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);
}
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);
}