static void Main(string[] args)
{
try
{
int steps = 100;
long paths = 10000;
double t = 360.0;
double initialPrice = 88.0;
double _strike = 100.0;
double mu = 0.10;
double sigma = 0.20;
double rate = 0.005;
sde = new GBM(mu, sigma);
discretisation = new EulerDiscretisation(sde, initialPrice, t);
rdmGenerator = new MyRandomNumberGenerator();
simulationEngine = new SimulationEngine(discretisation, rdmGenerator, paths, steps);
callPayoff = (double spot, double strike) => Math.Max(0.0, spot - strike);
discountFactor = () => Math.Exp(-rate * t);
int tot_cnt = 100;
for (int i = 0; i < tot_cnt; i++) pricers.Add(new EuropeanPricer(callPayoff, _strike, discountFactor));
List<SimulationEngine> simulationEngines = new List<SimulationEngine>();
for (int i = 0; i < tot_cnt; i++) simulationEngines.Add(new SimulationEngine(discretisation, rdmGenerator, paths, steps));
for (int i = 0; i < tot_cnt; i++) simulationEngines[i].ProcessPath += pricers[i].ProcessPath;
for (int i = 0; i < tot_cnt; i++) simulationEngines[i].StopProcess += pricers[i].Calculate;
List<double[]> outPaths = new List<double[]>();
foreach (SimulationEngine sEngine in simulationEngines) outPaths.Add(sEngine.Run());
double[] results = new double[tot_cnt];
for (int i = 0; i < tot_cnt; i++) results[i] = pricers[i].Price();
Console.WriteLine("Price (Mean) = " + Utils.Statistics.Mean(results));
Console.WriteLine("Standard Error = " + Utils.Statistics.StandardDeviation(results));
Console.WriteLine("Press ENTER to exit...");
Console.ReadLine();
Form graphics = new SimulationGraphics(outPaths);
Application.EnableVisualStyles();
Application.Run(graphics);
Console.WriteLine("Press ENTER to exit...");
Console.ReadLine();
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public EuropeanPricer(PayoffFunction payoff, double _strike, Func<double> discountFactor)
: base(payoff, discountFactor)
{
this.strike = _strike;
}
public EuropeanPricer(PayoffFunction payoff, double _strike, Func <double> discountFactor) : base(payoff, discountFactor)
{
this.strike = _strike;
}
public Pricer(PayoffFunction payoff, Func<double> discountFactor)
{
this.payoff = payoff;
this.discountFactor = discountFactor;
}
static void Main(string[] args)
{
try
{
int steps = 100;
long paths = 10000;
double t = 360.0;
double initialPrice = 88.0;
double _strike = 100.0;
double mu = 0.10;
double sigma = 0.20;
double rate = 0.005;
sde = new GBM(mu, sigma);
discretisation = new EulerDiscretisation(sde, initialPrice, t);
rdmGenerator = new MyRandomNumberGenerator();
simulationEngine = new SimulationEngine(discretisation, rdmGenerator, paths, steps);
callPayoff = (double spot, double strike) => Math.Max(0.0, spot - strike);
discountFactor = () => Math.Exp(-rate * t);
int tot_cnt = 100;
for (int i = 0; i < tot_cnt; i++)
{
pricers.Add(new EuropeanPricer(callPayoff, _strike, discountFactor));
}
List <SimulationEngine> simulationEngines = new List <SimulationEngine>();
for (int i = 0; i < tot_cnt; i++)
{
simulationEngines.Add(new SimulationEngine(discretisation, rdmGenerator, paths, steps));
}
for (int i = 0; i < tot_cnt; i++)
{
simulationEngines[i].ProcessPath += pricers[i].ProcessPath;
}
for (int i = 0; i < tot_cnt; i++)
{
simulationEngines[i].StopProcess += pricers[i].Calculate;
}
List <double[]> outPaths = new List <double[]>();
foreach (SimulationEngine sEngine in simulationEngines)
{
outPaths.Add(sEngine.Run());
}
double[] results = new double[tot_cnt];
for (int i = 0; i < tot_cnt; i++)
{
results[i] = pricers[i].Price();
}
Console.WriteLine("Price (Mean) = " + Utils.Statistics.Mean(results));
Console.WriteLine("Standard Error = " + Utils.Statistics.StandardDeviation(results));
Console.WriteLine("Press ENTER to exit...");
Console.ReadLine();
Form graphics = new SimulationGraphics(outPaths);
Application.EnableVisualStyles();
Application.Run(graphics);
Console.WriteLine("Press ENTER to exit...");
Console.ReadLine();
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public Pricer(PayoffFunction payoff, Func <double> discountFactor)
{
this.payoff = payoff;
this.discountFactor = discountFactor;
}