public static void TestVasicekPricing()
{
double r0 = 0.01;
double k = 0.5;
double theta = 0.1;
double sigma = 0.1;
VasicekModel model = new VasicekModel(r0, k, theta, sigma);
double[] bondMaturities = new double[] { 2, 10 };
Console.WriteLine("Bond prices");
for (int i = 0; i < bondMaturities.Length; ++i)
{
double T = bondMaturities[i];
double p = model.PriceZCB(T);
Console.WriteLine("T={0}, p={1}", T, p);
}
double[] optionExerciseTimes = new double[] { 1, 2 };
double[] optionStrikes = new double[] { 0.9, 0.9 };
Console.WriteLine("European call options on ZCBs, prices");
for (int i = 0; i < bondMaturities.Length; ++i)
{
double T = bondMaturities[i], S = optionExerciseTimes[i], K = optionStrikes[i];
double v = model.PriceZCBCall(S, K, T);
Console.WriteLine("T={0}, S={1}, K={2}, v={3}", T, S, K, v);
}
}
public static void TestVasicekCalibration()
{
double r0 = 0.01;
double k = 0.5;
double theta = 0.01;
double sigma = 0.2;
VasicekModel model = new VasicekModel(r0, k, theta, sigma);
double[] bondMaturities = new double[] { 1, 2, 10 };
double[] optionExerciseTimes = new double[] { 0.5, 1, 2 };
double[] optionStrikes = new double[] { 0.9, 0.9, 0.9 };
double[] prices = new double[bondMaturities.Length];
//Console.WriteLine("European call options on ZCBs, prices");
for (int i = 0; i < bondMaturities.Length; ++i)
{
double T = bondMaturities[i], S = optionExerciseTimes[i], K = optionStrikes[i];
//prices[i] = model.PriceZCBCall(S, K, T);
prices[i] = 0.05;
}
VasicekCalibrator calibrator = new VasicekCalibrator(r0, 1e-15, 2000);
for (int i = 0; i < bondMaturities.Length; ++i)
{
calibrator.AddObservedOption(bondMaturities[i], optionExerciseTimes[i], optionStrikes[i], prices[i]);
}
calibrator.Calibrate();
double error = 0;
CalibrationOutcome outcome = CalibrationOutcome.NotStarted;
calibrator.GetCalibrationStatus(ref outcome, ref error);
Console.WriteLine("Calibration outcome: {0} and error: {1}", outcome, error);
}
public override void Visit(VasicekModel model)
{ // Price a put or call using Jamshidian (1989)
if (type == OptionType.Call)
{
price = CallPrice(model); // implements Jamshidian 1989
}
else
{
price = PutPrice(model); // implements Jamshidian 1989
}
}
private double PutPrice(VasicekModel model)
{
double nu = 0.5 * model.vol * model.vol * (1.0 - Math.Exp(-2.0 * model.kappa * (T - t))) / model.kappa;
nu = Math.Sqrt(nu);
double sigP = nu * (1.0 - Math.Exp(-model.kappa * (s - T))) / model.kappa;
double d1 = (Math.Log(model.P(t, s) / (model.P(t, T) * K)) / sigP) + 0.5 * sigP;
double d2 = d1 - sigP;
/* Console.WriteLine(" d1, d2 {0}, {1}", d1, d2);
* Console.WriteLine("{0}, {1}", model.kappa, model.vol);
* Console.WriteLine("{0}, {1}", nu, sigP);*/
return(K * model.P(t, T) * SpecialFunctions.N(-d2) - model.P(t, s) * SpecialFunctions.N(-d1));
}
public void TestVasicekModel()
{
var r = 0.05;
var speed = 0.15;
var sig = 0.01;
var model = new VasicekModel(speed, r, sig);
model.TimeToMaturity = 5;
var rate = model.SpotRate;
var price = model.PresentValue;
var yieldSig = model.YieldVolatility;
model.TimeToMaturity = 1;
rate = model.SpotRate;
price = model.PresentValue;
yieldSig = model.YieldVolatility;
}
public static void TestVasicekCalibration()
{
double r0 = 0.01;
double k = 0.5;
double theta = 0.01;
double sigma = 0.2;
VasicekModel model = new VasicekModel(r0, k, theta, sigma);
double[] bondMaturities = new double[] { 1, 2, 10 };
double[] optionExerciseTimes = new double[] { 0.5, 1, 2 };
double[] optionStrikes = new double[] { 0.9, 0.9, 0.9 };
double[] prices = new double[bondMaturities.Length];
//Console.WriteLine("European call options on ZCBs, prices");
for (int i = 0; i < bondMaturities.Length; ++i)
{
double T = bondMaturities[i], S = optionExerciseTimes[i], K = optionStrikes[i];
prices[i] = model.PriceZCBCall(S, K, T);
}
VasicekCalibrator calibrator = new VasicekCalibrator(r0, 1e-20, 2000);
for (int i = 0; i < bondMaturities.Length; ++i)
{
// Here you should add the market data to the vasicekCalibrator...
