public HestonAsian(IEnumerable <double> Tm, PayoffType type, double K, double T)
{
this.Tm = Tm;
this.type = type;
this.K = K;
this.T = T;
}
/// <summary>
/// Initializes a new instance of the <see cref="T:HestonModel.Classes.InterfaceClasses.AsianOption"/> class.
/// </summary>
/// <param name="StrikePrice">Strike price.</param>
/// <param name="Type">Type (Put / Call)</param>
/// <param name="Maturity">Maturity</param>
/// <param name="MonitoringTimes">Monitoring times</param>
public AsianOption(double StrikePrice, PayoffType Type,
double Maturity, IEnumerable <double> MonitoringTimes)
: base(StrikePrice, Type, Maturity)
{
// Sanity Check
if (MonitoringTimes.Any())
{
double max = MonitoringTimes.Max();
if (max > Maturity)
{
throw new Exception("All monitoring time have to be less of equal than the maturity time");
}
double min = MonitoringTimes.Min();
if (min < 0)
{
throw new Exception("All monitoring time have to be nonnegative");
}
}
else
{
throw new Exception("Provide at least one monitoring time for the Asian option pricing");
}
_MonitoringTimes = MonitoringTimes;
}
public HestonAsian()
{
this.Tm = new double[] { 0.75, 1.00 };
this.type = PayoffType.Call;
this.K = 100;
this.T = 1;
}
public void Task_2_2_3()
{
// Variance Process Values
double Kappa = 1.5768;
double Theta = 0.0398;
double Sigma = 0.5751;
double V0 = 0.0175;
double Rho = -0.5711;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.025;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 3;
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity);
EuropeanOptionFormula euFormula =
new EuropeanOptionFormula(hestonModel, euOption);
Assert.AreEqual(15.4793, euFormula.Price(), 1e-4);
}
/// <summary>
/// Initializes a new instance of the EuropeanOptionMC class.
/// </summary>
/// <param name="parameters">Interface holding Heston Model params.</param>
/// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param>
/// <param name="europeanOption">Interface holding European option params.</param>
public EuropeanOptionMC(HestonModelParameters parameters,
MonteCarloSettings monteCarloSimulationSettings,
EuropeanOption europeanOption)
: base(parameters, monteCarloSimulationSettings, europeanOption.Maturity)
{
_StrikePrice = europeanOption.StrikePrice;
_Type = europeanOption.Type;
}
/// <summary>
/// Initializes a new instance of the European option
/// </summary>
/// <param name="parameters">Heston Model Parameter Object</param>
/// <param name="europeanOption">European option Parameter Object</param>
public EuropeanOptionFormula(HestonModelParameters parameters,
EuropeanOption europeanOption)
: base(parameters.InitialStockPrice, parameters.RiskFreeRate,
parameters.GetVariance())
{
_StrikePrice = europeanOption.StrikePrice;
_Type = europeanOption.Type;
_Maturity = europeanOption.Maturity;
}
public static void Task2()
{
// Task 2
// Variance Process Values
Console.WriteLine("Task 2");
double Kappa = 1.5768;
double Theta = 0.0398;
double Sigma = 0.5751;
double V0 = 0.0175;
double Rho = -0.5711;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.025;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
int[] Maturity = new int[5] {
1, 2, 3, 4, 15
};
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 2.1 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("K, T, Price");
csv.AppendLine(newLine);
for (int i = 0; i < 5; i++)
{
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity[i]);
double price = Heston.HestonEuropeanOptionPrice(hestonModel, euOption);
System.Console.WriteLine("K={0}, T={1}, C={2}", StrikePrice,
Maturity[i], price);
newLine = string.Format("{0}, {1}, {2}", StrikePrice, Maturity[i], price);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./task2.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
/// <summary>
/// Initializes a new instance of the <see cref="T:HestonModel.Classes.InterfaceClasses.EuropeanOption"/> class.
