public FittedMidpointPredictorCorrectorFdm(ISde stochasticEquation, int numSubdivisions, double a, double b)
: base(stochasticEquation, numSubdivisions)
{
A = a;
B = b;
Console.WriteLine("Fitted midpoint Adjusted PC");
}
public ModifiedPredictorCorrectorFdm(ISde stochasticEquation, int numSubdivisions, double a, double b)
: base(stochasticEquation, numSubdivisions)
{
A = a;
B = b;
Console.WriteLine("Modified PC");
}
public ExactFdm(ISde stochasticEquation, int numSubdivisions,
double S0, double vol, double drift) : base(stochasticEquation, numSubdivisions)
{
this.S0 = S0;
sig = vol;
mu = drift;
}
public KarhunenLoeve(ISde <double> stochasticEquation, int numSubdivisions, int nTruncated, IRng <double> randomGen)
: base(stochasticEquation, numSubdivisions)
{
N = nTruncated;
rng = randomGen;
tmp = Math.Sqrt(2.0 * sde.Expiry);
}
public Tuple <ISde <double>, FdmBase <double>, IRng <double> > Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde <double> sde = GetSde();
IRng <double> rng = GetRng();
FdmBase <double> fdm = GetFdm(sde);
return(new Tuple <ISde <double>, FdmBase <double>, IRng <double> >(sde, fdm, rng));
}
public event EndOfSimulation <double> finish; // Signals that all paths are complete
public MCMediator(Tuple <ISde, FdmBase, IRng> parts, int numberSimulations)
{
sde = parts.Item1;
fdm = parts.Item2;
rng = parts.Item3;
NSim = numberSimulations;
res = new double[fdm.NT];
}
private FdmBase GetFdm(ISde sde)
{
int NT = 500;
Console.Write("How many NT? ");
NT = Convert.ToInt32(Console.ReadLine());
return(new EulerFdm(sde, NT));
}
public Tuple <ISde, FdmBase, IRng> Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde sde = GetSde();
IRng rng = GetRng();
FdmBase fdm = GetFdm(sde);
return(new Tuple <ISde, FdmBase, IRng>(sde, fdm, rng));
}
public Tuple <ISde, FdmBase, IRng> Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde sde = GetSde();
IRng rng = GetRng();
FdmBase fdm = GetFdm(sde);
Payoff payoff = x => Math.Max(0.0, K - x);
//Payoff payoff = x => Math.Max(0.0, x - K);
Func <double> discounter = () => Math.Exp(-r * T);
IPricer pricer = GetPricer(payoff, discounter);
return(new Tuple <ISde, FdmBase, IRng>(sde, fdm, rng));
}
public FdmBase(ISde stochasticEquation, int numSubdivisions)
{
sde = stochasticEquation;
NT = numSubdivisions;
k = sde.Expiry / (double)NT;
dtSqrt = Math.Sqrt(k);
x = new double[NT + 1];
// Create the mesh array
x[0] = 0.0;
for (int n = 1; n < x.Length; n++)
{
x[n] = x[n - 1] + k;
}
}
public dynamic k; // Mesh size
public FdmBase(ISde <T> stochasticEquation, int numSubdivisions)
{
sde = stochasticEquation;
NT = numSubdivisions;
k = (dynamic)sde.Expiry / (dynamic)NT;
// Console.WriteLine("{0},{1},{2} k", k, sde.Expiry, NT);
x = new T[NT + 1];
// Create the mesh array
x[0] = (dynamic)0.0;
for (int n = 1; n < x.Length; n++)
{
x[n] = x[n - 1] + k;
}
for (int j = 0; j < x.Length; j++)
{
// Console.Write("{0}, ", x[j]);
}
// string s = Console.ReadLine();
}
public MCMediator(Tuple <ISde, FdmBase, IRng> parts, PathEvent <double> optionPaths,
EndOfSimulation <double> finishOptions, int numberSimulations)
{
sde = parts.Item1;
fdm = parts.Item2;
rng = parts.Item3;
// Define slots for path information
path = optionPaths;
// Signal end of simulation
finish = finishOptions;
NSim = numberSimulations;
res = new double[fdm.NT + 1];
mis = i => { if ((i / 10000) * 10000 == i)
{
Console.WriteLine("Iteration # {0}", i);
}
};
}
public MilsteinFdm(ISde <T> stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
{ //
public Platen_01_Explicit(ISde stochasticEquation, int numSubdivisions)
: base(stochasticEquation, numSubdivisions)
{
Console.WriteLine("Platen 1.0");
}
public MidpointPredictorCorrectorFdm(ISde <T> stochasticEquation, int numSubdivisions, T a, T b)
: base(stochasticEquation, numSubdivisions)
{
A = a;
B = b;
}
public ExtrapolatedEulerFdm(ISde <T> stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
{ // Npt consistent with Ito calculus
