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));
}
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 };*/
}
}