public void PathsGenerated()
{
var vol = 0.32;
using var engine = new PathEngine(IsCoverageOnly ? 2.IntPow(6) : 2 << 10);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: vol,
spot: 500,
drift: 0.00,
numberOfSteps: IsCoverageOnly ? 1 : 365,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(500, 500, 0, 1, vol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.Equal(blackPv, pv, 0);
}
}
public void TestBlockGeneration()
{
using var engine = new PathEngine(4 << 2);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64());
engine.AddPathProcess(new FakeAssetProcess("TestUnderlying", numberOfDimensions: 2, timesteps: 10));
engine.SetupFeatures();
engine.RunProcess();
}
public void LVMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 12))
{
Parallelize = false
};
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { 0.1, 0.25, 0.5, 0.75, 0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var tExp = (origin.AddMonths(6) - origin).TotalDays / 365.0;
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
StrikeType.ForwardDelta, Interpolator1DType.GaussianKernel,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t / tExp); });
var asset = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddMonths(6));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddMonths(6));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddMonths(6), fwdCurve(tExp));
var blackPv = BlackFunctions.BlackPV(fwdCurve(tExp), 900, 0, tExp, blackVol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv / pv - 1.0) < 0.02);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(tExp) / fwd - 1.0) < 0.005);
}
}
public void TestBlockGenerationSobolFlipShifted()
{
var engine = new PathEngine(64);
var directionNumbers = new Random.Sobol.SobolDirectionNumbers("SobolDirectionNumbers.txt");
engine.AddPathProcess(new Random.Sobol.SobolFlipShiftedPathGenerator(true, directionNumbers));
engine.AddPathProcess(new FakeAssetProcess("TestUnderlying", numberOfDimensions: 2, timesteps: 10));
engine.SetupFeatures();
engine.RunProcess();
}
public void RandsWithNoVectors()
{
var Paths = (int)System.Math.Pow(2, 14);
using var engine = new PathEngine(Paths);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64());
engine.AddPathProcess(new FakeAssetProcess("TestUnderlying", numberOfDimensions: 2, timesteps: 100));
engine.SetupFeatures();
engine.RunProcess();
}
public void LVMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
var engine = new PathEngine(2.IntPow(17));
//engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
//{
// UseNormalInverse = true,
// UseAnthithetic = false
//});
engine.AddPathProcess(new Random.Sobol.SobolShiftedPathGenerator(new Random.Sobol.SobolDirectionNumbers(s_directionNumbers), 0)
{
UseNormalInverse = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m", "9m", "1y" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
Core.Basic.StrikeType.ForwardDelta, Interpolator1DType.LinearFlatExtrap,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: 365,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddYears(1), fwdCurve(1.0));
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, blackVol, OptionType.P);
Assert.Equal(blackPv, pv, 0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
//var output = new OutputPathsToImage(engine,2000,1000);
}
public void PathsGenerated()
{
var engine = new PathEngine(2 << 8);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 1000,
drift: 0.00,
numberOfSteps: 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 500,
drift: 0.00,
numberOfSteps: 25,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var output = new OutputPathsToImage(engine, 2000, 1000);
}
public void BlackMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 15));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
var volSurface = new ConstantVolSurface(origin, 0.32);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new BlackSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 1 : 10,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, 0.32, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv - pv) < 1.0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
}
}
public void CompositeSmimleFacts_LocalVol()
{
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddMonths(2);
var tExp = origin.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var fwdCurveAsset = new Func <double, double>(t => { return(100); });
var fwdCurveFx = new Func <double, double>(t => { return(15); });
var volAsset = 0.32;
var volFx = 0.16;
var correl = 0.25;
var surfaceAsset = new RiskyFlySurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.Linear)
{
FlatDeltaSmileInExtreme = true
};
var surfaceFx = new RiskyFlySurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.Linear)
{
FlatDeltaSmileInExtreme = true
};
//var surfaceAsset = new SabrVolSurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceFx = new SabrVolSurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceAsset = new SVIVolSurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceFx = new SVIVolSurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
var invFx = new InverseFxSurface("inv", surfaceFx, TestProviderHelper.CurrencyProvider);
var surfaceCompo = surfaceAsset.GenerateCompositeSmile(invFx, 200, expiry, 100, 1.0 / 15, correl);
//setup MC
using var engine = new PathEngine(2.IntPow(IsCoverageOnly?5:15));
engine.AddPathProcess(
