static void Main(string[] args) { try { var timer = new System.Diagnostics.Stopwatch(); timer.Start(); #region MARKET DATA var calendar = new TARGET(); var settlementDate = new Date(18, Month.September, 2008); // must be a business day settlementDate = calendar.adjust(settlementDate); int fixingDays = 3; uint settlementDays = 3; var todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days); // nothing to do with Date::todaysDate Settings.instance().setEvaluationDate(todaysDate); Console.WriteLine("Today: {0} {1} {2} {3}", todaysDate.weekday(), todaysDate.dayOfMonth(), todaysDate.month(), todaysDate.year()); Console.WriteLine("Settlement date: {0} {1} {2} {3}", settlementDate.weekday(), settlementDate.dayOfMonth(), settlementDate.month(), settlementDate.year()); // Building of the bonds discounting yield curve #endregion #region RATE HELPERS // RateHelpers are built from the above quotes together with // other instrument dependant infos. Quotes are passed in // relinkable handles which could be relinked to some other // data source later. // Common data // ZC rates for the short end double zc3mQuote = 0.0096; double zc6mQuote = 0.0145; double zc1yQuote = 0.0194; var zc3mRate = new SimpleQuote(zc3mQuote); var zc6mRate = new SimpleQuote(zc6mQuote); var zc1yRate = new SimpleQuote(zc1yQuote); var zcBondsDayCounter = new Actual365Fixed(); var zc3m = new DepositRateHelper(new QuoteHandle(zc3mRate), new Period(3, TimeUnit.Months), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter); var zc6m = new DepositRateHelper(new QuoteHandle(zc6mRate), new Period(6, TimeUnit.Months), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter); var zc1y = new DepositRateHelper(new QuoteHandle(zc1yRate), new Period(1, TimeUnit.Years), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter); // setup bonds double redemption = 100.0; const uint numberOfBonds = 5; var issueDates = new Date[] { new Date(15, Month.March, 2005), new Date(15, Month.June, 2005), new Date(30, Month.June, 2006), new Date(15, Month.November, 2002), new Date(15, Month.May, 1987) }; var maturities = new Date[] { new Date(31, Month.August, 2010), new Date(31, Month.August, 2011), new Date(31, Month.August, 2013), new Date(15, Month.August, 2018), new Date(15, Month.May, 2038) }; var couponRates = new double[] { 0.02375, 0.04625, 0.03125, 0.04000, 0.04500 }; var marketQuotes = new double[] { 100.390625, 106.21875, 100.59375, 101.6875, 102.140625 }; var quote = new QuoteVector((int)numberOfBonds); for (uint i = 0; i < numberOfBonds; i++) { var cp = new SimpleQuote(marketQuotes[i]); quote.Add(cp); } var quoteHandle = new RelinkableQuoteHandleVector((int)numberOfBonds); for (int i = 0; i < (int)numberOfBonds; i++) { quoteHandle.Add(new RelinkableQuoteHandle()); quoteHandle[i].linkTo(quote[i]); } // Definition of the rate helpers var bondsHelpers = new RateHelperVector((int)numberOfBonds); for (int i = 0; i < (int)numberOfBonds; i++) { var schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual), new UnitedStates(UnitedStates.Market.GovernmentBond), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false); var bondHelper = new FixedRateBondHelper(quoteHandle[i], settlementDays, 100.0, schedule, new DoubleVector(1) { couponRates[i] }, new ActualActual(ActualActual.Convention.Bond), BusinessDayConvention.Unadjusted, redemption, issueDates[i]); bondsHelpers.Add(bondHelper); } #endregion #region CURVE BUILDING // Any DayCounter would be fine. // ActualActual::ISDA ensures that 30 years is 30.0 var termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA); //double tolerance = 1.0e-15; // A depo-bond curve var bondInstruments = new RateHelperVector(); // Adding the ZC bonds to the curve for the short end bondInstruments.Add(zc3m); bondInstruments.Add(zc6m); bondInstruments.Add(zc1y); // Adding the Fixed rate bonds to the curve for the long end for (int i = 0; i < numberOfBonds; i++) bondInstruments.Add(bondsHelpers[3]); var bondDiscountingTermStructure = new PiecewiseFlatForward(settlementDate, bondInstruments, termStructureDayCounter); // Building of the Libor forecasting curve // deposits double d1wQuote = 0.043375; double d1mQuote = 0.031875; double d3mQuote = 0.0320375; double d6mQuote = 0.03385; double d9mQuote = 0.0338125; double d1yQuote = 0.0335125; // swaps double s2yQuote = 0.0295; double s3yQuote = 0.0323; double s5yQuote = 0.0359; double s10yQuote = 0.0412; double s15yQuote = 0.0433; #endregion #region