//Runs monte carlo for the "other values" in Task 2.1 using the answer designed for Task 2.2
static void doTask22(SSVIparametrisasion ssvi, int timesteps, int nrofpaths)
{
Console.WriteLine("\nTask 2.2 compared to task 2.1");
double price = 0;
double[] K = new double[] { 102.5313, 105.1271, 103.8212, 80, 80, 90, 120, 90 }; //Values to test
double[] T = new double[] { 1, 2, 1.5, 1, 2, 1, 1, 2 }; //Compare with Task 2.1
Stopwatch sw = new Stopwatch(); //for measuring how long this simulation takes
sw.Start();
for (int i = 0; i < T.Length; ++i)
{
if (i < 6) //Call options
{
price = ssvi.MonteCarloEuropeanCall(T[i], K[i], nrofpaths, timesteps);
Console.WriteLine("For K = {0}, T = {1}, Call option price = {2}", K[i], T[i], Math.Round(price, 2));
}
else //Put options
{
price = ssvi.MonteCarloEuropeanPut(T[i], K[i], nrofpaths, timesteps);
Console.WriteLine("For K = {0}, T = {1}, Put option price = {2}", K[i], T[i], Math.Round(price, 2));
}
}
sw.Stop();
Console.WriteLine("\nTime with parallel for loops elapsed = {0}", sw.Elapsed);
}
//Compare performance of monte carlo wtih parallel for loops and regular loops
static void doTaskExtra(SSVIparametrisasion ssvi, int timesteps, int nrofpaths)
{
Console.WriteLine("\nCompare speed of parallel Monte Carlo and regular Monte Carlo");
double price; //option price
double[] K = new double[] { 80, 80, 90, 120, 90 }; //Values to test
double[] T = new double[] { 1, 2, 1, 1, 2 }; //Compare with Task 2.1
for (int pths = 100; pths <= nrofpaths; pths *= 10)
{
Stopwatch sw = new Stopwatch(); //Object to time this method
Console.WriteLine("\nRunning European option price monte carlo simulation with {0} paths using regular loops", pths);
sw.Start();
for (int i = 0; i < T.Length; ++i)
{
if (i < 3) //Call options
{
price = ssvi.MonteCarloEuropeanCallSlow(T[i], K[i], pths, timesteps);
}
else //Put options
{
price = ssvi.MonteCarloEuropeanPutSlow(T[i], K[i], pths, timesteps);
}
}
sw.Stop();
Console.WriteLine("\nTask 2.2 completed with number of paths {0}", pths);
Console.WriteLine("Time with regular loops elapsed = {0}", sw.Elapsed);
sw = new Stopwatch(); //Object to time this method
Console.WriteLine("\nRunning European option price monte carlo simulation with {0} paths using parallel loops", pths);
sw.Start();
for (int i = 0; i < T.Length; ++i)
{
if (i < 3) //Call options
{
price = ssvi.MonteCarloEuropeanCall(T[i], K[i], pths, timesteps);
}
else //Put options
{
price = ssvi.MonteCarloEuropeanPut(T[i], K[i], pths, timesteps);
}
}
sw.Stop();
Console.WriteLine("\nTask 2.2 completed with number of pths {0}", pths);
Console.WriteLine("Time with parallel loops elapsed = {0}", sw.Elapsed);
}
}