/// <summary>
/// Method for calibrating the heston model.
/// </summary>
/// <param name="guessModelParameters">Object implementing IHestonModelParameters interface containing the risk-free rate, initial stock price
/// and initial guess parameters to be used in the calibration.</param>
/// <param name="referenceData">A collection of objects implementing IOptionMarketData<IEuropeanOption> interface. These should contain the reference data used for calibration.</param>
/// <param name="calibrationSettings">An object implementing ICalibrationSettings interface.</param>
/// <returns>Object implementing IHestonCalibrationResult interface which contains calibrated model parameters and additional diagnostic information</returns>
public static IHestonCalibrationResult CalibrateHestonParameters(IHestonModelParameters guessModelParameters, IEnumerable <IOptionMarketData <IEuropeanOption> > referenceData, ICalibrationSettings calibrationSettings)
{
try
{
// Copy Linked List
LinkedList <OptionMarketData <EuropeanOption> > data =
new LinkedList <OptionMarketData <EuropeanOption> >();
foreach (OptionMarketData <IEuropeanOption> marketData in referenceData)
{
OptionMarketData <EuropeanOption> newMarketData =
new OptionMarketData <EuropeanOption>((EuropeanOption)marketData.Option, marketData.Price);
data.AddLast(newMarketData);
}
// Heston Calibrator
HestonCalibrator calibrator =
new HestonCalibrator((HestonModelParameters)guessModelParameters,
data,
(CalibrationSettings)calibrationSettings);
// Calibration procedure
calibrator.Calibrate();
// Retrieve outcome
double error = 0;
CalibrationOutcome outcome = CalibrationOutcome.NotStarted;
calibrator.GetCalibrationStatus(ref outcome, ref error);
HestonModelParameters parameters = calibrator.GetCalibratedModel();
// Form calibration result object
HestonCalibrationResult result = new HestonCalibrationResult(error, outcome, parameters);
return(result);
}
catch (Exception ex)
{
throw ex;
}
}
public void PriceOption()
{
// le mock de la volatilé,
Mock <Volatility> volMock = new Mock <Volatility>();
volMock.Setup(x => x.Vol()).Returns(0.25); // utilsation des linq lambda expression.
var maturity = DateTime.Parse("01/5/2019");
var paramDate = DateTime.Now;
var option = new OptionInstrument(100, maturity);
var optionData = new OptionMarketData(120, paramDate, 0.05, volMock.Object.Vol());
var pricer = new OptionPricer(option, optionData);
var prix = 0.0;
Assert.AreEqual(prix, 0);
}
public void Task_2_5()
{
// 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 = 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 <OptionMarketData <EuropeanOption> > observedOptions =
new LinkedList <OptionMarketData <EuropeanOption> >();
EuropeanOption eu1 = new EuropeanOption(80, PayoffType.Call, 1);
OptionMarketData <EuropeanOption> marketData1 =
new OptionMarketData <EuropeanOption>(eu1, 25.72);
observedOptions.AddLast(marketData1);
EuropeanOption eu2 = new EuropeanOption(90, PayoffType.Call, 1);
OptionMarketData <EuropeanOption> marketData2 =
new OptionMarketData <EuropeanOption>(eu2, 18.93);
observedOptions.AddLast(marketData2);
EuropeanOption eu3 = new EuropeanOption(80, PayoffType.Call, 2);
OptionMarketData <EuropeanOption> marketData3 =
new OptionMarketData <EuropeanOption>(eu3, 30.49);
observedOptions.AddLast(marketData3);
EuropeanOption eu4 = new EuropeanOption(100, PayoffType.Call, 2);
OptionMarketData <EuropeanOption> marketData4 =
new OptionMarketData <EuropeanOption>(eu4, 19.36);
observedOptions.AddLast(marketData4);
EuropeanOption eu5 = new EuropeanOption(100, PayoffType.Call, 1.5);
OptionMarketData <EuropeanOption> marketData5 =
new OptionMarketData <EuropeanOption>(eu5, 16.58);
observedOptions.AddLast(marketData5);
// Heston Calibrator
HestonCalibrator calibrator = new HestonCalibrator(hestonModel, observedOptions, calibrationSettings);
calibrator.Calibrate();
double error = 0;
CalibrationOutcome outcome = CalibrationOutcome.NotStarted;
calibrator.GetCalibrationStatus(ref outcome, ref error);
Console.WriteLine("Calibration outcome: {0} and error: {1}", outcome, error);
}
private List<OptionMarketData> GetOptionsMarketData(string filePath)
{
List<OptionMarketData> resultList = new List<OptionMarketData>();
string line;
System.IO.StreamReader file = new System.IO.StreamReader(filePath);
while ((line = file.ReadLine()) != null)
{
string[] tokens = line.Split(';');
string symbol = tokens[0];
OptionType optionType = (tokens[1].Equals("C")) ? OptionType.Call : OptionType.Put;
double strike = Double.Parse(tokens[2], CultureInfo.InvariantCulture);
DateTime maturity = DateTime.ParseExact(tokens[3], "yyyyMMdd", null);
OptionInfo optionInfo = new OptionInfo(symbol, string.Empty, optionType, strike, maturity);
double? bid = null;
double? bidSize = null;
double? ask = null;
double? askSize = null;
if (tokens[4] != string.Empty) bid = Double.Parse(tokens[4], CultureInfo.InvariantCulture);
if (tokens[5] != string.Empty) bidSize = Double.Parse(tokens[5], CultureInfo.InvariantCulture);
if (tokens[6] != string.Empty) ask = Double.Parse(tokens[6], CultureInfo.InvariantCulture);
if (tokens[7] != string.Empty) askSize = Double.Parse(tokens[7], CultureInfo.InvariantCulture);
OrderBook orderBook = new OrderBook(symbol, bid, ask, bidSize, askSize);
OptionMarketData marketData = new OptionMarketData(optionInfo, orderBook);
resultList.Add(marketData);
}
file.Close();
return resultList;
}
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);
}
/// <summary>
/// Add new market data.
/// </summary>
/// <param name="euOption">European option.</param>
/// <param name="price">European option Price</param>
public void AddObservedOption(EuropeanOption euOption, double price)
{
OptionMarketData <EuropeanOption> newMarketOption = new OptionMarketData <EuropeanOption>(euOption, price);
marketOptionsList.AddLast(newMarketOption);
}