QUOTES // SimpleQuote stores a value which can be manually changed; // other Quote subclasses could read the value from a database // or some kind of data feed. // deposits var d1wRate = new SimpleQuote(d1wQuote); var d1mRate = new SimpleQuote(d1mQuote); var d3mRate = new SimpleQuote(d3mQuote); var d6mRate = new SimpleQuote(d6mQuote); var d9mRate = new SimpleQuote(d9mQuote); var d1yRate = new SimpleQuote(d1yQuote); // swaps var s2yRate = new SimpleQuote(s2yQuote); var s3yRate = new SimpleQuote(s3yQuote); var s5yRate = new SimpleQuote(s5yQuote); var s10yRate = new SimpleQuote(s10yQuote); var s15yRate = new SimpleQuote(s15yQuote); #endregion #region RATE HELPERS // RateHelpers are built from the above quotes together with // other instrument dependant infos. Quotes are passed in // relinkable handles which could be relinked to some other // data source later. // deposits var depositDayCounter = new Actual360(); var d1w = new DepositRateHelper(new QuoteHandle(d1wRate), new Period(1, TimeUnit.Weeks), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter); var d1m = new DepositRateHelper(new QuoteHandle(d1mRate), new Period(1, TimeUnit.Months), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter); var d3m = new DepositRateHelper(new QuoteHandle(d3mRate), new Period(3, TimeUnit.Months), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter); var d6m = new DepositRateHelper(new QuoteHandle(d6mRate), new Period(6, TimeUnit.Months), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter); var d9m = new DepositRateHelper(new QuoteHandle(d9mRate), new Period(9, TimeUnit.Months), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter); var d1y = new DepositRateHelper(new QuoteHandle(d1yRate), new Period(1, TimeUnit.Years), (uint)fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter); // setup swaps var swFixedLegFrequency = Frequency.Annual; var swFixedLegConvention = BusinessDayConvention.Unadjusted; var swFixedLegDayCounter = new Thirty360(Thirty360.Convention.European); var swFloatingLegIndex = new Euribor6M(); var forwardStart = new Period(1, TimeUnit.Days); var s2y = new SwapRateHelper(new QuoteHandle(s2yRate), new Period(2, TimeUnit.Years), calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex, new QuoteHandle(), forwardStart); var s3y = new SwapRateHelper(new QuoteHandle(s3yRate), new Period(3, TimeUnit.Years), calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex, new QuoteHandle(), forwardStart); var s5y = new SwapRateHelper(new QuoteHandle(s5yRate), new Period(5, TimeUnit.Years), calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex, new QuoteHandle(), forwardStart); var s10y = new SwapRateHelper(new QuoteHandle(s10yRate), new Period(10, TimeUnit.Years), calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex, new QuoteHandle(), forwardStart); var s15y = new SwapRateHelper(new QuoteHandle(s15yRate), new Period(15, TimeUnit.Years), calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex, new QuoteHandle(), forwardStart); #endregion #region CURVE BUILDING // Any DayCounter would be fine. // ActualActual::ISDA ensures that 30 years is 30.0 // A depo-swap curve var depoSwapInstruments = new RateHelperVector(); depoSwapInstruments.Add(d1w); depoSwapInstruments.Add(d1m); depoSwapInstruments.Add(d3m); depoSwapInstruments.Add(d6m); depoSwapInstruments.Add(d9m); depoSwapInstruments.Add(d1y); depoSwapInstruments.Add(s2y); depoSwapInstruments.Add(s3y); depoSwapInstruments.Add(s5y); depoSwapInstruments.Add(s10y); depoSwapInstruments.Add(s15y); var depoSwapTermStructure = new PiecewiseFlatForward(settlementDate, depoSwapInstruments, termStructureDayCounter); // Term structures that will be used for pricing: // the one used for discounting cash flows var discountingTermStructure = new RelinkableYieldTermStructureHandle(); // the one used for forward rate forecasting //var forecastingTermStructure = new RelinkableYieldTermStructureHandle(); #endregion #region BONDS TO BE PRICED // Common data double faceAmount = 100; // Pricing engine var bondEngine = new DiscountingBondEngine(new YieldTermStructureHandle(bondDiscountingTermStructure)); // Zero coupon bond var zeroCouponBond = new ZeroCouponBond(settlementDays, new UnitedStates(UnitedStates.Market.GovernmentBond), faceAmount, new Date(15, Month.August, 2013), BusinessDayConvention.Following, 116.92, new Date(15, Month.August, 2003)); zeroCouponBond.setPricingEngine(bondEngine); // Fixed 4.5% US