public double[] forwardInterestRate(intensityObject intensityobject, int start, int s**t, String method)
{
double[] p = new double[intensityobject.mu.Length];
for (int i = 0; i < start; i++)
{
p[i] = 0;
}
// Exact, returns the e^int(f)
if (method == "exact")
{
p[start] = Math.Exp(intensityobject.r[start]);
for (int i = start + 1; i <= s**t; i++)
{
p[i] = zeroCuponPrice(intensityobject.a2, intensityobject.b2, intensityobject.r, intensityobject.sigma2, i, s**t);
}
return(p);
}
else if (method == "simulation")
{
throw new NotImplementedException("method not implemented yet");
}
else
{
throw new NotImplementedException("method not implemented yet");
}
}
public double[] forwardSurrenderRate(intensityObject intensityobject, int start, int s**t, String method)
{
// Exact , this is m
double[] f = new double[intensityobject.mu.Length];
for (int i = 0; i < start; i++)
{
f[i] = 0;
}
if (method == "exact")
{
f[start] = intensityobject.tau0;
for (int i = start + 1; i <= s**t; i++)
{
f[i] = calculateForwardRate(intensityobject.a1, intensityobject.b1, intensityobject.mu, intensityobject.sigma1, i, s**t);
}
return(f);
}
else if (method == "simulation")
{
throw new NotImplementedException("method not implemented yet");
}
else
{
throw new NotImplementedException("method not implemented yet");
}
}
public double calculatePq(intensityObject intensititer, double start, double s**t)
{
CashFlowTool cashflowtool = new CashFlowTool();
double P00 = cashflowtool.muProbability00(intensititer, start, s**t, "");
return(P00 * MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => intensititer.rFunction(y) * (cashflowtool.tekniskReserve_circle(y, intensititer) / cashflowtool.tekniskReserve_dagger(y, intensititer)), start, s**t));
}
static void Main(string[] args)
{
var timeHorizon = 100;
var gridPoints = 1;
//var testESG = new BSESG(T:TimeHorizon);
//var testscenario = testESG.Simulate();
////var simpletest = new FinancialObject(null, 1);
//var test = new FinancialObject2(0.3, 1, TimeHorizon, testscenario);
////simpletest.WriteData("C:/Users/Steffen/Dropbox (Keylane)/Speciale/Data/simpletest.csv");
//test.WriteData("C:/Users/Steffen/Dropbox (Keylane)/Speciale/Data/test.csv");
var cashflowtool = new CashFlowTool();
var intensititer = new intensityObject(0.1, 0.01, 0.01, timeHorizon, gridPoints, 0, 0, null, null, null, null);
intensititer.simulate("");
intensititer.exportTxt();
// PW-means //
// TODO: Sim r and mu
// TODO: Then calculate transition probs P^mu and forward rates
// The E[a^circle|r and mu up till time t] cashflow
double result = findResult(timeHorizon, cashflowtool, intensititer, "ikke cor", "marginal");
Console.WriteLine("Bonus værdi helt standard");
double r = result / timeHorizon;
Console.WriteLine(r.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "ikke cor", "simulation");
Console.WriteLine("Bonus værdi helt standard, men fundet med sim");
double p = result / timeHorizon;
Console.WriteLine(p.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "cor", "marginal");
Console.WriteLine("Bonus værdi med cor men med marginale");
double q = result / timeHorizon;
Console.WriteLine(q.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "cor", "simulation");
Console.WriteLine("Bonus værdi med cor men med simulation");
double s = result / timeHorizon;
Console.WriteLine(s.ToString());
}
private static double findResult(int timeHorizon, CashFlowTool cashflowtool, intensityObject intensititer, String simMethod, String approxMethod)
{
var aCircle = new double[timeHorizon + 1, timeHorizon + 1];
var ab = new double[timeHorizon + 1, timeHorizon + 1];
var interestContainer = new List <double[]>(timeHorizon);
ab[0, 0] = 0;
ab[1, 0] = 0;
double result = 0;
for (int scenario = 0; scenario < timeHorizon; scenario++)
{
intensititer.simulate(simMethod);
double[] Q = cashflowtool.calculateQ(intensititer);
double[] forward = cashflowtool.forward00(intensititer, 0, timeHorizon, approxMethod);
for (int time_i = 1; time_i <= timeHorizon; time_i++)
{
//CALCULATING NECESSARY CONTROLS
// DERIVING CONTROLS
double eta = 0;
double delta_1 = 0;
// double delta_0 = cashflowtool.tekniskReserve_circle(time_i, intensititer) * (intensititer.r[time_i-1] - intensititer.tekniskr(time_i));
// Calculating PQ
// double Pq = cashflowtool.calculatePq(intensititer, 0, time_i);
// Payments
double b_0_circ = 1; double b_01_circ = 2; double b_02_circ = 3;