new Qwack.Random.MersenneTwister.MersenneTwister64
{
UseNormalInverse = true
});
var correlMatrix = new double[][]
{
new double[] { 1.0, correl },
new double[] { correl, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
var asset1 = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: expiry,
volSurface: surfaceAsset,
forwardCurve: fwdCurveAsset,
nTimeSteps: 1,
name: "Asset"
);
var asset2 = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: expiry,
volSurface: surfaceFx,
forwardCurve: fwdCurveFx,
nTimeSteps: 1,
name: "USD/ZAR"
);
engine.AddPathProcess(asset1);
engine.AddPathProcess(asset2);
var strike = 1500;
var product = new EuropeanOption
{
AssetId = "Asset",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["ZAR"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = strike,
FxConversionType = FxConversionType.ConvertThenAverage
};
var productAsset = new EuropeanOption
{
AssetId = "Asset",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["USD"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = 100,
FxConversionType = FxConversionType.None
};
var productFx = new EuropeanOption
{
AssetId = "USD/ZAR",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["ZAR"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = 0.1,
FxConversionType = FxConversionType.None
};
var pathProduct = new AssetPathPayoff(product, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
var pathProductAsset = new AssetPathPayoff(productAsset, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
var pathProductFx = new AssetPathPayoff(productFx, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
engine.AddPathProcess(pathProduct);
engine.AddPathProcess(pathProductAsset);
engine.AddPathProcess(pathProductFx);
engine.SetupFeatures();
engine.RunProcess();
var q = pathProduct.ResultsByPath;
var qq = q.Average();
var productIv = BlackFunctions.BlackImpliedVol(1500, strike, 0.0, tExp, pathProduct.AverageResult, OptionType.C);
var productAssetIv = BlackFunctions.BlackImpliedVol(100, 100, 0.0, tExp, pathProductAsset.AverageResult, OptionType.C);
var productFxIv = BlackFunctions.BlackImpliedVol(10, 10, 0.0, tExp, pathProductFx.AverageResult, OptionType.C);
Assert.True(Abs(productIv - surfaceCompo.Interpolate(strike)) < 0.01);
}
public void LVMCDualPathsGenerated(double correlation)
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 8))
{
Parallelize = false
};
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false,
});
engine.IncrementDepth();
var correlMatrix = new double[][]
{
new double[] { 1.0, correlation },
new double[] { correlation, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
engine.IncrementDepth();
var tenorsStr = new[] { "1m", "2m", "3m", "6m" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
StrikeType.ForwardDelta, Interpolator1DType.GaussianKernel,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve1 = new Func <double, double>(t => { return(1000); });
var asset1 = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve1,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset1"
);
var fwdCurve2 = new Func <double, double>(t => { return(1000); });
var asset2 = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve2,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset2"
);
engine.AddPathProcess(asset1);
engine.AddPathProcess(asset2);
engine.IncrementDepth();
var correl = new Correlation("TestAsset1", "TestAsset2");
engine.AddPathProcess(correl);
engine.SetupFeatures();
engine.RunProcess();
var corr = correl.AverageResult;
var errCorr = correl.ResultStdError;
if (!IsCoverageOnly)
{
Assert.Equal(correlation, corr, 1);
}
}
public void LVMC_TriplePathsGenerated(double correlationAB, double correlationAC, double correlationBC)
{
var origin = DateTime.Now.Date;
var engine = new PathEngine(2.IntPow(15));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
var correlMatrix = new double[][]
{
new double[] { 1.0, correlationAB, correlationAC },
new double[] { correlationAB, 1.0, correlationBC },
new double[] { correlationAC, correlationBC, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
var tenorsStr = new[] { "1m", "2m", "3m", "6m", "9m", "1y" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
Core.Basic.StrikeType.ForwardDelta, Interpolator1DType.LinearFlatExtrap,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve1 = new Func <double, double>(t => { return(1000); });
var fwdCurve2 = new Func <double, double>(t => { return(1000); });
var fwdCurve3 = new Func <double, double>(t => { return(1000); });
var assetA = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve1,
nTimeSteps: 365,
name: "TestAssetA"
);
var assetB = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve2,
nTimeSteps: 365,
name: "TestAssetB"
);
var assetC = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve3,
nTimeSteps: 365,
name: "TestAssetC"
);
engine.AddPathProcess(assetA);
engine.AddPathProcess(assetB);
engine.AddPathProcess(assetC);
var correlAB = new Correlation("TestAssetA", "TestAssetB");
var correlAC = new Correlation("TestAssetA", "TestAssetC");
var correlBC = new Correlation("TestAssetB", "TestAssetC");
engine.AddPathProcess(correlAB);
engine.AddPathProcess(correlAC);
engine.AddPathProcess(correlBC);
engine.SetupFeatures();
engine.RunProcess();
Assert.Equal(correlationAB, correlAB.AverageResult, 2);
Assert.Equal(correlationAC, correlAC.AverageResult, 2);
Assert.Equal(correlationBC, correlBC.AverageResult, 2);
}
