/// <summary>
/// Test method, displays a sensitivity on heston call and put prices.
/// </summary>
private void PutCallTest()
{
Console.WriteLine("Black-Sholes Calls Market Prices");
Console.WriteLine(this.callMarketPrice);
Console.WriteLine("Strikes");
Console.WriteLine(this.strike);
Console.WriteLine("Maturities");
Console.WriteLine(this.maturity);
var x = new Vector()
{
3.18344026504981,
0.0427882999286046,
0.644527074840708,
-0.659960749691282,
0.0150455464938991,
0.0211747510984717
};
HestonCall hc = new HestonCall(this, x, this.s0);
hc.T = .1;
hc.rate = this.rate[0];
Console.WriteLine("Strike\tCall\tPut");
for (int z = 200; z < 6500; z += 1000)
{
hc.K = z;
var call = hc.HestonCallPrice();
var put = hc.HestonPutPrice();
var callPut = hc.HestonCallPutPrice();
Console.WriteLine(z + "\t" + callPut[0] + "\t" + callPut[1]);
}
}
public void Test()
{
double k = 0.9;
double tau = 2.0;
double rate = 0.1;
double dy = 0.07;
double kappa = 2.5;
double theta = 0.4;
double sigma = 0.2;
double s0 = 1.0;
double v0 = 0.3;
double rho = -0.8;
// Calculates the theoretical value of the call.
Vector param = new Vector(5);
param[0] = kappa;
param[1] = theta;
param[2] = sigma;
param[3] = rho;
param[4] = v0;
HestonCall hestonCall = new HestonCall();
double fairmatPrice = hestonCall.HestonCallPrice(param, s0, tau, k, rate, dy);
double tol = 1e-9;
double benchmarkPrice = 0.339537359104676;
Console.WriteLine("Theoretical Benchmark Price = " + benchmarkPrice.ToString());
Console.WriteLine("Theoretical Fairmat Price = " + fairmatPrice);
Assert.Less(Math.Abs(fairmatPrice - benchmarkPrice), tol);
}
public void Test()
{
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 = 50000;
int n_steps = 512;
double strike = 100.0;
double tau = 5.0;
double rate = 0.1;
double dy = 0.07;
ModelParameter pStrike = new ModelParameter(strike, "strike");
pStrike.VarName = "strike";
rov.Symbols.Add(pStrike);
ModelParameter pRate = new ModelParameter(rate, "rfrate");
pRate.VarName = "rfrate";
rov.Symbols.Add(pRate);
AFunction payoff = new AFunction(rov);
payoff.VarName = "payoff";
payoff.m_IndependentVariables = 1;
payoff.m_Value = (RightValue)("max(x1 - strike ; 0)");
rov.Symbols.Add(payoff);
HestonProcess process = new HestonProcess();
process.r = (ModelParameter)rate;
process.q = (ModelParameter)dy;
process.k = (ModelParameter)2.5;
process.theta = (ModelParameter)0.4;
process.sigma = (ModelParameter)0.2;
process.S0 = (ModelParameter)100.0;
process.V0 = (ModelParameter)0.3;
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(v1a)";
op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)tau;
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)
{
Console.WriteLine(rov.m_RuntimeErrorList[0]);
}
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);
// Calculates the theoretical value of the call.
Vector param = new Vector(5);
param[0] = process.k.V();
param[1] = process.theta.V();
param[2] = process.sigma.V();
param[3] = 0.0;
param[4] = process.V0.V();
HestonCall hestonCall = new HestonCall();
double thPrice = hestonCall.HestonCallPrice(param, process.S0.V(),
tau, strike, rate, dy);
Console.WriteLine("Theoretical Price = " + thPrice.ToString());
Console.WriteLine("Monte Carlo Price = " + samplePrice);
Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString());
double tol = 4.0 * sampleDevSt;
Assert.Less(Math.Abs(thPrice - samplePrice), tol);
}
/// <summary>
/// Test method, displays a sensitivity on heston call and put prices.
