public void CheckZeroVolForward(AssetMarket assetMkt)
{
var zcCurve = assetMkt.RiskFreeDiscount;
var market = new Market(new[] { zcCurve }, new[] { assetMkt });
var zeroVol = new MapRawDatas <DateOrDuration, double>(new[] { new DateOrDuration(assetMkt.RefDate) }, new[] { 0.0 });
var blackScholesDesc = new BlackScholesModelDescription(assetMkt.Asset.Name, zeroVol, true);
var mcConfig = new MonteCarloConfig(1, RandomGenerators.GaussianSobol(SobolDirection.Kuo3));
var blackScholesModel = ModelFactory.Instance.Build(blackScholesDesc, market);
var fwdDates = new[] { Duration.Month, 6 * Duration.Month, Duration.Year, 2 * Duration.Year, 5 * Duration.Year }
.Map(d => assetMkt.RefDate + d);
IProduct fwdLeg = ForwardLeg(fwdDates);
PriceResult priceResult = (PriceResult)McPricer.WithDetails(mcConfig).Price(fwdLeg, blackScholesModel, market);
double[] fwds = priceResult.Details.Map(kv => kv.Item3.Value);
var assetFwdCurve = assetMkt.Forward();
double[] refFwds = fwdDates.Map(d => assetFwdCurve.Fwd(d) * zcCurve.Zc(d));
foreach (var i in Enumerable.Range(0, fwdDates.Length))
{
var err = Math.Abs(fwds[i] / refFwds[i] - 1.0);
Assert.LessOrEqual(err, 20.0 * DoubleUtils.MachineEpsilon);
}
}
public void Test()
{
var market = Market();
const double lambda = 0.01;
var sigma = new StepFunction(new[] { 0.0, 1.0, 2.0 }, new[] { 0.007, 0.004, 0.0065 }, 0.0);
var hw1 = new Hw1Model(TimeMeasure.Act365(market.RefDate), Currency.Eur, lambda, sigma);
var mcConfig = new MonteCarloConfig(20000,
RandomGenerators.GaussianSobol(SobolDirection.JoeKuoD5));
var mcPricer = McPricer.WithDetails(mcConfig);
var fixedLeg = FixedLeg(market.RefDate);
var mcPriceResult = (PriceResult)mcPricer.Price(fixedLeg, hw1, market);
var mcCoupons = mcPriceResult.Details.Map(p => p.Item3.Value);
var refCoupons = mcPriceResult.Details.Map(pi => market.DiscountCurve(pi.Item2.Financing).Zc(pi.Item2.Date));
var errAbs = Math.Abs(mcCoupons.Sum() - refCoupons.Sum());
Assert.LessOrEqual(errAbs, 7.0e-5);
var errRel = Math.Abs(mcCoupons.Sum() / refCoupons.Sum() - 1.0);
Assert.LessOrEqual(errRel, 8.0e-6);
}
private static MonteCarloConfig BuildMonteCarloConfig(object[,] bag)
{
int nbPaths = bag.ProcessScalarInteger("NbPaths");
Duration mcStep = bag.Has("McStep") ? bag.ProcessScalarDateOrDuration("McStep").Duration : null;
//TODO investigate which generator is the best
var randomGenerator = RandomGenerators.GaussianSobol(SobolDirection.Kuo3);
return(new MonteCarloConfig(nbPaths, randomGenerator, mcStep));
}
public void TestCallBachelier(int dim, SobolDirection direction)
{
var gaussianGen = RandomGenerators.GaussianSobol(direction).Build(dim);
var chrono = new Stopwatch();
chrono.Start();
var atmCalls = new double[dim];
var strikeCall1 = new double[dim];
var strikeCall2 = new double[dim];
var strikePut1 = new double[dim];
var strikePut2 = new double[dim];
const int nbPaths = 1000000;
for (int index = 0; index < nbPaths; index++)
{
var sample = gaussianGen.Next();
for (int i = 0; i < dim; i++)
{
var gaussian = sample[i];
atmCalls[i] += Math.Max(0.0, gaussian);
strikeCall1[i] += Math.Max(0.0, gaussian - 1.0);
strikeCall2[i] += Math.Max(0.0, gaussian - 2.0);
strikePut1[i] += Math.Max(0.0, -1.0 - gaussian);
strikePut2[i] += Math.Max(0.0, -2.0 - gaussian);
}
}
for (int i = 0; i < dim; i++)
{
atmCalls[i] /= nbPaths;
strikeCall1[i] /= nbPaths;
strikeCall2[i] /= nbPaths;
strikePut1[i] /= nbPaths;
strikePut2[i] /= nbPaths;
}
chrono.Stop();
Console.WriteLine("Elapsed " + chrono.Elapsed);
var refAtmCalls = atmCalls.Select(c => BachelierOption.Price(0.0, 0.0, 1.0, 1.0, 1)).ToArray();
var refStrikeCall1 = atmCalls.Select(c => BachelierOption.Price(0.0, 1.0, 1.0, 1.0, 1)).ToArray();
var refStrikeCall2 = atmCalls.Select(c => BachelierOption.Price(0.0, 2.0, 1.0, 1.0, 1)).ToArray();
var refStrikePut1 = atmCalls.Select(c => BachelierOption.Price(0.0, -1.0, 1.0, 1.0, -1)).ToArray();
var refStrikePut2 = atmCalls.Select(c => BachelierOption.Price(0.0, -2.0, 1.0, 1.0, -1)).ToArray();
UnitTestUtils.EqualDoubleArray(atmCalls, refAtmCalls, 2.0e-5, true);
UnitTestUtils.EqualDoubleArray(strikeCall1, refStrikeCall1, 8.0e-5, true);
UnitTestUtils.EqualDoubleArray(strikeCall2, refStrikeCall2, 6.0e-4, true);
UnitTestUtils.EqualDoubleArray(strikePut1, refStrikePut1, 8.0e-5, true);
UnitTestUtils.EqualDoubleArray(strikePut2, refStrikePut2, 6.0e-4, true);
}