public void CheckZeroVolForward(AssetMarket assetMkt)
{
var zcCurve = assetMkt.RiskFreeDiscount;
var market = new Market(new[] { zcCurve }, new[] { assetMkt });
var zeroVol = new MapRawDatas <DateOrDuration, double>(new[] { new DateOrDuration(assetMkt.RefDate) }, new[] { 0.0 });
var blackScholesDesc = new BlackScholesModelDescription(assetMkt.Asset.Name, zeroVol, true);
var mcConfig = new MonteCarloConfig(1, RandomGenerators.GaussianSobol(SobolDirection.Kuo3));
var blackScholesModel = ModelFactory.Instance.Build(blackScholesDesc, market);
var fwdDates = new[] { Duration.Month, 6 * Duration.Month, Duration.Year, 2 * Duration.Year, 5 * Duration.Year }
.Map(d => assetMkt.RefDate + d);
IProduct fwdLeg = ForwardLeg(fwdDates);
PriceResult priceResult = (PriceResult)McPricer.WithDetails(mcConfig).Price(fwdLeg, blackScholesModel, market);
double[] fwds = priceResult.Details.Map(kv => kv.Item3.Value);
var assetFwdCurve = assetMkt.Forward();
double[] refFwds = fwdDates.Map(d => assetFwdCurve.Fwd(d) * zcCurve.Zc(d));
foreach (var i in Enumerable.Range(0, fwdDates.Length))
{
var err = Math.Abs(fwds[i] / refFwds[i] - 1.0);
Assert.LessOrEqual(err, 20.0 * DoubleUtils.MachineEpsilon);
}
}
public void Test()
{
var market = Market();
const double lambda = 0.01;
var sigma = new StepFunction(new[] { 0.0, 1.0, 2.0 }, new[] { 0.007, 0.004, 0.0065 }, 0.0);
var hw1 = new Hw1Model(TimeMeasure.Act365(market.RefDate), Currency.Eur, lambda, sigma);
var mcConfig = new MonteCarloConfig(20000,
RandomGenerators.GaussianSobol(SobolDirection.JoeKuoD5));
var mcPricer = McPricer.WithDetails(mcConfig);
var fixedLeg = FixedLeg(market.RefDate);
var mcPriceResult = (PriceResult)mcPricer.Price(fixedLeg, hw1, market);
var mcCoupons = mcPriceResult.Details.Map(p => p.Item3.Value);
var refCoupons = mcPriceResult.Details.Map(pi => market.DiscountCurve(pi.Item2.Financing).Zc(pi.Item2.Date));
var errAbs = Math.Abs(mcCoupons.Sum() - refCoupons.Sum());
Assert.LessOrEqual(errAbs, 7.0e-5);
var errRel = Math.Abs(mcCoupons.Sum() / refCoupons.Sum() - 1.0);
Assert.LessOrEqual(errRel, 8.0e-6);
}
public LocalVolPathGenFactory(MonteCarloConfig mcConfig)
{
this.mcConfig = mcConfig;
if (mcConfig.McStep == null)
{
throw new ArgumentException("LocalVol model resuires McStep");
}
}
public McModelFactory(MonteCarloConfig mcConfig)
{
this.mcConfig = mcConfig;
}
public static McPricer WithDetails(MonteCarloConfig mcConfig)
{
return(new McPricer(mcConfig, new McPricingResultWithDetails()));
}
public McPricer(MonteCarloConfig mcConfig, IMcPricingResult pricingResult)
{
this.pricingResult = pricingResult;
mcModelFactory = new McModelFactory(mcConfig);
nbPaths = mcConfig.NbPaths;
}
