public LocalVolSurface(BlackVolTermStructureHandle blackTS, YieldTermStructureHandle riskFreeTS, YieldTermStructureHandle dividendTS, double underlying) : this(NQuantLibcPINVOKE.new_LocalVolSurface__SWIG_1(BlackVolTermStructureHandle.getCPtr(blackTS), YieldTermStructureHandle.getCPtr(riskFreeTS), YieldTermStructureHandle.getCPtr(dividendTS), underlying), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BlackProcess(QuoteHandle s0, YieldTermStructureHandle riskFreeTS, BlackVolTermStructureHandle volTS) : this(NQuantLibcPINVOKE.new_BlackProcess(QuoteHandle.getCPtr(s0), YieldTermStructureHandle.getCPtr(riskFreeTS), BlackVolTermStructureHandle.getCPtr(volTS)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BlackVolTermStructureHandle blackVolatility()
{
BlackVolTermStructureHandle ret = new BlackVolTermStructureHandle(NQuantLibcPINVOKE.GeneralizedBlackScholesProcess_blackVolatility(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
private void Button_Click(object sender, RoutedEventArgs e)
{
Option.Type optionType;
if (CallorPut.Text == "Call")
{
optionType = Option.Type.Call;
}
else
{
optionType = Option.Type.Put;
}
double underlyingPrice = Convert.ToDouble(Stockprice.Text);
double strikePrice = Convert.ToDouble(Strikeprice.Text);
double dividendYield = 0.0;
double riskFreeRate = Convert.ToDouble(Intrate.Text);
double volatility = Convert.ToDouble(Resultvol.Text) / 100;
Date todaydate = Date.todaysDate();
string expd = Datepick.Text;
Date maturityDate = new Date();
if (expd[1].ToString() is "/")
{
expd = '0' + expd;
}
if (expd[4].ToString() is "/")
{
expd = expd.Substring(0, 3) + '0' + expd.Substring(3);
}
maturityDate = DateParser.parseFormatted(expd, "%m/%d/%Y");
Settings.instance().setEvaluationDate(todaydate);
Date settlementDate = new Date();
settlementDate = todaydate;
QuantLib.Calendar calendar = new TARGET();
AmericanExercise americanExercise =
new AmericanExercise(settlementDate, maturityDate);
EuropeanExercise europeanExercise =
new EuropeanExercise(maturityDate);
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);
VanillaOption americanOption =
new VanillaOption(payoff, americanExercise);
VanillaOption americanOption2 =
new VanillaOption(payoff, americanExercise);
VanillaOption europeanOption =
new VanillaOption(payoff, europeanExercise);
//americanOption.setPricingEngine(
// new BaroneAdesiWhaleyEngine(stochasticProcess));
//americanOption2.setPricingEngine(
// new BinomialVanillaEngine(stochasticProcess, "coxrossrubinstein",1000));
europeanOption.setPricingEngine(
new AnalyticEuropeanEngine(stochasticProcess));
//double opprice = Math.Round(americanOption2.NPV(),3);
Date divdate1 = new Date(14, Month.December, 2019);
DoubleVector divpay = new DoubleVector();
DateVector divDates = new DateVector();
//divpay.Add(.0001);
//divDates.Add(divdate1);
DividendVanillaOption americanOption1 = new DividendVanillaOption(payoff, americanExercise, divDates, divpay);
FDDividendAmericanEngine engine = new FDDividendAmericanEngine(stochasticProcess);
americanOption1.setPricingEngine(engine);
double opprice4 = americanOption1.NPV();
//double vol1 = americanOption1.impliedVolatility(opprice4, stochasticProcess, .001);
double delta1 = Math.Round(americanOption1.delta(), 2);
double gamma1 = Math.Round(americanOption1.gamma(), 2);
double theta1 = Math.Round(europeanOption.theta() / 365, 2);
double vega1 = Math.Round(europeanOption.vega() / 100, 2);
double oppricedisplay = Math.Round(opprice4, 3);
Resultam.Text = oppricedisplay.ToString();
Resultam_Delta.Text = delta1.ToString();
Resultam_Gamma.Text = gamma1.ToString();
Resultam_Theta.Text = theta1.ToString();
Resultam_Vega.Text = vega1.ToString();
}
