public VarianceGammaEngine(VarianceGammaProcess process) : this(NQuantLibcPINVOKE.new_VarianceGammaEngine(VarianceGammaProcess.getCPtr(process)), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) { throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); } }
public FFTVarianceGammaEngine(VarianceGammaProcess process, double logStrikeSpacing) : this(NQuantLibcPINVOKE.new_FFTVarianceGammaEngine__SWIG_0(VarianceGammaProcess.getCPtr(process), logStrikeSpacing), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) { throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); } }
static void Main(string[] args) { DateTime startTime = DateTime.Now; Option.Type optionType = Option.Type.Put; double underlyingPrice = 36; double strikePrice = 40; double dividendYield = 0.0; double riskFreeRate = 0.06; double volatility = 0.2; Date todaysDate = new Date(15, Month.May, 1998); Settings.instance().setEvaluationDate(todaysDate); Date settlementDate = new Date(17, Month.May, 1998); Date maturityDate = new Date(17, Month.May, 1999); Calendar calendar = new TARGET(); DateVector exerciseDates = new DateVector(4); for (int i = 1; i <= 4; i++) { Period forwardPeriod = new Period(3 * i, TimeUnit.Months); Date forwardDate = settlementDate.Add(forwardPeriod); exerciseDates.Add(forwardDate); } EuropeanExercise europeanExercise = new EuropeanExercise(maturityDate); BermudanExercise bermudanExercise = new BermudanExercise(exerciseDates); AmericanExercise americanExercise = new AmericanExercise(settlementDate, maturityDate); // bootstrap the yield/dividend/vol curves and create a // BlackScholesMerton stochastic process DayCounter dayCounter = new Actual365Fixed(); YieldTermStructureHandle flatRateTSH = new YieldTermStructureHandle( new FlatForward(settlementDate, riskFreeRate, dayCounter)); YieldTermStructureHandle flatDividendTSH = new YieldTermStructureHandle( new FlatForward(settlementDate, dividendYield, dayCounter)); BlackVolTermStructureHandle flatVolTSH = new BlackVolTermStructureHandle( new BlackConstantVol(settlementDate, calendar, volatility, dayCounter)); QuoteHandle underlyingQuoteH = new QuoteHandle(new SimpleQuote(underlyingPrice)); BlackScholesMertonProcess stochasticProcess = new BlackScholesMertonProcess(underlyingQuoteH, flatDividendTSH, flatRateTSH, flatVolTSH); PlainVanillaPayoff payoff = new PlainVanillaPayoff(optionType, strikePrice); // options VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise); VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise); VanillaOption americanOption = new VanillaOption(payoff, americanExercise); // report the parameters we are using ReportParameters(optionType, underlyingPrice, strikePrice, dividendYield, riskFreeRate, volatility, maturityDate); // write out the column headings ReportHeadings(); #region Analytic Formulas // Black-Scholes for European try { europeanOption.setPricingEngine( new AnalyticEuropeanEngine(stochasticProcess)); ReportResults("Black-Scholes", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Barone-Adesi and Whaley approximation for American try { americanOption.setPricingEngine( new BaroneAdesiWhaleyEngine(stochasticProcess)); ReportResults("Barone-Adesi/Whaley", null, null, americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Bjerksund and Stensland approximation for American try { americanOption.setPricingEngine( new BjerksundStenslandEngine(stochasticProcess)); ReportResults("Bjerksund/Stensland", null, null, americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Integral try { europeanOption.setPricingEngine( new IntegralEngine(stochasticProcess)); ReportResults("Integral", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } uint timeSteps = 801; // Finite differences try { europeanOption.setPricingEngine( new FDEuropeanEngine(stochasticProcess, timeSteps, timeSteps - 1)); bermudanOption.setPricingEngine( new FDBermudanEngine(stochasticProcess, timeSteps, timeSteps - 1)); americanOption.setPricingEngine( new FDAmericanEngine(stochasticProcess, timeSteps, timeSteps - 1)); ReportResults("Finite differences", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } //Variance Gamma try { VarianceGammaProcess vgProcess = new VarianceGammaProcess(underlyingQuoteH, flatDividendTSH, flatRateTSH, volatility, 0.01, 0.0 ); europeanOption.setPricingEngine( new