/// <summary>
/// Monte Carlo Pricing, Task 2.3
/// </summary>
public static void TestMCPricing()
{
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3, 4, 15 };
int paths = 100000;
int steps = 365;
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
double pricing = new double();
for (int j = 0; j < 10; j++)
{
Console.WriteLine("Testing Monte Carlo Pricing...({0})", j);
for (int i = 0; i < Ts.Length; i++)
{
pricing = mc.HestonEuropeanOptionMC(r, Ts[i], S, K, paths, PayoffType.Call);
Console.WriteLine("Price for maturity T={0} is c={1}", Ts[i], pricing);
}
}
}
/// <summary>
/// Monte Carlo pricing for Asian Option, task 2.7
/// </summary>
public static void TestAsian()
{
Console.WriteLine("Testing HestonAsianOption");
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3 };
int paths = 100000;
int steps = 365;
double[][] dates = new double[3][];
dates[0] = new double[2];
dates[0][0] = 0.75;
dates[0][1] = 1;
dates[1] = new double[7];
dates[1][0] = 0.25;
dates[1][1] = 0.5;
dates[1][2] = 0.75;
dates[1][3] = 1;
dates[1][4] = 1.25;
dates[1][5] = 1.5;
dates[1][6] = 1.75;
dates[2] = new double[3];
dates[2][0] = 0.25;
dates[2][1] = 0.5;
dates[2][2] = 0.75;
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
double pricing = new double();
for (int i = 0; i < Ts.Length; i++)
{
pricing = mc.HestonAsianOptionMC(r, Ts[i], S, K, paths, dates[i], PayoffType.Call);
Console.WriteLine("Price for maturity T={0} is c={1}", Ts[i], pricing);
}
}
/// <summary>
/// Results for Figure 2 of Task 2.4
/// </summary>
public static void GraphError()
{
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3, 4, 15 };
int steps = 365;
double priceHeston = new double();
double[] pricing = new double[7];
int paths = new int();
double price = new double();
HestonPricing heston = new HestonPricing(kappa, theta, sigma, rho, v);
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
for (int i = 0; i < Ts.Length; i++)
{
paths = 1;
priceHeston = heston.HestonOption(r, Ts[i], S, K, PayoffType.Call);
for (int j = 1; j < 6; j++)
{
paths *= 10;
pricing[j] = 0;
for (int k = 0; k < 6; k++)
{
price = mc.HestonEuropeanOptionMC(r, Ts[i], S, K, paths, PayoffType.Call);
}
pricing[j] += Math.Abs(priceHeston - price) / 5;
}
Console.WriteLine("{0} {1} {2} {3} {4} {5}", Ts[i], pricing[1], pricing[2], pricing[3], pricing[4], pricing[5]);
}
}
/// <summary>
/// Monte Carlo pricing for lookback option, task 2.8
/// </summary>
public static void TestLookBack()
{
Console.WriteLine("Testing HestonLookbackOption");
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double[] Ts = { 1, 3, 5, 7, 9 };
int paths = 100000;
int steps = 365;
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
double pricing = new double();
for (int i = 0; i < Ts.Length; i++)
{
pricing = mc.HestonLookbackOption(r, Ts[i], S, paths);
Console.WriteLine("Price for maturity T={0} is c={1}", Ts[i], pricing);
}
}
/// <summary>
/// Results for Table and Figure 1 of Task 2.2
/// </summary>
public static void TestConcordance()
{
double r = 0.1;
double theta = 0.06;
double kappa = 2;
double sigma = 0.4;
double rho = 0.5;
double v = 0.04;
double S = 100;
double K = 100;
double[] Ts = { 1, 2, 3, 4, 15 };
int steps = 365;
double[] pricing = new double[7];
int paths = new int();
HestonPricing heston = new HestonPricing(kappa, theta, sigma, rho, v);
MonteCarloPricing mc = new MonteCarloPricing(kappa, theta, sigma, rho, v, steps);
for (int i = 0; i < Ts.Length; i++)
{
paths = 1;
pricing[0] = heston.HestonOption(r, Ts[i], S, K, PayoffType.Call);
for (int j = 1; j < 6; j++)
{
paths *= 10;
pricing[j] = mc.HestonEuropeanOptionMC(r, Ts[i], S, K, paths, PayoffType.Call);
}
Console.WriteLine("{0} & {1} & {2} & {3} & {4} & {5} & {6} & {7} & {8} & {9} & {10} & {11} & {12} & {13}",
Ts[i], Math.Round(pricing[0], 3), Math.Round(pricing[1], 3), Math.Round(Math.Abs(pricing[0] - pricing[1]), 3), Math.Round(pricing[2], 3),
Math.Round(Math.Abs(pricing[0] - pricing[2]), 3), Math.Round(pricing[3], 3), Math.Round(Math.Abs(pricing[0] - pricing[3]), 3),
Math.Round(pricing[4], 3), Math.Round(Math.Abs(pricing[0] - pricing[4]), 3), Math.Round(pricing[5], 3),
Math.Round(Math.Abs(pricing[0] - pricing[5]), 3));
}
}
