public void TestSimulation()
{
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 10000;
int n_steps = 512;
double strike = 90.0;
double maturity = 2.0;
double rate = 0.1;
double dy = 0.05;
double volatility = 0.2;
double S0 = 100;
ModelParameter Pstrike = new ModelParameter(strike, string.Empty, "strike");
rov.Symbols.Add(Pstrike);
ModelParameter PS0 = new ModelParameter(S0, string.Empty, "S0");
rov.Symbols.Add(PS0);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
AFunction rfunc = new AFunction(rov);
rfunc.VarName = "r";
rfunc.m_IndependentVariables = 1;
rfunc.m_Value = (RightValue)rate;
rov.Symbols.Add(rfunc);
AFunction qfunc = new AFunction(rov);
qfunc.VarName = "q";
qfunc.m_IndependentVariables = 1;
qfunc.m_Value = (RightValue)dy;
rov.Symbols.Add(qfunc);
AFunction volfunc = new AFunction(rov);
volfunc.VarName = "localvol";
volfunc.m_IndependentVariables = 2;
volfunc.m_Value = (RightValue)volatility;
rov.Symbols.Add(volfunc);
DupireProcess process = new DupireProcess();
process.s0 = (ModelParameter)"S0";
process.r = (ModelParameter)"@r";
process.q = (ModelParameter)"@q";
process.localVol = (ModelParameter)"@localvol";
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)maturity;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
rov.DisplayErrors();
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
// Calculation of the theoretical value of the call.
double theoreticalPrice = BlackScholes.Call(rate, S0, strike, volatility, maturity, dy);
Console.WriteLine("Theoretical Price = " + theoreticalPrice.ToString());
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.LessOrEqual(Math.Abs(theoreticalPrice - samplePrice), tol);
}
public void TestCalibration()
{
InterestRateMarketData IData = InterestRateMarketData.FromFile("../../TestData/IRMD-sample.xml");
CallPriceMarketData HData = CallPriceMarketData.FromFile("../../TestData/CallData-sample.xml");
//InterestRateMarketData IData = InterestRateMarketData.FromFile("../../../EquityModels.Tests/TestData/IRMD-EU-30102012-close.xml");
//CallPriceMarketData HData = CallPriceMarketData.FromFile("../../../EquityModels.Tests/TestData/30102012-SX5E_Index-HestonData.xml");
//CallPriceMarketData HData = ObjectSerialization.ReadFromXMLFile("../../../EquityModels.Tests/TestData/FTSE.xml") as CallPriceMarketData;
List <object> l = new List <object>();
l.Add(IData.DiscountingCurve);
l.Add(HData);
DupireEstimator DE = new DupireEstimator();
DupireCalibrationSettings settings = new DupireCalibrationSettings();
settings.LocalVolatilityCalculation = LocalVolatilityCalculation.Method1;
//settings.LocalVolatilityCalculation = LocalVolatilityCalculation.QuantLib;
EstimationResult res = DE.Estimate(l, settings);
//int nmat = HData.Maturity.Length;
//int nstrike = HData.Strike.Length;
int i = 5; // Maturity.
int j = 4; // Strike.
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 10000;
int n_steps = 500;
double strike = HData.Strike[j];
//double volatility = HData.Volatility[i, j];
/*
* PFunction2D.PFunction2D impvolfunc = new PFunction2D.PFunction2D(rov);
* impvolfunc = res.Objects[3] as PFunction2D.PFunction2D;
* impvolfunc.VarName = "impvol";
* rov.Symbols.Add(impvolfunc);
* double volatility = impvolfunc.Evaluate(HData.Maturity[i], HData.Strike[j]);
*/
double volatility = 0.2;
double maturity = HData.Maturity[i];
ModelParameter Pstrike = new ModelParameter(strike, string.Empty, "strike");
rov.Symbols.Add(Pstrike);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
bool found;
double S0 = PopulateHelper.GetValue("S0", res.Names, res.Values, out found);
ModelParameter PS0 = new ModelParameter(S0, string.Empty, "S0");
rov.Symbols.Add(PS0);
PFunction rfunc = new PFunction(rov);
rfunc = res.Objects[0] as PFunction;
rfunc.VarName = "r";
rov.Symbols.Add(rfunc);
PFunction qfunc = new PFunction(rov);
qfunc = res.Objects[1] as PFunction;
qfunc.VarName = "q";
rov.Symbols.Add(qfunc);
PFunction2D.PFunction2D volfunc = new PFunction2D.PFunction2D(rov);
volfunc = res.Objects[2] as PFunction2D.PFunction2D;
volfunc.VarName = "localvol";
rov.Symbols.Add(volfunc);
DupireProcess process = new DupireProcess();
process.s0 = (ModelParameter)"S0";
process.r = (ModelParameter)"@r";
process.q = (ModelParameter)"@q";
process.localVol = (ModelParameter)"@localvol";
double rate = rfunc.Evaluate(maturity);
double dy = qfunc.Evaluate(maturity);
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)maturity;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
rov.DisplayErrors();
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
Console.WriteLine("Surf = " + volfunc.Expr);
// Calculation of the theoretical value of the call.