VarianceGammaEngine(vgProcess)); ReportResults("Variance-Gamma", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } #endregion Analytic Formulas #region Binomial Methods // Binomial Jarrow-Rudd try { europeanOption.setPricingEngine( new BinomialJRVanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialJRVanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialJRVanillaEngine(stochasticProcess, timeSteps)); ReportResults("Binomial Jarrow-Rudd", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Cox-Ross-Rubinstein try { europeanOption.setPricingEngine( new BinomialCRRVanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialCRRVanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialCRRVanillaEngine(stochasticProcess, timeSteps)); ReportResults("Binomial Cox-Ross-Rubinstein", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Additive Equiprobabilities try { europeanOption.setPricingEngine( new BinomialEQPVanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialEQPVanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialEQPVanillaEngine(stochasticProcess, timeSteps)); ReportResults("Additive Equiprobabilities", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Trigeorgis try { europeanOption.setPricingEngine( new BinomialTrigeorgisVanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialTrigeorgisVanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialTrigeorgisVanillaEngine(stochasticProcess, timeSteps)); ReportResults("Binomial Trigeorgis", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Tian try { europeanOption.setPricingEngine( new BinomialTianVanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialTianVanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialTianVanillaEngine(stochasticProcess, timeSteps)); ReportResults("Binomial Tian", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Leisen-Reimer try { europeanOption.setPricingEngine( new BinomialLRVanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialLRVanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialLRVanillaEngine(stochasticProcess, timeSteps)); ReportResults("Binomial Leisen-Reimer", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Joshi try { europeanOption.setPricingEngine( new BinomialJ4VanillaEngine(stochasticProcess, timeSteps)); bermudanOption.setPricingEngine( new BinomialJ4VanillaEngine(stochasticProcess, timeSteps)); americanOption.setPricingEngine( new BinomialJ4VanillaEngine(stochasticProcess, timeSteps)); ReportResults("Binomial Joshi", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } #endregion Binomial Methods #region Monte Carlo Methods // quantlib appears to use max numeric (int and real) values to test for 'null' (or rather 'default') values // MC (crude) try { int mcTimeSteps = 1; int timeStepsPerYear = int.MaxValue; bool brownianBridge = false; bool antitheticVariate = false; int requiredSamples = int.MaxValue; double requiredTolerance = 0.02; int maxSamples = int.MaxValue; int seed = 42; europeanOption.setPricingEngine( new MCPREuropeanEngine(stochasticProcess, mcTimeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples, seed)); ReportResults("MC (crude)", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } // MC (Sobol) try { int mcTimeSteps = 1; int timeStepsPerYear = int.MaxValue; bool brownianBridge = false; bool antitheticVariate = false; int requiredSamples = 32768; // 2^15 double requiredTolerance = double.MaxValue; int maxSamples = int.MaxValue; int seed = 0; europeanOption.setPricingEngine( new MCLDEuropeanEngine(stochasticProcess, mcTimeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples, seed)); ReportResults("MC (Sobol)", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } #endregion Monte Carlo Methods DateTime endTime = DateTime.Now; TimeSpan delta = endTime - startTime; Console.WriteLine(); Console.WriteLine("Run completed in {0} s", delta.TotalSeconds); Console.WriteLine(); }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(VarianceGammaProcess obj) { return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr); }
public FFTVarianceGammaEngine(VarianceGammaProcess process) : this(NQuantLibcPINVOKE.new_FFTVarianceGammaEngine__SWIG_1(VarianceGammaProcess.getCPtr(process)), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(VarianceGammaProcess obj) { return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr; }