static void Main(string[] args)
{
DateTime timer = DateTime.Now;
// set up dates
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.May, 1998);
Date settlementDate = new Date(17, Month.May, 1998);
Settings.setEvaluationDate(todaysDate);
// our options
Option.Type type = Option.Type.Put;
double underlying = 36;
double strike = 40;
double dividendYield = 0.00;
double riskFreeRate = 0.06;
double volatility = 0.20;
Date maturity = new Date(17, Month.May, 1999);
DayCounter dayCounter = new Actual365Fixed();
Console.WriteLine("Option type = " + type);
Console.WriteLine("Maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Strike = " + strike);
Console.WriteLine("Risk-free interest rate = {0:0.000000%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.000000%}", dividendYield);
Console.WriteLine("Volatility = {0:0.000000%}", volatility);
Console.Write("\n");
string method;
Console.Write("\n");
// write column headings
int[] widths = new int[] { 35, 14, 14, 14 };
Console.Write("{0,-" + widths[0] + "}", "Method");
Console.Write("{0,-" + widths[1] + "}", "European");
Console.Write("{0,-" + widths[2] + "}", "Bermudan");
Console.WriteLine("{0,-" + widths[3] + "}", "American");
List <Date> exerciseDates = new List <Date>();;
for (int i = 1; i <= 4; i++)
{
exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
}
Exercise europeanExercise = new EuropeanExercise(maturity);
Exercise bermudanExercise = new BermudanExercise(exerciseDates);
Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle <Quote> underlyingH = new Handle <Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption = new VanillaOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Integral
method = "Integral";
europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Finite differences
int timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps - 1));
americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps - 1));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(new BinomialVanillaEngine <JarrowRudd>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <JarrowRudd>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <JarrowRudd>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(new BinomialVanillaEngine <CoxRossRubinstein>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <CoxRossRubinstein>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <CoxRossRubinstein>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(new BinomialVanillaEngine <AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(new BinomialVanillaEngine <Trigeorgis>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <Trigeorgis>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <Trigeorgis>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(new BinomialVanillaEngine <Tian>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <Tian>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <Tian>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(new BinomialVanillaEngine <LeisenReimer>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <LeisenReimer>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <LeisenReimer>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(new BinomialVanillaEngine <Joshi4>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine <Joshi4>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine <Joshi4>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
ulong mcSeed = 42;
IPricingEngine mcengine1 = new MakeMCEuropeanEngine <PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
int nSamples = 32768; // 2^15
IPricingEngine mcengine2 = new MakeMCEuropeanEngine <LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples)
.value();
europeanOption.setPricingEngine(mcengine2);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
IPricingEngine mcengine3 = new MakeMCAmericanEngine <PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
americanOption.setPricingEngine(mcengine3);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", "N/A");
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// End test
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
//static void Main(string[] args)
//{
// List<double> xGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// List<double> yGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// //List<double> xGrid = Enumerable.Range(0, 100);
// CubicInterpolation cubic = new CubicInterpolation(xGrid, xGrid.Count, yGrid,
// CubicInterpolation.DerivativeApprox.Kruger, true,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0);
//}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
// set up dates
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.May, 1998);
Date settlementDate = new Date(17, Month.May, 1998);
Settings.setEvaluationDate(todaysDate);
// our options
Option.Type type = Option.Type.Put;
double underlying = 36;
double strike = 40;
double dividendYield = 0.00;
double riskFreeRate = 0.06;
double volatility = 0.20;
Date maturity = new Date(17, Month.May, 1999);
DayCounter dayCounter = new Actual365Fixed();
Console.WriteLine("Option type = " + type);
Console.WriteLine("Maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Strike = " + strike);
Console.WriteLine("Risk-free interest rate = {0:0.000000%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.000000%}", dividendYield);
Console.WriteLine("Volatility = {0:0.000000%}", volatility);
Console.Write("\n");
string method;
Console.Write("\n");
// write column headings
int[] widths = new int[] { 35, 14, 14, 14 };
Console.Write("{0,-" + widths[0] + "}", "Method");
Console.Write("{0,-" + widths[1] + "}", "European");
Console.Write("{0,-" + widths[2] + "}", "Bermudan");
Console.WriteLine("{0,-" + widths[3] + "}", "American");
List<Date> exerciseDates = new List<Date>(); ;
for (int i = 1; i <= 4; i++)
exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
Exercise bermudanExercise = new BermudanExercise(exerciseDates);
Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption = new VanillaOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
europeanOption.theta();
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Integral
method = "Integral";
europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Finite differences
int timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps - 1));
americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps - 1));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
ulong mcSeed = 42;
IPricingEngine mcengine1 = new MakeMCEuropeanEngine<PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
int nSamples = 32768; // 2^15
IPricingEngine mcengine2 = new MakeMCEuropeanEngine<LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples)
.value();
europeanOption.setPricingEngine(mcengine2);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
IPricingEngine mcengine3 = new MakeMCAmericanEngine<PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
americanOption.setPricingEngine(mcengine3);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", "N/A");
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// End test
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
