public void testMultiPathGenerator()
{
//("Testing n-D path generation against cached values...");
//SavedSettings backup;
Settings.setEvaluationDate(new Date(26, 4, 2005));
Handle <Quote> x0 = new Handle <Quote> (new SimpleQuote(100.0));
Handle <YieldTermStructure> r = new Handle <YieldTermStructure> (Utilities.flatRate(0.05, new Actual360()));
Handle <YieldTermStructure> q = new Handle <YieldTermStructure> (Utilities.flatRate(0.02, new Actual360()));
Handle <BlackVolTermStructure> sigma = new Handle <BlackVolTermStructure> (Utilities.flatVol(0.20, new Actual360()));
Matrix correlation = new Matrix(3, 3);
correlation[0, 0] = 1.0; correlation[0, 1] = 0.9; correlation[0, 2] = 0.7;
correlation[1, 0] = 0.9; correlation[1, 1] = 1.0; correlation[1, 2] = 0.4;
correlation[2, 0] = 0.7; correlation[2, 1] = 0.4; correlation[2, 2] = 1.0;
List <StochasticProcess1D> processes = new List <StochasticProcess1D>(3);
StochasticProcess process;
processes.Add(new BlackScholesMertonProcess(x0, q, r, sigma));
processes.Add(new BlackScholesMertonProcess(x0, q, r, sigma));
processes.Add(new BlackScholesMertonProcess(x0, q, r, sigma));
process = new StochasticProcessArray(processes, correlation);
// commented values must be used when Halley's correction is enabled
double[] result1 =
{
188.2235868185,
270.6713069569,
113.0431145652
};
// Real result1[] = {
// 188.2235869273,
// 270.6713071508,
// 113.0431145652 };
double[] result1a =
{
64.89105742957,
45.12494404804,
108.0475146914
};
// Real result1a[] = {
// 64.89105739157,
// 45.12494401537,
// 108.0475146914 };
testMultiple(process, "Black-Scholes", result1, result1a);
processes[0] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[1] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[2] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
process = new StochasticProcessArray(processes, correlation);
double[] result2 =
{
174.8266131680,
237.2692443633,
119.1168555440
};
// Real result2[] = {
// 174.8266132344,
// 237.2692444869,
// 119.1168555605 };
double[] result2a =
{
57.69082393020,
38.50016862915,
116.4056510107
};
// Real result2a[] = {
// 57.69082387657,
// 38.50016858691,
// 116.4056510107 };
testMultiple(process, "geometric Brownian", result2, result2a);
processes[0] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[1] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[2] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
process = new StochasticProcessArray(processes, correlation);
double[] result3 =
{
0.2942058437284,
0.5525006418386,
0.02650931054575
};
double[] result3a =
{
-0.2942058437284,
-0.5525006418386,
-0.02650931054575
};
testMultiple(process, "Ornstein-Uhlenbeck", result3, result3a);
processes[0] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[1] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[2] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
process = new StochasticProcessArray(processes, correlation);
double[] result4 =
{
4.279510844897,
4.943783503533,
3.590930385958
};
double[] result4a =
{
2.763967737724,
2.226487196647,
3.503859264341
};
testMultiple(process, "square-root", result4, result4a);
}
public Dynamics(Parameter fitting, double a, double sigma)
{
Process = new OrnsteinUhlenbeckProcess(a, sigma);
Fitting = fitting;
}