public Merton76Process(QuoteHandle stateVariable, YieldTermStructureHandle dividendTS, YieldTermStructureHandle riskFreeTS, BlackVolTermStructureHandle volTS, QuoteHandle jumpIntensity, QuoteHandle meanLogJump, QuoteHandle jumpVolatility) : this(NQuantLibcPINVOKE.new_Merton76Process(QuoteHandle.getCPtr(stateVariable), YieldTermStructureHandle.getCPtr(dividendTS), YieldTermStructureHandle.getCPtr(riskFreeTS), BlackVolTermStructureHandle.getCPtr(volTS), QuoteHandle.getCPtr(jumpIntensity), QuoteHandle.getCPtr(meanLogJump), QuoteHandle.getCPtr(jumpVolatility)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackVolTermStructureHandle obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public static string eqInstAmericanOptionBaroneAdesiWhaley(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type ")] string optype,
[ExcelArgument(Description = "Spot price ")] double underlyingprice,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime date,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "dividend/convenience rate ")] double dividendrate,
[ExcelArgument(Description = "Black-Scholes Vol ")] double volatility,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (date == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
Option.Type optiontype;
if (optype.ToUpper() == "CALL")
{
optiontype = Option.Type.Call;
}
else if (optype.ToUpper() == "PUT")
{
optiontype = Option.Type.Put;
}
else
{
throw new Exception("Unknow option type");
}
EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter);
EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(date);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
AmericanExercise americanExercise = new AmericanExercise(today, maturitydate);
QuoteHandle underlyingQuoteH = new QuoteHandle(new EliteQuant.SimpleQuote(underlyingprice));
YieldTermStructureHandle flatRateTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
YieldTermStructureHandle flatDividendTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, dividendrate, dc));
BlackVolTermStructureHandle flatVolTSH = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, volatility, dc));
BlackScholesMertonProcess stochasticProcess = new BlackScholesMertonProcess(underlyingQuoteH,
flatDividendTSH, flatRateTSH, flatVolTSH);
PlainVanillaPayoff payoff = new PlainVanillaPayoff(optiontype, stirkeprice);
VanillaOption europeanOption = new VanillaOption(payoff, americanExercise);
europeanOption.setPricingEngine(new BaroneAdesiWhaleyEngine(stochasticProcess));
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, europeanOption, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public GarmanKohlagenProcess(QuoteHandle s0, YieldTermStructureHandle foreignRiskFreeTS, YieldTermStructureHandle domesticRiskFreeTS, BlackVolTermStructureHandle volTS) : this(NQuantLibcPINVOKE.new_GarmanKohlagenProcess(QuoteHandle.getCPtr(s0), YieldTermStructureHandle.getCPtr(foreignRiskFreeTS), YieldTermStructureHandle.getCPtr(domesticRiskFreeTS), BlackVolTermStructureHandle.getCPtr(volTS)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public QuantoForwardEuropeanEngine(GeneralizedBlackScholesProcess process, YieldTermStructureHandle foreignRiskFreeRate, BlackVolTermStructureHandle exchangeRateVolatility, QuoteHandle correlation) : this(NQuantLibcPINVOKE.new_QuantoForwardEuropeanEngine(GeneralizedBlackScholesProcess.getCPtr(process), YieldTermStructureHandle.getCPtr(foreignRiskFreeRate), BlackVolTermStructureHandle.getCPtr(exchangeRateVolatility), QuoteHandle.getCPtr(correlation)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public BlackVolTermStructureHandle blackVolatility() {