double b_0_dagger = 1; double b_01_dagger = 0; double b_02_dagger = 0;
aCircle[scenario, time_i] = cashflowtool.muProbability00(intensititer, 0, time_i, "") * b_0_circ + cashflowtool.muProbability01(intensititer, 0, time_i, "") * b_01_circ + cashflowtool.muProbability02(intensititer, 0, time_i, "") * b_02_circ;
ab[scenario, time_i] = Q[time_i] * forward[time_i] * b_0_dagger;
interestContainer.Add(intensititer.r); // need to hold the interest curve for later sum
}
}
for (int scenario = 0; scenario < timeHorizon; scenario++)
{
double scenarioResult = 0;
for (int time = 0; time < timeHorizon - 1; time++)
{
scenarioResult += Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => rFunctionInx(y, interestContainer[scenario], intensititer), 0, time + 0.5)) * ((ab[0, time] + ab[0, time + 1]) / 2);
}
result += scenarioResult;
}
return(result);
}
public double[] forward00(intensityObject intensityobject, int start, int s**t, String method)
{
double[] p = new double[intensityobject.mu.Length + 1];
for (int i = 0; i < start; i++)
{
p[i] = 0;
}
// Exact, returns the E e^int(tau+mu)
if (method == "marginal")
{
p[start] = Math.Exp(-intensityobject.tau[start] - intensityobject.mu[start]);
for (int i = start + 1; i <= s**t; i++)
{
p[i] = zeroCuponPrice(intensityobject.a1, intensityobject.b1, intensityobject.tau, intensityobject.sigma1, start, i) * Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(x => intensityobject.muFunction(x), start, i));
}
return(p);
}
else if (method == "simulation")
{
var paths = new List <double[]>();
for (int n = 0; n < 100; n++)
{
intensityObject intCopy = intensityobject;
intCopy.simulate("cor");
var path = new double[intensityobject.mu.Length + 1];
path[start] = Math.Exp(-intensityobject.tau[start] - intensityobject.mu[start]);
for (int i = start + 1; i <= s**t; i++)
{
path[i] = Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(x => intCopy.tauFunction(x) + intCopy.muFunction(x), start, i));
}
paths.Add(path);
}
for (int i = 0; i <= intensityobject.mu.Length; i++)
{
var total = 0.0;
for (int n = 0; n < 100; n++)
{
total += paths[n][i];
}
p[i] = total / 100;
}
return(p);
}
else
{
throw new NotImplementedException("method not implemented yet");
}
}
static double[] euler(int x0, double y, intensityObject intensiteter)
{
int h = 1;
double[] yres = new double[intensiteter.horizon + 1];
yres[0] = y;
while (x0 < intensiteter.horizon)
{
y = y + h * funcQ(x0, y, intensiteter);
x0 = x0 + h;
yres[x0] = y;
}
// Printing approximation
return(yres);
}
private double Vbarcircstjern(intensityObject intensiteter, double x)
{
CashFlowTool tool = new CashFlowTool();
return(tool.muProbability00(intensiteter, 0, x, "") * tool.tekniskReserve_circle(x, intensiteter));
}
static double funcQ(double x, double y, intensityObject intensiteter)
{
CashFlowTool tool = new CashFlowTool();
return(intensiteter.rFunction(x) * (((tool.Vbarcircstjern(intensiteter, x) / tool.Vbardaggerstjern(intensiteter, x)) + y)));
}
public double muProbability02(intensityObject intensityobject, double start, double s**t, String method)
{
return(MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(x => muProbability00(intensityobject, start, x, "") * intensityobject.muFunction(x), start, s**t));
}
public double tekniskReserve_dagger(double time_i, intensityObject intensititer)
{
double b_0 = 1;
return(MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => muProbability00(intensititer, time_i, y, "") * b_0 * (y > 40 ? 1 : 0), time_i, intensititer.horizon));
}
public double tekniskReserve_circle(double time_i, intensityObject intensititer)
{
double b_0 = 1; double b_01 = 0.02; double b_02 = 0.02;
return(MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => muProbability00(intensititer, time_i, y, "") * b_0 * (y > 40 ? 1 : 0) + muProbability00(intensititer, time_i, y, "") * b_01 * intensititer.tauFunction(y) + muProbability00(intensititer, time_i, y, "") * b_02 * intensititer.muFunction(y), time_i, intensititer.horizon));
}
public double[] forwardMortality(intensityObject intensityobject, int start, String method)
{
return(intensityobject.mu);
}
public double[] calculateQ(intensityObject intensititer)
{
return(euler(0, 0, intensititer));
}
public static double rFunctionInx(double x, double[] r, intensityObject intensityobject)
{
return(intensityobject.Interpolate1D(x, intensityobject.xVal, r, 0D, intensityobject.horizon));
}
