) / 5;
}
Console.WriteLine("{0} {1} {2} {3} {4} {5}", Ts[i], pricing[1], pricing[2], pricing[3], pricing[4], pricing[5]);
}
}
/// <summary>
/// Results for Table and Figure 1 of Task 2.2
/// </summary>
public static void TestConcordance()
{
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3, 4, 15 };
int steps = 365;
double[] pricing = new double[7];
int paths = new int();
HestonPricing heston = new HestonPricing(kappa, theta, sigma, rho, v);
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
for (int i = 0; i < Ts.Length; i++)
{
paths = 1;
pricing[0] = heston.HestonOption(r, Ts[i], S, K, PayoffType.Call);
for (int j = 1; j < 6; j++)
{
paths *= 10;
pricing[j] = mc.HestonEuropeanOptionMC(r, Ts[i], S, K, paths, PayoffType.Call);
}
Console.WriteLine("{0} & {1} & {2} & {3} & {4} & {5} & {6} & {7} & {8} & {9} & {10} & {11} & {12} & {13}",
Ts[i], Math.Round(pricing[0], 3), Math.Round(pricing[1], 3), Math.Round(Math.Abs(pricing[0] - pricing[1]), 3), Math.Round(pricing[2], 3),
Math.Round(Math.Abs(pricing[0] - pricing[2]), 3), Math.Round(pricing[3], 3), Math.Round(Math.Abs(pricing[0] - pricing[3]), 3),
Math.Round(pricing[4], 3), Math.Round(Math.Abs(pricing[0] - pricing[4]), 3), Math.Round(pricing[5], 3),
Math.Round(Math.Abs(pricing[0] - pricing[5]), 3));
}
}
/// <summary>
/// Heston Pricing, Task 2.2
/// </summary>
public static void TestHestonPricing()
{
double r = 0.025;
double theta = 0.0398;
double kappa = 1.5768;
double sigma = 0.5751;
double rho = -0.5711;
double v = 0.0175;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3, 4, 15 };
Console.WriteLine("Testing Heston Pricing...");
HestonPricing heston = new HestonPricing(kappa, theta, sigma, rho, v);
double pricing = new double();
for (int i = 0; i < Ts.Length; i++)
{
pricing = heston.HestonOption(r, Ts[i], S, K, PayoffType.Call);
Console.WriteLine("Price for maturity T={0} is c={1}", Ts[i], pricing);
}
}