double theoreticalPrice = BlackScholes.Call(rate, S0, strike, volatility, maturity, dy);
Console.WriteLine("Theoretical Price = " + theoreticalPrice.ToString());
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
doc.WriteToXMLFile("Dupire.fair");
Assert.LessOrEqual(Math.Abs(theoreticalPrice - samplePrice), tol);
}
public void TestSimulation()
{
Engine.MultiThread = true;
Document doc = new Document();
ProjectROV rov = new ProjectROV(doc);
doc.Part.Add(rov);
doc.DefaultProject.NMethods.m_UseAntiteticPaths = true;
int n_sim = 10000;
int n_steps = 512;
double strike = 90.0;
double maturity = 2.0;
double rate = 0.1;
double dy = 0.05;
double volatility = 0.2;
double S0 = 100;
ModelParameter Pstrike = new ModelParameter(strike, string.Empty, "strike");
rov.Symbols.Add(Pstrike);
ModelParameter PS0 = new ModelParameter(S0, string.Empty, "S0");
rov.Symbols.Add(PS0);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
AFunction rfunc = new AFunction(rov);
rfunc.VarName = "r";
rfunc.m_IndependentVariables = 1;
rfunc.m_Value = (RightValue)rate;
rov.Symbols.Add(rfunc);
AFunction qfunc = new AFunction(rov);
qfunc.VarName = "q";
qfunc.m_IndependentVariables = 1;
qfunc.m_Value = (RightValue)dy;
rov.Symbols.Add(qfunc);
AFunction volfunc = new AFunction(rov);
volfunc.VarName = "localvol";
volfunc.m_IndependentVariables = 2;
volfunc.m_Value = (RightValue)volatility;
rov.Symbols.Add(volfunc);
DupireProcess process = new DupireProcess();
process.s0 = (ModelParameter)"S0";
process.r = (ModelParameter)"@r";
process.q = (ModelParameter)"@q";
process.localVol = (ModelParameter)"@localvol";
StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process);
rov.Processes.AddProcess(s);
// Set the discounting.
RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo;
rfi.ActualizationType = EActualizationType.RiskFree;
rfi.m_deterministicRF = rate;
OptionTree op = new OptionTree(rov);
op.PayoffInfo.PayoffExpression = "payoff(v1)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)maturity;
op.PayoffInfo.European = true;
rov.Map.Root = op;
rov.NMethods.Technology = ETechType.T_SIMULATION;
rov.NMethods.PathsNumber = n_sim;
rov.NMethods.SimulationSteps = n_steps;
ROVSolver solver = new ROVSolver();
solver.BindToProject(rov);
solver.DoValuation(-1);
if (rov.HasErrors)
{
rov.DisplayErrors();
}
Assert.IsFalse(rov.HasErrors);
ResultItem price = rov.m_ResultList[0] as ResultItem;
double samplePrice = price.value;
double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim);
// Calculation of the theoretical value of the call.
double theoreticalPrice = BlackScholes.Call(rate, S0, strike, volatility, maturity, dy);
Console.WriteLine("Theoretical Price = " + theoreticalPrice.ToString());
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.LessOrEqual(Math.Abs(theoreticalPrice - samplePrice), tol);
}