/// </summary>
/// <param name="StrikePrice">Strike price.</param>
/// <param name="Type">Option Type (Put/Call).</param>
/// <param name="Maturity">Maturity.</param>
public EuropeanOption(double StrikePrice, PayoffType Type, double Maturity)
{
// Sanity Check
if (Maturity <= 0)
{
throw new Exception("Maturity must be a positive number.");
}
if (StrikePrice <= 0)
{
throw new Exception("Strike price must be a positive number.");
}
// Initialize private vars
_StrikePrice = StrikePrice;
_Type = Type;
_Maturity = Maturity;
}
public void Task_2_7_1()
{
// Variance Process Values
double Kappa = 2;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 1;
List <double> MonitoringTimes = new List <double>
{
0.75,
1.00
};
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity);
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
AsianOption asianOption =
new AsianOption(StrikePrice, Type, Maturity, MonitoringTimes);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
AsianOptionMC asianOptionMC =
new AsianOptionMC(hestonModel, monteCarloSettings, asianOption);
Assert.AreEqual(13.6299, asianOptionMC.Price(1), 1e-1);
}
public void Task_2_3_3()
{
// Variance Process Values
double Kappa = 2;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 3;
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity);
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
EuropeanOptionMC euOptionMC = new EuropeanOptionMC(hestonModel,
monteCarloSettings, euOption);
Assert.AreEqual(29.9957, euOptionMC.Price(1), 1e-1);
}
public static void TaskThreadScaling()
{
// Variance Process Values
Console.WriteLine("Task Thread Scaling");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 3;
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 3 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("Number of Trials, cores, time");
csv.AppendLine(newLine);
int[] cores = new int[5] {
1, 2, 4, 8, 16
};
for (int i = 0; i < 5; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)1e6;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption);
// Create Monte Carlo EU option object
EuropeanOptionMC euOptionMC = new EuropeanOptionMC(hestonModel, monteCarloSettings, euOption);
var stopwatch = new Stopwatch();
stopwatch.Start();
double price = euOptionMC.Price(cores[i]);
stopwatch.Stop();
long elapsed_time = stopwatch.ElapsedMilliseconds;
System.Console.WriteLine("K={0}, T={1}, cores={2}, C_MC={3}, C_form={4}, time={5}",
StrikePrice, Maturity, cores[i], price, priceForm, elapsed_time);
newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, cores[i], elapsed_time);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./taskThreadScaling.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
public static void Task4()
{
// Variance Process Values
Console.WriteLine("Task 4");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 1;
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 4 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity);
double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption);
System.Console.WriteLine("K={0}, T={1}, refPrice={2}", StrikePrice,
Maturity, priceForm);
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("Trials, Time Steps, relError");
csv.AppendLine(newLine);
for (int i = 3; i < 5; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)Math.Pow(10, i);
double[] factor = new double[3] {
0.5, 1, 2
};
for (int j = 0; j < 3; j++)
{
int NumberOfTimeSteps = (int)Math.Ceiling(factor[j] * 365 * Maturity);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, #Trials={2}, #TimeSteps={3}, rel_error={4}", StrikePrice,
Maturity, NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm);
newLine = string.Format("{0}, {1}, {2}", NumberOfTrials, NumberOfTimeSteps, Math.Abs(priceForm - price) / priceForm);
csv.AppendLine(newLine);
}
}
//Write to csv
File.WriteAllText(@"./task4.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
public static void Task3()
{
// Variance Process Values
Console.WriteLine("Task 3");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double[] Maturity = new double[5] {
1, 2, 3, 4, 15
};
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 3 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("K, T, Price, refPrice");
csv.AppendLine(newLine);
for (int i = 0; i < 5; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]);
EuropeanOption euOption =
new EuropeanOption(StrikePrice, Type, Maturity[i]);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double priceForm = Heston.HestonEuropeanOptionPrice(hestonModel, euOption);
double price = Heston.HestonEuropeanOptionPriceMC(hestonModel, euOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, C_MC={2}, C_form={3}", StrikePrice,
Maturity[i], price, priceForm);
newLine = string.Format("{0}, {1}, {2}, {3}", StrikePrice, Maturity[i], price, priceForm);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./task3.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
public HestonEuro(PayoffType type, double K, double T)
{
this.type = type;
this.K = K;
this.T = T;
}
public HestonEuro()
{
this.type = PayoffType.Call;
this.K = 100;
this.T = 1;
}
public static void Task7()
{
// Variance Process Values
Console.WriteLine("Task 7");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double[] Maturity = new double[3] {
1, 2, 3
};
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 7 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
// Monitoring Times
List <double> monTimes1 = new List <double>
{
0.75,
1.00
};
List <double> monTimes2 = new List <double>
{
0.25, 0.5, 0.75, 1.00, 1.25, 1.5, 1.75
};
List <double> monTimes3 = new List <double>
{
1.00, 2.00, 3.00
};
List <List <double> > MonitoringTimes = new List <List <double> >
{
monTimes1, monTimes2, monTimes3
};
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("K, T, Price");
csv.AppendLine(newLine);
for (int i = 0; i < 3; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]);
AsianOption asianOption =
new AsianOption(StrikePrice, Type, Maturity[i], MonitoringTimes[i]);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double price = Heston.HestonAsianOptionPriceMC(hestonModel,
asianOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, C_MC={2}", StrikePrice,
Maturity[i], price);
newLine = string.Format("{0}, {1}, {2}", StrikePrice, Maturity[i], price);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./task7.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
public AsianOptionGrading(IEnumerable <double> monitoringTimes, double timeToExpiry, double strike, PayoffType type) : base(timeToExpiry, strike, type)
{
MonitoringTimes = monitoringTimes;
}