public Heun(ISde <double> stochasticEquation, int numSubdivisions)
: base(stochasticEquation, numSubdivisions)
{
}
private FdmBase GetFdm(ISde sde)
{
Console.WriteLine("Create FDM");
Console.WriteLine("1. Euler, 2. Extrapolated Euler, 3. Milstein, 4. Predictor-Corrector (PC),");
Console.WriteLine("5. PC adjusted, 6. PC midpoint, 7. Exact, 8. Discrete Milstein,");
Console.WriteLine("9. Karhunen Loeve, 10. Platen 1.0 strong scheme, 11. Heun");
Console.WriteLine("12. Derivative Free, 13. FRKI (Runge Kutta), 14. Heun2: ");
int c = Convert.ToInt32(Console.ReadLine());
FdmBase fdm;
int NT = 500;
Console.Write("How many NT? ");
NT = Convert.ToInt32(Console.ReadLine());
double a, b;
switch (c)
{
case 1:
fdm = new EulerFdm(sde, NT);
break;
case 2:
fdm = new ExtrapolatedEulerFdm(sde, NT);
break;
case 3:
fdm = new MilsteinFdm(sde, NT);
break;
case 4:
a = 0.5;
b = 0.5;
fdm = new PredictorCorrectorFdm(sde, NT, a, b);
break;
case 5:
a = 0.5;
b = 0.5;
fdm = new ModifiedPredictorCorrectorFdm(sde, NT, a, b);
break;
case 6:
a = 0.5;
b = 0.5;
fdm = new MidpointPredictorCorrectorFdm(sde, NT, a, b);
break;
case 7:
fdm = new ExactFdm(sde, NT);
break;
case 8:
fdm = new DiscreteMilsteinFdm(sde, NT);
break;
case 9:
int N = 100; // Series truncation value
// IRng rng = new PolarMarsagliaSitmo();
// fdm = new KarhunenLoeve(sde, NT, N, rng);
fdm = new Platen_01_Explicit(sde, NT);
break;
case 10:
fdm = new Platen_01_Explicit(sde, NT);
break;
case 11:
fdm = new Heun(sde, NT);
break;
case 12:
fdm = new DerivativeFree(sde, NT);
break;
case 13:
fdm = new FRKI(sde, NT);
break;
case 14:
fdm = new Heun2(sde, NT);
break;
default:
fdm = new ExtrapolatedEulerFdm(sde, NT);
break;
}
return(fdm);
}
public ExactFdm(ISde <T> stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
private FdmBase GetFdm(ISde sde)
{
Console.WriteLine("Create FDM");
Console.WriteLine("1. Euler, 2. Extrapolated Euler, 3. Milstein, 4. Predictor-Corrector (PC),");
Console.WriteLine("5. PC adjusted, 6. PC midpoint, 7. Exact, 8. Discrete Milstein,");
Console.WriteLine("9. Platen 1.0 strong scheme, 10. Platen 1.0 strong scheme, 11. Heun");
Console.WriteLine("12. Derivative Free, 13. FRKI (Runge Kutta), 14. Heun2, 15. Fitted PC: ");
int c = Convert.ToInt32(Console.ReadLine());
FdmBase fdm;
int NT;
Console.Write("How many NT? ");
NT = Convert.ToInt32(Console.ReadLine());
double a, b;
switch (c)
{
case 1:
fdm = new EulerFdm(sde, NT);
break;
case 2:
fdm = null; // new ExtrapolatedEulerFdm(sde, NT);
break;
case 3:
fdm = new MilsteinFdm(sde, NT);
break;
case 4:
a = 0.5;
b = 0.5;
fdm = new PredictorCorrectorFdm(sde, NT, a, b);
break;
case 5:
a = 0.5;
b = 0.5;
fdm = new ModifiedPredictorCorrectorFdm(sde, NT, a, b);
break;
case 6:
a = 0.5;
b = 0.5;
fdm = new MidpointPredictorCorrectorFdm(sde, NT, a, b);
break;
case 7:
fdm = new ExactFdm(sde, NT, IC, v, r);
break;
case 8:
fdm = new DiscreteMilsteinFdm(sde, NT);
break;
case 9:
fdm = new Platen_01_Explicit(sde, NT);
break;
case 10:
fdm = new Platen_01_Explicit(sde, NT);
break;
case 11:
fdm = new Heun(sde, NT);
break;
case 12:
fdm = new DerivativeFree(sde, NT);
break;
case 13:
fdm = new FRKI(sde, NT);
break;
case 14:
fdm = new Heun2(sde, NT);
break;
case 15:
a = 0.5;
b = 0.5;
fdm = new FittedMidpointPredictorCorrectorFdm(sde, NT, a, b);
break;
default:
fdm = null; // new ExtrapolatedEulerFdm(sde, NT);
break;
}
return(fdm);
}
public EulerFdm(ISde stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
public DiscreteMilsteinFdm(ISde stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
// Code ported from C++
public Heun2(ISde stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
// Code ported from C++
public DerivativeFree(ISde stochasticEquation, int numSubdivisions) : base(stochasticEquation, numSubdivisions)
{
}
public PredictorCorrectorFdm(ISde stochasticEquation, int numSubdivisions, double a, double b)
: base(stochasticEquation, numSubdivisions)
{
A = a;
B = b;
}
