/// <summary>
/// the whole process to calculate
/// </summary>
/// <param name="S">Initial Stock Price</param>
/// <param name="r">Risk Free Rate</param>
/// <param name="T">Maturity</param>
/// <param name="nv">parameter in model</param>
/// <param name="k">parameter in model</param>
/// <param name="theta">parameter in model</param>
/// <param name="rho">parameter in model</param>
/// <param name="sigma">parameter in model</param>
/// <param name="N">Number Of Time Steps</param>
/// <param name="n">Number Of Trials</param>
/// <returns>the price of look back option</returns>
public double CalculateLookbackCallOptionPrice(double S, double r, double T, double nv, double k, double theta, double rho, double sigma, int N, int n)
{
if (S <= 0 || T <= 0)
{
throw new System.ArgumentException("Need S, K, T > 0");
}
if (2.0 * k * theta <= sigma * sigma)
{
throw new System.ArgumentException("need to meet Feller condition");
}
else
{
double Priceitself = 0.0;
double[] callprice = new double[n];
for (int i = 0; i < n; i++)
{
callprice[i] = Math.Exp(-r * T) * (GeneratePath.Generateallpath(S, r, T, nv, k, theta, rho, sigma /*, tau*/, N, n)[N] - GeneratePath.Generateallpath(S, r, T, nv, k, theta, rho, sigma, N, n).Min());
}
for (int j = 0; j < n; j++)
{
Priceitself = Priceitself + callprice[j];
}
return(Priceitself / n);
}
}
/// <summary>
/// For how to calculate the European option price by MC
/// </summary>
/// <param name="S">Initial Stock Price</param>
/// <param name="r">Risk Free Rate</param>
/// <param name="T">Maturity</param>
/// <param name="nv">parameter in model</param>
/// <param name="k">parameter in model</param>
/// <param name="theta">parameter in model</param>
/// <param name="rho">parameter in model</param>
/// <param name="sigma">parameter in model</param>
/// <param name="N">Number Of Time Steps</param>
/// <param name="n">Number Of Trials</param>
/// <returns>the price we generating from Monte Carlo method</returns>
public double CalculateEuropeanCallOptionPrice(double S, double K, double r, double T, double nv, double k, double theta, double rho, double sigma, int N, int n)
{
if (S <= 0 || K <= 0 || T <= 0)
{
throw new System.ArgumentException("Need S, K, T > 0");
}
if (2 * k * theta <= sigma * sigma)
{
throw new System.ArgumentException("need to meet Feller condition");
}
else
{
double[] callprice = new double[n];
for (int i = 0; i < n; i++)
{
callprice[i] = GeneratePath.Generateallpath(S, r, T, nv, k, theta, rho, sigma, N, n)[N];
}
double Price = 0.0;
int j = 0;
double[] aaa = new double[n];
for (j = 0; j < n; j++)
{
Price = Price + Math.Exp(-r * T) * Math.Max(callprice[j] - K, 0);
aaa[j] = Math.Max(callprice[j] - K, 0);
}
return(Price / n);
}
}
public double CalculateAsianPutOptionPrice(double S, double K, double r, IEnumerable <double> T, double exerciseT, double nv, double k, double theta, double rho, double sigma, int N, int n)
{
if (S <= 0 || K <= 0 || exerciseT <= 0)
{
throw new System.ArgumentException("Need S, K, T > 0");
}
CheckAsianOptionInputs(T, exerciseT);
if (2.0 * k * theta <= sigma * sigma)
{
throw new System.ArgumentException("need to meet Feller condition");
}
else
{
int M = T.Count();
double tau = exerciseT / N;
double[] givenprice = new double[M];
double[] callprice = new double[n];
double[] path = new double[N];
int number;
double priceitself;
double price;
double Price;
for (int u = 0; u < n; u++)
{
path = GeneratePath.Generateallpath(S, r, exerciseT, nv, k, theta, rho, sigma /*, tau*/, N, n);
for (int i = 0; i < M; i++)
{
number = (int)(T.ElementAt(i) / tau);
givenprice[i] = path[number];
}
priceitself = givenprice.Sum();
price = Math.Exp(-r * exerciseT) * Math.Max(K - priceitself / M, 0);
callprice[u] = price;
}
Price = callprice.Sum();
return(Price / n);
}
}
/// <summary>
/// how to calculate the price by using the Monte Carlo and payoff formula
/// </summary>
/// <param name="S">Initial Stock Price</param>
/// <param name="r">Risk Free Rate</param>
/// <param name="T">Maturity</param>
/// <param name="K">Strike Price</param>
/// <param name="nv">parameter in model</param>
/// <param name="k">parameter in model</param>
/// <param name="theta">parameter in model</param>
/// <param name="rho">parameter in model</param>
/// <param name="sigma">parameter in model</param>
/// <param name="N">Number Of Time Steps</param>
/// <param name="n">Number Of Trials</param>
/// <returns>calculate the price from the payoff formula</returns>
public double CalculateRainbowOptionPrice(double S, double K, double r, double T, double nv, double k, double theta, double rho, double sigma, int N, int n)
{
if (S <= 0 || T <= 0)
{
throw new System.ArgumentException("Need S, K, T > 0");
}
if (2.0 * k * theta <= sigma * sigma)
{
throw new System.ArgumentException("need to meet Feller condition");
}
else
{
double priceitself;
double[] price = new double[n];
for (int j = 0; j < n; j++)
{
price[j] = Math.Exp(-r * T) * Math.Max(GeneratePath.Generateallpath(S, r, T, nv, k, theta, rho, sigma, N, n).Max(), K);
}
priceitself = price.Sum();
return(priceitself / n);
}
}