Treasury Note var fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007), new Date(15, Month.May, 2017), new Period(Frequency.Semiannual), new UnitedStates(UnitedStates.Market.GovernmentBond), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false); var fixedRateBond = new FixedRateBond((int)settlementDays, faceAmount, fixedBondSchedule, new DoubleVector(1) { 0.045 }, new ActualActual(ActualActual.Convention.Bond), BusinessDayConvention.ModifiedFollowing, 100.0, new Date(15, Month.May, 2007)); fixedRateBond.setPricingEngine(bondEngine); // Floating rate bond (3M USD Libor + 0.1%) // Should and will be priced on another curve later... var liborTermStructure = new RelinkableYieldTermStructureHandle(); var libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure); libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625); var floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005), new Date(21, Month.October, 2010), new Period(Frequency.Quarterly), new UnitedStates(UnitedStates.Market.NYSE), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true); var floatingRateBond = new FloatingRateBond(settlementDays, faceAmount, floatingBondSchedule, libor3m, new Actual360(), BusinessDayConvention.ModifiedFollowing, 2, // Gearings new DoubleVector(1) { 1.0 }, // Spreads new DoubleVector(1) { 0.001 }, // Caps new DoubleVector(), // Floors new DoubleVector(), // Fixing in arrears true, 100.0, new Date(21, Month.October, 2005)); floatingRateBond.setPricingEngine(bondEngine); // Coupon pricers var pricer = new BlackIborCouponPricer(); // optionLet volatilities double volatility = 0.0; var vol = new OptionletVolatilityStructureHandle(new ConstantOptionletVolatility(settlementDays, calendar, BusinessDayConvention.ModifiedFollowing, volatility, new Actual365Fixed())); pricer.setCapletVolatility(vol); NQuantLibc.setCouponPricer(floatingRateBond.cashflows(), pricer); // Yield curve bootstrapping //forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(bondDiscountingTermStructure); // We are using the depo & swap curve to estimate the future Libor rates liborTermStructure.linkTo(depoSwapTermStructure); #endregion #region BOND PRICING Console.WriteLine(); // write column headings int[] widths = new int[] { 0, 28, 38, 48 }; Console.CursorLeft = widths[0]; Console.Write(" "); Console.CursorLeft = widths[1]; Console.Write("ZC"); Console.CursorLeft = widths[2]; Console.Write("Fixed"); Console.CursorLeft = widths[3]; Console.WriteLine("Floating"); //string separator = " | "; int width = widths[3]; string rule = new string('-', width); string dblrule = new string('=', width); string tab = new string(' ', 8); Console.WriteLine(rule); Console.CursorLeft = widths[0]; Console.Write("Net present value"); Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.NPV().ToString("000.00")); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.NPV().ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.NPV().ToString("000.00")); Console.CursorLeft = widths[0]; Console.Write("Clean price"); Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.cleanPrice().ToString("000.00")); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.cleanPrice().ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.cleanPrice().ToString("000.00")); Console.CursorLeft = widths[0]; Console.Write("Dirty price"); Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.dirtyPrice().ToString("000.00")); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.dirtyPrice().ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.dirtyPrice().ToString("000.00")); Console.CursorLeft = widths[0]; Console.Write("Accrued coupon"); Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.accruedAmount().ToString("000.00")); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.accruedAmount().ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.accruedAmount().ToString("000.00")); Console.CursorLeft = widths[0]; Console.Write("Previous coupon"); Console.CursorLeft = widths[1]; Console.Write("N/A"); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.previousCouponRate().ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.previousCouponRate().ToString("000.00")); Console.CursorLeft = widths[0]; Console.Write("Next coupon"); Console.CursorLeft = widths[1]; Console.Write("N/A"); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.nextCouponRate().ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.nextCouponRate().ToString("000.00")); Console.CursorLeft = widths[0]; Console.Write("Yield"); Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00")); Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00")); Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00")); double yield = fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual); Console.CursorLeft = widths[2]; Console.Write(BondFunctions.duration(fixedRateBond, new InterestRate(yield, fixedRateBond.dayCounter(), Compounding.Compounded, Frequency.Annual), Duration.Type.Modified)); Console.WriteLine(); // Other computations Console.WriteLine("Sample indirect computations (for the floating rate bond): "); Console.WriteLine(rule); Console.WriteLine("Yield to Clean Price: {0}", floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00")); Console.WriteLine("Clean Price to Yield: {0}", floatingRateBond.yield(floatingRateBond.cleanPrice(), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00")); /* "Yield to Price" "Price to Yield" */ double milliseconds = timer.ElapsedMilliseconds; Console.WriteLine(); Console.WriteLine("Run completed in " + milliseconds + "ms"); #endregion } catch (Exception e) { Console.WriteLine(e.Message); } finally { Console.Read(); } }
static void Main(string[] args) { DateTime startTime = DateTime.Now; Option.Type optionType = Option.Type.Put; double underlyingPrice = 36; double strikePrice = 40; double dividendYield = 0.0; double riskFreeRate = 0.06; double volatility = 0.2; Date todaysDate = new Date(15, Month.May, 1998); Settings.instance().setEvaluationDate(todaysDate); Date settlementDate = new Date(17, Month.May, 1998); Date maturityDate = new Date(17, Month.May, 1999); Calendar calendar = new TARGET(); DateVector exerciseDates = new DateVector(4); for (int i = 1; i <= 4; i++) { Period forwardPeriod = new Period(3 * i, TimeUnit.Months); Date forwardDate = settlementDate.Add(forwardPeriod); exerciseDates.Add(forwardDate); } EuropeanExercise europeanExercise = new EuropeanExercise(maturityDate); BermudanExercise bermudanExercise = new BermudanExercise(exerciseDates); AmericanExercise americanExercise = new AmericanExercise(settlementDate, maturityDate); // bootstrap the yield/dividend/vol curves and create a // BlackScholesMerton stochastic process DayCounter dayCounter = new Actual365Fixed(); YieldTermStructureHandle flatRateTSH = new YieldTermStructureHandle( new FlatForward(settlementDate, riskFreeRate, dayCounter)); YieldTermStructureHandle flatDividendTSH = new YieldTermStructureHandle( new FlatForward(settlementDate, dividendYield, dayCounter)); BlackVolTermStructureHandle flatVolTSH = new BlackVolTermStructureHandle( new BlackConstantVol(settlementDate, calendar, volatility, dayCounter)); QuoteHandle underlyingQuoteH = new QuoteHandle(new SimpleQuote(underlyingPrice)); BlackScholesMertonProcess stochasticProcess = new BlackScholesMertonProcess(underlyingQuoteH, flatDividendTSH, flatRateTSH, flatVolTSH); PlainVanillaPayoff payoff = new PlainVanillaPayoff(optionType, strikePrice); // options VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise); VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise); VanillaOption americanOption = new VanillaOption(payoff, americanExercise); // report the parameters we are using ReportParameters(optionType, underlyingPrice, strikePrice, dividendYield, riskFreeRate, volatility, maturityDate); // write out the column headings ReportHeadings(); #region Analytic Formulas // Black-Scholes for European try { europeanOption.setPricingEngine( new AnalyticEuropeanEngine(stochasticProcess)); ReportResults("Black-Scholes", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Barone-Adesi and Whaley approximation for American try { americanOption.setPricingEngine( new BaroneAdesiWhaleyEngine(stochasticProcess)); ReportResults("Barone-Adesi/Whaley", null, null, americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Bjerksund and Stensland approximation for American try { americanOption.setPricingEngine( new BjerksundStenslandEngine(stochasticProcess)); ReportResults("Bjerksund/Stensland", null, null, americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Integral try { europeanOption.setPricingEngine( new IntegralEngine(stochasticProcess)); ReportResults("Integral", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } uint timeSteps = 801; // Finite differences try { europeanOption.setPricingEngine( new FDEuropeanEngine(stochasticProcess, timeSteps, timeSteps - 