public void RecombineNodesInTree()
{
var tree = new CapmBinTree(4);
var node2 = tree.GetUpDependantNode(tree.GetRootNode());
var node3 = tree.GetDownDependantNode(tree.GetRootNode());
Assert.AreEqual(2, node2.NodeIndex);
Assert.AreEqual(3, node3.NodeIndex);
var node5A = tree.GetDownDependantNode(node2);
var node5B = tree.GetUpDependantNode(node3);
Assert.AreSame(node5A, node5B);
}
private static void SingleConvergeTest()
{
int numberOfSteps = 2000;
var tree = new CapmBinTree(numberOfSteps);
tree.InitialStockPrice = 100;
tree.Volatility = 0.2;
tree.StrikePrice = 105;
tree.TotalTimeYears = 0.5;
tree.RiskFree = 0.03;
tree.MarketRiskPremium = 0.06;
tree.StockBeta = 1;
// B&S = call: 4.17 (con strike =105)
double callPriceBS = BlackScholes.CallPrice((double)tree.InitialStockPrice,
(double)tree.StrikePrice,
(double)tree.TotalTimeYears,
(double)tree.RiskFree,
(double)tree.Volatility);
Console.WriteLine("call B&S: " + callPriceBS.ToString("##0.######"));
tree.CalculateStockPrices();
tree.CalculateOptionPrices();
Console.WriteLine();
//OutputTree(tree, delegate(BinTree.Node node) { return node.StockPrice.ToString("##0.##"); });
Console.WriteLine("call: " + tree.GetRootNode().OptionPrice.ToString("##0.######"));
}
private static void IterateByAmountOfSteps()
{
double InitialStockPrice = 100;
double Volatility = 0.2;
double StrikePrice = 105;
double TotalTimeYears = 0.5;
double RiskFree = 0.03;
double MarketRiskPremium = 0.06;
double StockBeta = 1;
double callPriceBS = BlackScholes.CallPrice((double)InitialStockPrice,
(double)StrikePrice,
(double)TotalTimeYears,
(double)RiskFree,
(double)Volatility);
int minNumberOfSteps = 7000;
int maxNumberOfSteps = 9000;
bool createHeaders = !File.Exists("output.csv");
using (var writer = new StreamWriter("output.csv", true))
{
if (createHeaders)
{
writer.WriteLine("Steps,CallValueBS,CallValueCAPM");
}
var tree = new CapmBinTree(maxNumberOfSteps);
tree.InitialStockPrice = InitialStockPrice;
tree.Volatility = Volatility;
tree.StrikePrice = StrikePrice;
tree.TotalTimeYears = TotalTimeYears;
tree.RiskFree = RiskFree;
tree.MarketRiskPremium = MarketRiskPremium;
tree.StockBeta = StockBeta;
for (int steps = minNumberOfSteps; steps < maxNumberOfSteps; steps += (int)Math.Pow(Math.Log10(steps), 3))
{
tree.NumberOfSteps = steps;
tree.ResetTreeParameterCalcs();
tree.CalculateStockPrices();
tree.CalculateOptionPrices();
writer.WriteLine(steps + "," + callPriceBS.ToString("##0.#############################") +
", " + tree.GetRootNode().OptionPrice.ToString("##0.#############################"));
writer.Flush();
Console.WriteLine("Step Number: " + steps);
}
}
}