/// </summary>
private void PutCallTest()
{
Console.WriteLine("Black-Sholes Calls Market Prices");
Console.WriteLine(this.callMarketPrice);
Console.WriteLine("Strikes");
Console.WriteLine(this.strike);
Console.WriteLine("Maturities");
Console.WriteLine(this.maturity);
var x = new Vector() {3.18344026504981,
0.0427882999286046,
0.644527074840708,
-0.659960749691282,
0.0150455464938991,
0.0211747510984717};
HestonCall hc = new HestonCall(this, x, this.s0);
hc.T = .1;
hc.rate = this.rate[0];
Console.WriteLine("Strike\tCall\tPut");
for (int z = 200; z < 6500; z += 1000)
{
hc.K = z;
var call = hc.HestonCallPrice();
var put = hc.HestonPutPrice();
var callPut = hc.HestonCallPutPrice();
Console.WriteLine(z + "\t" + callPut[0] + "\t" + callPut[1]);
}
}
public static void Main(string[] args)
{
int Caso = 1;
if (Caso == 0)
{
InterestRateMarketData MData = InterestRateMarketData.FromFile("../../../TestData/InterestRatesModels/05052009-EU.xml");
CallPriceMarketData test = CallPriceMarketData.FromFile("../../../TestData/Heston/05052009-SX5E-HestonData.xml");
EquityCalibrationData CalData = new EquityCalibrationData(test, MData);
Matrix CallMarketPrice = (Matrix)test.CallPrice;
Vector Maturity = (Vector)test.Maturity;
Vector Strike = (Vector)test.Strike;
Vector DividendYield = (Vector)test.DividendYield;
Vector Drift = CalData.Rate - CalData.DividendYield;
Vector Rate = CalData.Rate;
double u, kappa, theta, sigma, rho, v0, s0, r, q, T, K, val;
u = 1.0;
kappa = 19.4;
theta = 0.235;
sigma = 0.00500999;
rho = -0.96;
v0 = 0.664;
s0 = 3872.15;
r = -0.0867303549580581;
q = 0;
T = 0.50;
K = 6000;
Vector MatBound = new Vector(2);
Vector StrikeBound = new Vector(2);
MatBound[0] = 0.0;
MatBound[1] = 2.0;
StrikeBound[0] = 0.7;
StrikeBound[1] = 1.3;
Matrix Volatility = new Matrix(test.CallPrice.R, test.CallPrice.C);
HestonCallOptimizationProblem HP = new HestonCallOptimizationProblem(CallMarketPrice, Maturity, Strike, Rate, DividendYield, test.S0, MatBound, StrikeBound, Volatility);
Complex Cval, Cu;
Cu = u - Complex.I;
HestonCall hc = new HestonCall(HP);
Cval = hc.phi(u, kappa, theta, sigma, rho, s0, v0, r, T);
Console.WriteLine("phi1 = {0}", Cval);
Cval = hc.phi(Cu, kappa, theta, sigma, rho, s0, v0, r, T);
Console.WriteLine("phi2 = {0}", Cval);
val = hc.IntegrandFunc(u, kappa, theta, sigma, rho, s0, v0, r, q, T, K);
Console.WriteLine("IntFunc = {0}", val);
Vector x = new Vector(5);
x[0] = kappa;
x[1] = theta;
x[2] = sigma;
x[3] = rho;
x[4] = v0;
DateTime T1, T2;
TimeSpan ElapsedTime;
double Time, Time2, Time3;
T1 = DateTime.Now;
val = hc.HestonCallPrice(x, s0, T, K, r, q);
T2 = DateTime.Now;
ElapsedTime = T2 - T1;
Time = (double)ElapsedTime.Milliseconds;
Time2 = (double)ElapsedTime.Seconds;
Console.WriteLine("Price = {0}", val);
Console.WriteLine("Elapsed Time = {0}", Time2 + Time / 1000);
int NProve = 10;
int NPassi = 1000;
double val2;
Random CasNum = new Random();
for (int i = 0; i < NProve; i++)
{
for (int j = 0; j < 5; j++)
{
val2 = ((double)CasNum.Next(0, NPassi)) / ((double)NPassi);
x[j] = HP.Bounds.Lb[j] + (HP.Bounds.Ub[j] - HP.Bounds.Lb[j]) * val2;
}
Console.Write("Trial {0} x = " + x.ToString(), i + 1);
T1 = DateTime.Now;
val = HP.Obj(x);
T2 = DateTime.Now;
ElapsedTime = T2 - T1;
Time = (double)ElapsedTime.Milliseconds;
Time2 = (double)ElapsedTime.Seconds;
Time3 = (double)ElapsedTime.Minutes;
Console.WriteLine(" Time = {0}' {1}'' Val = {2}", Time3, Time2 + Time / 1000, val);
}
}
if (Caso == 1)
{
TestHestonCallEstimation NewTest = new TestHestonCallEstimation();
bool Result = NewTest.Run();
}
}
