public void Test()
{
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 50000;
int n_steps = 512;
double strike = 100.0;
double tau = 5.0;
double rate = 0.1;
double dy = 0.07;
ModelParameter pStrike = new ModelParameter(strike, "strike");
pStrike.VarName = "strike";
rov.Symbols.Add(pStrike);
ModelParameter pRate = new ModelParameter(rate, "rfrate");
pRate.VarName = "rfrate";
rov.Symbols.Add(pRate);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
HestonProcess process = new HestonProcess();
process.r = (ModelParameter)rate;
process.q = (ModelParameter)dy;
process.k = (ModelParameter)2.5;
process.theta = (ModelParameter)0.4;
process.sigma = (ModelParameter)0.2;
process.S0 = (ModelParameter)100.0;
process.V0 = (ModelParameter)0.3;
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1a)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)tau;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
Console.WriteLine(rov.m_RuntimeErrorList[0]);
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
// Calculates the theoretical value of the call.
Vector param = new Vector(5);
param[0] = process.k.V();
param[1] = process.theta.V();
param[2] = process.sigma.V();
param[3] = 0.0;
param[4] = process.V0.V();
HestonCall hestonCall = new HestonCall();
double thPrice = hestonCall.HestonCallPrice(param, process.S0.V(),
tau, strike, rate, dy);
Console.WriteLine("Theoretical Price = " + thPrice.ToString());
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.Less(Math.Abs(thPrice - samplePrice), tol);
}
public void Test()
{
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 50000;
int n_steps = 512;
double strike = 100.0;
double tau = 5.0;
double rate = 0.1;
double dy = 0.07;
ModelParameter pStrike = new ModelParameter(strike, "strike");
pStrike.VarName = "strike";
rov.Symbols.Add(pStrike);
ModelParameter pRate = new ModelParameter(rate, "rfrate");
pRate.VarName = "rfrate";
rov.Symbols.Add(pRate);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
HestonProcess process = new HestonProcess();
process.r = (ModelParameter)rate;
process.q = (ModelParameter)dy;
process.k = (ModelParameter)2.5;
process.theta = (ModelParameter)0.4;
process.sigma = (ModelParameter)0.2;
process.S0 = (ModelParameter)100.0;
process.V0 = (ModelParameter)0.3;
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1a)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)tau;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
Console.WriteLine(rov.m_RuntimeErrorList[0]);
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
// Calculates the theoretical value of the call.
Vector param = new Vector(5);
param[0] = process.k.V();
param[1] = process.theta.V();
param[2] = process.sigma.V();
param[3] = 0.0;
param[4] = process.V0.V();
HestonCall hestonCall = new HestonCall();
double thPrice = hestonCall.HestonCallPrice(param, process.S0.V(),
tau, strike, rate, dy);
Console.WriteLine("Theoretical Price = " + thPrice.ToString());
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.Less(Math.Abs(thPrice - samplePrice), tol);
}