public void GetFirstNodeInStep()
{
Assert.AreEqual(4, BinTree.GetIndexFirstNodeInStep(3));
Assert.AreEqual(2, BinTree.GetIndexFirstNodeInStep(2));
}
/// <summary>
/// Datos de las betas segun el percentil del valor del arbol (beta en 10% sup, 20% sup, ...)
/// </summary>
private static void BetaGraph1()
{
int numberOfSteps = 2000;
double InitialStockPrice = 100;
double Volatility = 0.2;
double StrikePrice = 105;
double TotalTimeYears = 0.5;
double RiskFree = 0.03;
double MarketRiskPremium = 0.06;
double StockBeta = 1;
var tree = new CapmBinTree(numberOfSteps);
tree.InitialStockPrice = InitialStockPrice;
tree.Volatility = Volatility;
tree.StrikePrice = StrikePrice;
tree.TotalTimeYears = TotalTimeYears;
tree.RiskFree = RiskFree;
tree.MarketRiskPremium = MarketRiskPremium;
tree.StockBeta = StockBeta;
Console.WriteLine("Calculating stock prices...");
tree.CalculateStockPrices();
Console.WriteLine("Calculating option prices...");
tree.CalculateOptionPrices();
Console.WriteLine("Outputing the betas...");
int divisions = 70;
using (var writer = new StreamWriter("beta_graph_1.csv", false))
{
writer.Write("Step");
for (int i = 1; i <= divisions; i++)
{
writer.Write(",n" + i);
}
writer.WriteLine();
var indexes = new List <int>(divisions);
for (int step = 1; step < numberOfSteps; step++)
{
int nodeCount = BinTree.GetIndexLastNodeInStep(step) - BinTree.GetIndexFirstNodeInStep(step);
indexes.Clear();
for (int stp = 0; stp < divisions; stp++)
{
indexes.Add(nodeCount * stp / divisions);
}
writer.Write(step + ",");
int i = 0;
foreach (var node in tree.IterateNodesOfStep(step))
{
if (indexes.Contains(i))
{
if (node.OptionBeta <= 0)
{
break;
}
writer.Write(node.OptionBeta + ",");
}
i++;
}
writer.WriteLine();
}
}
Console.WriteLine("Done. See: beta_graph_1.csv");
}