1)); bermudanOption.setPricingEngine( new FDBermudanEngine(stochasticProcess, timeSteps, timeSteps - 1)); americanOption.setPricingEngine( new FDAmericanEngine(stochasticProcess, timeSteps, timeSteps - 1)); ReportResults("Finite differences", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } #endregion Analytic Formulas #region Binomial Methods // Binomial Jarrow-Rudd try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "jarrowrudd", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "jarrowrudd", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "jarrowrudd", timeSteps)); ReportResults("Binomial Jarrow-Rudd", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Cox-Ross-Rubinstein try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "coxrossrubinstein", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "coxrossrubinstein", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "coxrossrubinstein", timeSteps)); ReportResults("Binomial Cox-Ross-Rubinstein", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Additive Equiprobabilities try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "eqp", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "eqp", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "eqp", timeSteps)); ReportResults("Additive Equiprobabilities", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Trigeorgis try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "trigeorgis", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "trigeorgis", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "trigeorgis", timeSteps)); ReportResults("Binomial Trigeorgis", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Tian try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "tian", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "tian", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "tian", timeSteps)); ReportResults("Binomial Tian", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Leisen-Reimer try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "leisenreimer", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "leisenreimer", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "leisenreimer", timeSteps)); ReportResults("Binomial Leisen-Reimer", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } // Binomial Joshi try { europeanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "joshi4", timeSteps)); bermudanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "joshi4", timeSteps)); americanOption.setPricingEngine( new BinomialVanillaEngine(stochasticProcess, "joshi4", timeSteps)); ReportResults("Binomial Joshi", europeanOption.NPV(), bermudanOption.NPV(), americanOption.NPV()); } catch (Exception e) { Console.WriteLine(e.ToString()); } #endregion Binomial Methods #region Monte Carlo Methods // quantlib appears to use max numeric (int and real) values to test for 'null' (or rather 'default') values // MC (crude) try { string traits = "pseudorandom"; int mcTimeSteps = 1; int timeStepsPerYear = int.MaxValue; bool brownianBridge = false; bool antitheticVariate = false; int requiredSamples = int.MaxValue; double requiredTolerance = 0.02; int maxSamples = int.MaxValue; int seed = 42; europeanOption.setPricingEngine( new MCEuropeanEngine(stochasticProcess, traits, mcTimeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples, seed)); ReportResults("MC (crude)", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } // MC (Sobol) try { string traits = "lowdiscrepancy"; int mcTimeSteps = 1; int timeStepsPerYear = int.MaxValue; bool brownianBridge = false; bool antitheticVariate = false; int requiredSamples = 32768; // 2^15 double requiredTolerance = double.MaxValue; int maxSamples = int.MaxValue; int seed = 0; europeanOption.setPricingEngine( new MCEuropeanEngine(stochasticProcess, traits, mcTimeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples, seed)); ReportResults("MC (Sobol)", europeanOption.NPV(), null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } // MC (Longstaff Schwartz) /* try { // MCAmericanEngine is not currently exposed in SWIG //americanOption.setPricingEngine(new MCAmericanEngine()); ReportResults("MC (Longstaff Schwartz)", null, null, null); } catch (Exception e) { Console.WriteLine(e.ToString()); } */ #endregion Monte Carlo Methods DateTime endTime = DateTime.Now; TimeSpan delta = endTime - startTime; Console.WriteLine(); Console.WriteLine("Run completed in {0} s", delta.TotalSeconds); Console.WriteLine(); }