// .. for that you will need to modify the calibrator appropriately
// e.g. add an AddObservedOption method to the VasicekCalibrator as follows
//calibrator.AddObservedOption(bondMaturities[i], optionExerciseTimes[i], optionStrikes[i], prices[i]);
throw new NotImplementedException("Method not implemented... that's part of the exercise.");
}
calibrator.Calibrate();
double error = 0;
CalibrationOutcome outcome = CalibrationOutcome.NotStarted;
calibrator.GetCalibrationStatus(ref outcome, ref error);
Console.WriteLine("Calibration outcome: {0} and error: {1}", outcome, error);
}
public static void Main()
{
Console.WriteLine("\nXML Serialiser..");
// Create option data.
OptionData opt = new OptionData();
opt.ID = "IBM CALL DEC";
opt.r = 0.08;
opt.sig = 0.30;
opt.K = 65.0;
opt.T = 0.25;
opt.b = opt.r; // Stock option
opt.otyp = "C";
// Create an XML serialiser.
XmlSerializer xs = new XmlSerializer(typeof(OptionData));
using (Stream s = File.Create("OptionXML.xml"))
{
xs.Serialize(s, opt);
}
// Recreate the object from the XML file.
OptionData opt2;
using (FileStream s = File.OpenRead("OptionXML.xml"))
{
opt2 = (OptionData)xs.Deserialize(s);
}
// opt2.print();
// We now do the same with XmlWriter and XmlReader
XmlWriterSettings writeSettings = new XmlWriterSettings();
writeSettings.Indent = true;
using (XmlWriter wr = XmlWriter.Create("OptionXML2.xml", writeSettings))
{
wr.WriteStartElement("Option");
// The recommended way to write XML data (e.g. call XmlConvert to peform
// XML-compliant string conversions).
wr.WriteStartElement("r"); wr.WriteValue(0.1); wr.WriteEndElement();
wr.WriteStartElement("vol"); wr.WriteValue(0.2); wr.WriteEndElement();
wr.WriteStartElement("K"); wr.WriteValue(100); wr.WriteEndElement();
wr.WriteStartElement("T"); wr.WriteValue(0.25); wr.WriteEndElement();
wr.WriteStartElement("coc"); wr.WriteValue(0.1); wr.WriteEndElement();
wr.WriteStartElement("type"); wr.WriteValue("Call"); wr.WriteEndElement();
wr.WriteEndElement();
}
XmlReaderSettings readSettings = new XmlReaderSettings();
readSettings.IgnoreWhitespace = true;
// Open XML file and print the values
/* using (XmlReader reader = XmlReader.Create("OptionXML2.xml", readSettings))
* while (reader.Read())
* {
* Console.Write(new string (' ', reader.Depth*2)); // Depth of current node
* Console.WriteLine(reader.NodeType); // Type of current node
* Console.Write(reader.Name); // Qualified name of current node
* Console.WriteLine(reader.Value); // Value of current node
* }*/
using (XmlReader reader = XmlReader.Create("OptionXML2.xml", readSettings))
{
reader.MoveToContent(); // Skip over XML declaration
reader.ReadStartElement("Option"); // Start with data structure
// Read the elements in the order as they were written
string sa = reader.ReadElementContentAsString("r", ""); Console.WriteLine(sa);
sa = reader.ReadElementContentAsString("vol", ""); Console.WriteLine(sa);
sa = reader.ReadElementContentAsString("K", ""); Console.WriteLine(sa);
sa = reader.ReadElementContentAsString("T", ""); Console.WriteLine(sa);
sa = reader.ReadElementContentAsString("coc", ""); Console.WriteLine(sa);
sa = reader.ReadElementContentAsString("type", ""); Console.WriteLine(sa);
}
// Start the process IE) that can process this XML file.
// Then you view the output.
// System.Diagnostics.Process.Start("OptionXML.xml");
// Using serialisation with inheritance.
// Parameters for Vasicek model
double r = 0.05;
double kappa = 0.15;
double vol = 0.01;
double theta = r;
BondModel vasicek = new VasicekModel(kappa, theta, vol, r);
XmlSerializer xs2 = new XmlSerializer(typeof(BondModel),
new Type[] { typeof(VasicekModel), typeof(CIRModel) });
using (Stream s = File.Create("Bond.xml"))
{
xs2.Serialize(s, vasicek);
}
// Serialise an aggregate object
DateList myDL_1 = new DateList(new Date(2009, 8, 3), new Date(2011, 8, 3), 2, 1);
//myDL_1.PrintVectDateList();
// Create an XML serialiser for a cash flow date list.
