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-3;
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 = 100000;
int n_steps = 256;
double strike = 90.0;
double tau = 2.0;
double rate = 0.1;
double dy = 0.07;
ModelParameter pStrike = new ModelParameter(strike, "strike");
pStrike.VarName = "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);
AFunction zrfunc = new AFunction(rov);
zrfunc.VarName = "zr";
zrfunc.m_IndependentVariables = 1;
zrfunc.m_Value = (RightValue)rate;
rov.Symbols.Add(zrfunc);
AFunction dyfunc = new AFunction(rov);
dyfunc.VarName = "dy";
dyfunc.m_IndependentVariables = 1;
dyfunc.m_Value = (RightValue)dy;
rov.Symbols.Add(dyfunc);
HestonExtendedProcess process = new HestonExtendedProcess();
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;
process.zrReference = (ModelParameter)"@zr";
process.dyReference = (ModelParameter)"@dy";
double discount = Math.Exp(-rate * tau);
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 = 0.0;
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 = discount * 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 theoreticalPrice = hestonCall.HestonCallPrice(param, process.S0.V(),
tau, strike, rate, 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.Less(Math.Abs(theoreticalPrice - samplePrice), tol);
}