BlackVolTermStructureHandle ret = new BlackVolTermStructureHandle(NQuantLibcPINVOKE.GeneralizedBlackScholesProcess_blackVolatility(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public Merton76Process(QuoteHandle stateVariable, YieldTermStructureHandle dividendTS, YieldTermStructureHandle riskFreeTS, BlackVolTermStructureHandle volTS, QuoteHandle jumpIntensity, QuoteHandle meanLogJump, QuoteHandle jumpVolatility) : this(NQuantLibcPINVOKE.new_Merton76Process(QuoteHandle.getCPtr(stateVariable), YieldTermStructureHandle.getCPtr(dividendTS), YieldTermStructureHandle.getCPtr(riskFreeTS), BlackVolTermStructureHandle.getCPtr(volTS), QuoteHandle.getCPtr(jumpIntensity), QuoteHandle.getCPtr(meanLogJump), QuoteHandle.getCPtr(jumpVolatility)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public GarmanKohlagenProcess(QuoteHandle s0, YieldTermStructureHandle foreignRiskFreeTS, YieldTermStructureHandle domesticRiskFreeTS, BlackVolTermStructureHandle volTS) : this(NQuantLibcPINVOKE.new_GarmanKohlagenProcess(QuoteHandle.getCPtr(s0), YieldTermStructureHandle.getCPtr(foreignRiskFreeTS), YieldTermStructureHandle.getCPtr(domesticRiskFreeTS), BlackVolTermStructureHandle.getCPtr(volTS)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public static string eqInstSpreadOptionMonteCarlo(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type (Call/Put) ")] string optype,
[ExcelArgument(Description = "Spot price leg 1")] double spot1,
[ExcelArgument(Description = "Spot price leg 2")] double spot2,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime exdate,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "Black-Scholes Vol for leg 1 ")] double vol1,
[ExcelArgument(Description = "Black-Scholes Vol for leg 2 ")] double vol2,
[ExcelArgument(Description = "correlation between leg 1 and leg 2 ")] double corr,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "Pseudorandom (pr) or lowdiscrepancy (ld) ")] string traits,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (exdate == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
if (ExcelUtil.isNull(traits))
{
traits = "pr";
}
Option.Type optiontype;
if (optype.ToUpper() == "CALL")
{
optiontype = Option.Type.Call;
}
else if (optype.ToUpper() == "PUT")
{
optiontype = Option.Type.Put;
}
else
{
throw new Exception("Unknow option type");
}
EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter);
EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(exdate);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
YieldTermStructureHandle rTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
BlackVolTermStructureHandle flatVolTSH1 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol1, dc));
BlackVolTermStructureHandle flatVolTSH2 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol2, dc));
Quote qh1 = new SimpleQuote(spot1);
Quote qh2 = new SimpleQuote(spot2);
QuoteHandle s1 = new QuoteHandle(qh1);
QuoteHandle s2 = new QuoteHandle(qh2);
BlackProcess p1 = new BlackProcess(s1, rTSH, flatVolTSH1);
BlackProcess p2 = new BlackProcess(s2, rTSH, flatVolTSH2);
StochasticProcessVector spv = new StochasticProcessVector(2);
spv.Add(p1);
spv.Add(p2);
Matrix corrmtrx = new Matrix(2, 2);
corrmtrx.set(0, 0, 1.0); corrmtrx.set(1, 1, 1.0);
corrmtrx.set(0, 1, corr); corrmtrx.set(1, 0, corr);
StochasticProcessArray spa = new StochasticProcessArray(spv, corrmtrx);
PricingEngine engine = new MCEuropeanBasketEngine(spa, traits, 100, 1, false, true, 5000, 1e-6);
Payoff payoff1 = new PlainVanillaPayoff(optiontype, stirkeprice);
Payoff payoff2 = new SpreadBasketPayoff(payoff1);
Exercise exercise = new EuropeanExercise(maturitydate);
BasketOption bo = new BasketOption(payoff2, exercise);
bo.setPricingEngine(engine);
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, bo, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
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();
}
