//Asian arithmetic put with monte carlo
public double AsianArithmeticPutMonteCarlo(double T, double[] Tsteps, double K, int nrofpaths, int timesteps)
{
if (T <= 0 || K <= 0 || nrofpaths <= 0 || timesteps <= 0)
{
throw new System.ArgumentException("Need T,K, number of paths and timesteps > 0");
}
this.T = T;
this.K = K;
double Calloption = 0, Stm; //values for monte carlo method
GeneratePath paths = new GeneratePath(this);
List <double> path;
Parallel.For(0, nrofpaths, i =>
{
Stm = 0.0;
path = paths.generate_path(timesteps, T);
foreach (double Tm in Tsteps) //For each T1,...,Tm in T to average for asian options
{
int index = Convert.ToInt32(Tm * timesteps);
Stm += path[index];
}
double Savg = Stm / Tsteps.Length; //average over S(t1)+,...,+S(Tm)
Calloption += Math.Max(Savg - K, 0); //Payoff function for asian arithmetic put function
});
return(Math.Exp(-r * T) * Calloption / nrofpaths); //Take average and scale back in time
}
//Monte carlo method not using parallel loops to compare performance
public double MonteCarloEuropeanCallSlow(double T, double K, int nrofpaths, int timesteps)
{
if (T <= 0 || K <= 0 || nrofpaths <= 0 || timesteps <= 0)
{
throw new System.ArgumentException("Need T,K, number of paths and timesteps > 0");
}
this.T = T;
this.K = K;
GeneratePath paths = new GeneratePath(this); //Generate S(t)
double TotalCall = 0;
double St = S;
List <double> path;
//Usi multi threading to run For loops in parallel making the simulation faster
for (int i = 0; i < nrofpaths; ++i)
{
path = paths.generate_path(timesteps, T, true);
St = path[path.Count - 1];
TotalCall += Math.Max(St - K, 0);
}
return(Math.Exp(-r * T) * TotalCall / nrofpaths);
}
//Pricing look back option
public double PricingLookbackOpt(double T, double K, int nrofpaths, int timesteps)
{
if (T <= 0 || K <= 0 || nrofpaths <= 0 || timesteps <= 0)
{
throw new System.ArgumentException("Need T,K, number of paths and timesteps > 0");
}
this.T = T;
this.K = K;
GeneratePath paths = new GeneratePath(this);
double TotalCall = 0;
double St = 0;
List <double> path;
Parallel.For(0, nrofpaths, i =>
{
path = paths.generate_path(timesteps, T, true);
St = path[path.Count - 1];
TotalCall += St - path.Min(); //payoff function
});
return(Math.Exp(-r * T) * TotalCall / nrofpaths); //Take average and scale back in time
}
