| public static Calculate ( double t1, double t2, double simEnd, int numSim, int numSteps, double &val, double &stDev ) : void | ||
| t1 | double | |
| t2 | double | |
| simEnd | double | |
| numSim | int | |
| numSteps | int | |
| val | double | |
| stDev | double | |
| return | void | |
public void Test()
{
// Try several different simulation dates with the same bound.
double mcDevST;
int numTries = 21;
double min, max, val;
min = 0.0;
max = 2.0;
Vector timeVector = Vector.Linspace(min, max, numTries);
Vector priceVector = new Vector(numTries);
for (int j = 0; j < numTries; j++)
{
PelsserBond.Calculate(0.0, 1.0, timeVector[j], 10000, 100, out val, out mcDevST);
priceVector[j] = val;
}
// The benchmark value with 35000 paths
double theoreticalValue = 0.95121;
Console.WriteLine("Benchmark Bond = " + theoreticalValue);
Console.WriteLine("Fairmat Bond = ");
for (int j = 0; j < numTries; j++)
{
Console.WriteLine("Simulation Time = " + timeVector[j] + "\t Bond Price = " + priceVector[j]);
}
}
public void Test()
{
// Comparison with the benchmark of the expected value of P(5,6)
double mcPrice;
double mcDevST;
PelsserBond.Calculate(5.0, 6.0, 6.0, 100000, 200, out mcPrice, out mcDevST);
// The benchmark value with 35000 paths
// double theoreticalValue = 0.95109;
double RightValue = 0.951276263137499;
Console.WriteLine("Benchmark Bond = " + RightValue);
Console.WriteLine("Fairmat Bond = " + mcPrice);
Console.WriteLine("Standard Deviation = " + mcDevST);
double tol = 5.0 * mcDevST;
Assert.Less(Math.Abs(RightValue - mcPrice), tol);
}
protected bool Run(double h)
{
// Try several different simulation dates with the same bond.
double mcDevST;
double val;
PelsserBond.Calculate(0.0, 1.0, h, 10000, 100, out val, out mcDevST);
double theoreticalValue = 0.951228651454765;
double diff = theoreticalValue - val;
Console.WriteLine("Simulation horizon\t" + h);
Console.WriteLine("Diff:\t" + (100 * diff / theoreticalValue) + "%");
if (Math.Abs(diff) > 10e-6)
{
return(false);
}
return(true);
}