public static object HestonOneOptionPriceMC(double underlying,
double riskFreeRate,
double kappa,
double theta,
double sigma,
double rho,
double v0,
double maturity,
double strike,
string type,
int numSamplePaths,
int numSteps,
[ExcelArgument(Description = "Timeout set to 5 mins if not specified")]
int timeOutInMinutes)
{
try
{
if (ExcelDnaUtil.IsInFunctionWizard())
{
return(null);
}
if (timeOutInMinutes.Equals(0))
{
timeOutInMinutes = 5;
}
var task = Task.Run(() => Heston.HestonEuropeanOptionPriceMC(
new HestonParametersGrading(underlying, riskFreeRate, kappa, theta, sigma, rho, v0),
new EuropeanOptionGrading(maturity, strike, GetTypeOfVanillaEuropean(type)),
new MonteCarloSettingsGrading(numSamplePaths, numSteps)));
if (task.Wait(TimeSpan.FromMinutes(timeOutInMinutes)))
{
return(task.Result);
}
else
{
throw new Exception($"Timed out ({timeOutInMinutes} mins)");
}
}
catch (Exception e)
{
return("HestonOneOptionPriceMC: unknown error: " + e.Message);
}
}
public static void Task4()
{
// Variance Process Values
Console.WriteLine("Task 4");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 1;
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 4 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity);
double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption);
System.Console.WriteLine("K={0}, T={1}, refPrice={2}", StrikePrice,
Maturity, priceForm);
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("Trials, Time Steps, relError");
csv.AppendLine(newLine);
for (int i = 3; i < 5; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)Math.Pow(10, i);
double[] factor = new double[3] {
0.5, 1, 2
};
for (int j = 0; j < 3; j++)
{
int NumberOfTimeSteps = (int)Math.Ceiling(factor[j] * 365 * Maturity);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, #Trials={2}, #TimeSteps={3}, rel_error={4}", StrikePrice,
Maturity, NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm);
newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm);
csv.AppendLine(newLine);
}
}
//Write to csv
File.WriteAllText(@"./task4.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
public static void Task3()
{
// Variance Process Values
Console.WriteLine("Task 3");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double[] Maturity = new double[5] {
1, 2, 3, 4, 15
};
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 3 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("K, T, Price, refPrice");
csv.AppendLine(newLine);
for (int i = 0; i < 5; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity[i]);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption);
double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, C_MC={2}, C_form={3}", StrikePrice,
Maturity[i], price, priceForm);
newLine = string.Format("{0}, {1}, {2}, {3}", StrikePrice, Maturity[i], price, priceForm);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./task3.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}