XmlSerializer xsDL = new XmlSerializer(typeof(DateList));
using (Stream s = File.Create("DateList.xml"))
{
xsDL.Serialize(s, myDL_1);
}
System.Diagnostics.Process.Start("DateList.xml"); //AG added
// Recreate the object from the XML file.
DateList myDL_2;
using (FileStream s = File.OpenRead("DateList.xml"))
{
myDL_2 = (DateList)xsDL.Deserialize(s);
}
// Using IXmlSerializer.
OptionDataV optV = new OptionDataV();
optV.r = 0.08;
optV.sig = 0.30;
optV.K = 65.0;
optV.T = 0.25;
optV.b = opt.r; // Stock option
optV.otyp = "C";
// Create an XML serialiser.
XmlSerializer xsV = new XmlSerializer(typeof(OptionDataV));
using (Stream s = File.Create("OptionXMLV.xml"))
{
xsV.Serialize(s, optV);
}
// Recreate the object from the XML file.
OptionDataV optV2;
using (FileStream s = File.OpenRead("OptionXMLV.xml"))
{
optV2 = (OptionDataV)xsV.Deserialize(s);
}
optV2.print();
System.Diagnostics.Process.Start("OptionXMLV.xml");
}
// Visit Vasicek. public abstract void Visit(VasicekModel model);
static void Main()
{
{
// Parameters for Vasicek model
double r = 0.05;
double kappa = 0.15;
double vol = 0.01;
double theta = r;
VasicekModel vasicek = new VasicekModel(kappa, theta, vol, r);
Console.WriteLine(vasicek.P(0.0, 1.0));
Console.WriteLine(vasicek.P(0.0, 5.0));
Console.WriteLine(vasicek.R(0.0, 5.0));
}
{
double r = 0.05;
double kappa = 0.15;
double vol = 0.1;
double theta = r;
OptionType type = OptionType.Call;
// OptionType type = OptionType.Put;
double t = 0.0;
double T = 1.0;
double s = 5.0;
double K = 0.67;
CIRModel cir = new CIRModel(kappa, theta, vol, r);
Console.WriteLine("cir bond price {0}", cir.P(0.0, 2.0));
// Console.WriteLine(cir.R(0.0, 5.0));
OptionPricer bv = new OptionPricer(t, T, s, K, type);
bv.Visit(cir);
Console.WriteLine("CIR option {0}", bv.price);
}
{
//OptionType type = OptionType.Call;
OptionType type = OptionType.Call;
double t = 0.0;
double T = 1.0;
double s = 5.0;
double K = 0.67;
double r = 0.05;
double kappa = 0.15;
double vol = 0.1;
double theta = r;
VasicekModel vasicek = new VasicekModel(kappa, theta, vol, r);
OptionPricer bv = new OptionPricer(t, T, s, K, type);
bv.Visit(vasicek);
Console.WriteLine("Vasicek price {0}", bv.price);
}
{
//OptionType type = OptionType.Call;
OptionType type = OptionType.Put;
double t = 0.0;
double T = 1.0;
double s = 5.0;
double K = 0.67;
OptionPricer bv = new OptionPricer(t, T, s, K, type);
// bv.Visit(vasicek);
// Console.WriteLine(bv.price);
// Some Casting
// Upcasting
double r = 0.05;
double kappa = 0.15;
double vol = 0.1;
double theta = r;
BondModel bondModel = new VasicekModel(kappa, theta, vol, r);
bondModel = new CIRModel(kappa, theta, vol, r);
// Downcasting: correct and incorrect versions.
CIRModel cirModel = (CIRModel)bondModel; // OK
// Cannot convert, hence we get a run-time error.
// VasicekModel vasicekModel = (VasicekModel)bondModel; // OK
// Two special operators.
BondModel bondModel2 = new VasicekModel(kappa, theta, vol, r);
CIRModel cirModel2 = bondModel2 as CIRModel;
if (cirModel2 == null)
{
Console.WriteLine("Conversion not successful");
}
// The 'is' operator
if (bondModel2 is VasicekModel) // YES
{
Console.WriteLine("This is a Vasicek model");
}
else if (bondModel2 is CIRModel)
{
Console.WriteLine("This is a CIR model");
}
else
{
Console.WriteLine("Oops, not Vasicek and not CIR");
}
/* // Use of 'var'
*
* var v1 = 10;
* var v2 = "hello";
* var v3 = new DateTime();
*
*
* int v1A = 10;
* string v2B = "hello";
* DateTime v3C = new DateTime();
*
* // Will not compile
* var x = 12;
* // x = "12"; // Compile-time error; x is an int
*
*
* var numbers = new[] { 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 };*/
}
}