public BlackProcess(QuoteHandle s0, YieldTermStructureHandle riskFreeTS, BlackVolTermStructureHandle volTS) : this(NQuantLibcPINVOKE.new_BlackProcess(QuoteHandle.getCPtr(s0), YieldTermStructureHandle.getCPtr(riskFreeTS), BlackVolTermStructureHandle.getCPtr(volTS)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public QuantoEuropeanEngine(GeneralizedBlackScholesProcess process, YieldTermStructureHandle foreignRiskFreeRate, BlackVolTermStructureHandle exchangeRateVolatility, QuoteHandle correlation) : this(NQuantLibcPINVOKE.new_QuantoEuropeanEngine(GeneralizedBlackScholesProcess.getCPtr(process), YieldTermStructureHandle.getCPtr(foreignRiskFreeRate), BlackVolTermStructureHandle.getCPtr(exchangeRateVolatility), QuoteHandle.getCPtr(correlation)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public GeneralizedBlackScholesProcess(QuoteHandle x0, YieldTermStructureHandle dividendTS, YieldTermStructureHandle riskFreeTS, BlackVolTermStructureHandle blackVolTS, LocalVolTermStructureHandle localVolTS) : this(NQuantLibcPINVOKE.new_GeneralizedBlackScholesProcess__SWIG_1(QuoteHandle.getCPtr(x0), YieldTermStructureHandle.getCPtr(dividendTS), YieldTermStructureHandle.getCPtr(riskFreeTS), BlackVolTermStructureHandle.getCPtr(blackVolTS), LocalVolTermStructureHandle.getCPtr(localVolTS)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackVolTermStructureHandle obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
const int xSteps = 100;
const int tSteps = 25;
const int dampingSteps = 0;
Date today = new Date(15, Month.January, 2020);
Settings.instance().setEvaluationDate(today);
DayCounter dc = new Actual365Fixed();
YieldTermStructureHandle rTS = new YieldTermStructureHandle(
new FlatForward(today, 0.06, dc));
YieldTermStructureHandle qTS = new YieldTermStructureHandle(
new FlatForward(today, 0.02, dc));
const double strike = 110.0;
StrikedTypePayoff payoff = new PlainVanillaPayoff(Option.Type.Put, strike);
Date maturityDate = today.Add(new Period(1, TimeUnit.Years));
double maturity = dc.yearFraction(today, maturityDate);
Exercise exercise = new AmericanExercise(today, maturityDate);
Instrument vanillaOption = new VanillaOption(payoff, exercise);
QuoteHandle spot = new QuoteHandle(new SimpleQuote(100.0));
BlackVolTermStructureHandle volatility = new BlackVolTermStructureHandle(
new BlackConstantVol(today, new TARGET(), 0.20, dc));
BlackScholesMertonProcess process =
new BlackScholesMertonProcess(spot, qTS, rTS, volatility);
vanillaOption.setPricingEngine(new FdBlackScholesVanillaEngine(
process, tSteps, xSteps, dampingSteps));
double expected = vanillaOption.NPV();
// build an PDE engine from scratch
Fdm1dMesher equityMesher = new FdmBlackScholesMesher(
xSteps, process, maturity, strike,
nullDouble(), nullDouble(), 0.0001, 1.5,
new DoublePair(strike, 0.1));
FdmMesherComposite mesher = new FdmMesherComposite(equityMesher);
FdmLinearOpComposite op = new FdmBlackScholesOp(mesher, process, strike);
FdmInnerValueCalculator calc = new FdmLogInnerValue(payoff, mesher, 0);
QlArray x = new QlArray(equityMesher.size());
QlArray rhs = new QlArray(equityMesher.size());
FdmLinearOpIterator iter = mesher.layout().begin();
for (uint i = 0; i < rhs.size(); ++i, iter.increment())
{
x.set(i, mesher.location(iter, 0));
rhs.set(i, calc.avgInnerValue(iter, maturity));
}
FdmBoundaryConditionSet bcSet = new FdmBoundaryConditionSet();
FdmStepConditionComposite stepCondition =
FdmStepConditionComposite.vanillaComposite(
new DividendSchedule(), exercise, mesher, calc, today, dc);
FdmLinearOpComposite proxyOp = new FdmLinearOpCompositeProxy(
new FdmBSDelegate(op));
FdmBackwardSolver solver = new FdmBackwardSolver(
proxyOp, bcSet, stepCondition, FdmSchemeDesc.Douglas());
solver.rollback(rhs, maturity, 0.0, tSteps, dampingSteps);
double logS = Math.Log(spot.value());
double calculated = new CubicNaturalSpline(x, rhs).call(logS);
Console.WriteLine("Homebrew PDE engine : {0:0.0000}", calculated);
Console.WriteLine("FdBlackScholesVanillaEngine: {0:0.0000}", expected);
}
