static void Main(string[] args)
{
DateTime timer = DateTime.Now;
Date todaysDate = new Date(15, 2, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, 2, 2002);
Settings.setEvaluationDate(todaysDate);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
Handle<YieldTermStructure> rhTermStructure = new Handle<YieldTermStructure>(
new FlatForward(settlementDate, new Handle<Quote>(flatRate),
new Actual365Fixed()));
// Define the ATM/OTM/ITM swaps
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
Frequency floatingLegFrequency = Frequency.Semiannual;
VanillaSwap.Type type = VanillaSwap.Type.Payer;
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention,
DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(
type, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
swap.setPricingEngine(new DiscountingSwapEngine(rhTermStructure));
double fixedAtmRate = swap.fairRate();
double fixedOtmRate = fixedAtmRate * 1.2;
double fixedItmRate = fixedAtmRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedAtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap otmSwap = new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedOtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedItmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
// defining the swaptions to be used in model calibration
List<Period> swaptionMaturities = new List<Period>(5);
swaptionMaturities.Add(new Period(1, TimeUnit.Years));
swaptionMaturities.Add(new Period(2, TimeUnit.Years));
swaptionMaturities.Add(new Period(3, TimeUnit.Years));
swaptionMaturities.Add(new Period(4, TimeUnit.Years));
swaptionMaturities.Add(new Period(5, TimeUnit.Years));
List<CalibrationHelper> swaptions = new List<CalibrationHelper>();
// List of times that have to be included in the timegrid
List<double> times = new List<double>();
for (int i = 0; i < NumRows; i++)
{
int j = NumCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NumCols + j;
Quote vol = new SimpleQuote(SwaptionVols[k]);
swaptions.Add(new SwaptionHelper(swaptionMaturities[i],
new Period(SwapLenghts[j], TimeUnit.Years),
new Handle<Quote>(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure, false));
swaptions.Last().addTimesTo(times);
}
// Building time-grid
TimeGrid grid = new TimeGrid(times, 30);
// defining the models
G2 modelG2 = new G2(rhTermStructure);
HullWhite modelHw = new HullWhite(rhTermStructure);
HullWhite modelHw2 = new HullWhite(rhTermStructure);
BlackKarasinski modelBk = new BlackKarasinski(rhTermStructure);
// model calibrations
Console.WriteLine("G2 (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
swaptions[i].setPricingEngine(new G2SwaptionEngine(modelG2, 6.0, 16));
CalibrateModel(modelG2, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.0000000}\n" +
"b = {2:0.000000}, " +
"eta = {3:0.0000000}\n" +
"rho = {4:0.00000}\n",
modelG2.parameters()[0],
modelG2.parameters()[1],
modelG2.parameters()[2],
modelG2.parameters()[3],
modelG2.parameters()[4]);
Console.WriteLine("Hull-White (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
swaptions[i].setPricingEngine(new JamshidianSwaptionEngine(modelHw));
CalibrateModel(modelHw, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.0000000}\n",
modelHw.parameters()[0],
modelHw.parameters()[1]);
Console.WriteLine("Hull-White (numerical) calibration");
for (int i = 0; i < swaptions.Count(); i++)
swaptions[i].setPricingEngine(new TreeSwaptionEngine(modelHw2, grid));
CalibrateModel(modelHw2, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.0000000}\n",
modelHw2.parameters()[0],
modelHw2.parameters()[1]);
Console.WriteLine("Black-Karasinski (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
swaptions[i].setPricingEngine(new TreeSwaptionEngine(modelBk, grid));
CalibrateModel(modelBk, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.00000}\n",
modelBk.parameters()[0],
modelBk.parameters()[1]);
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption "
+ "struck at {0:0.00000 %} (ATM)",
fixedAtmRate);
List<Date> bermudanDates = new List<Date>();
List<CashFlow> leg = swap.fixedLeg();
for (int i = 0; i < leg.Count; i++)
{
Coupon coupon = (Coupon)leg[i];
bermudanDates.Add(coupon.accrualStartDate());
}
Exercise bermudanExercise = new BermudanExercise(bermudanDates);
Swaption bermudanSwaption = new Swaption(atmSwap, bermudanExercise);
// Do the pricing for each model
// G2 price the European swaption here, it should switch to bermudan
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelG2, 50));
Console.WriteLine("G2: {0:0.00}", bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: {0:0.000}", bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): {0:0.000}", bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK: {0:0.000}", bermudanSwaption.NPV());
// OTM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption "
+ "struck at {0:0.00000 %} (OTM)",
fixedOtmRate);
Swaption otmBermudanSwaption = new Swaption(otmSwap, bermudanExercise);
// Do the pricing for each model
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelG2, 50));
Console.WriteLine("G2: {0:0.0000}", otmBermudanSwaption.NPV());
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: {0:0.0000}", otmBermudanSwaption.NPV());
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): {0:0.000}", otmBermudanSwaption.NPV());
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK: {0:0.0000}", otmBermudanSwaption.NPV());
// ITM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption "
+ "struck at {0:0.00000 %} (ITM)",
fixedItmRate);
Swaption itmBermudanSwaption = new Swaption(itmSwap, bermudanExercise);
// Do the pricing for each model
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelG2, 50));
Console.WriteLine("G2: {0:0.000}", itmBermudanSwaption.NPV());
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: {0:0.000}", itmBermudanSwaption.NPV());
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): {0:0.000}", itmBermudanSwaption.NPV());
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK: {0:0.000}", itmBermudanSwaption.NPV());
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testCachedValues()
{
//("Testing Bermudan swaption against cached values...");
CommonVars vars = new CommonVars();
vars.today = new Date(15, Month.February, 2002);
Settings.setEvaluationDate(vars.today);
vars.settlement = new Date(19, Month.February, 2002);
// flat yield term structure impling 1x5 swap at 5%
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement,
0.04875825,
new Actual365Fixed()));
double atmRate = vars.makeSwap(0.0).fairRate();
VanillaSwap itmSwap = vars.makeSwap(0.8*atmRate);
VanillaSwap atmSwap = vars.makeSwap(atmRate);
VanillaSwap otmSwap = vars.makeSwap(1.2*atmRate);
double a = 0.048696, sigma = 0.0058904;
ShortRateModel model=new HullWhite(vars.termStructure,a, sigma);
List<Date> exerciseDates= new List<Date>();
List<CashFlow> leg = atmSwap.fixedLeg();
for (int i=0; i<leg.Count; i++) {
Coupon coupon = (Coupon)(leg[i]);
exerciseDates.Add(coupon.accrualStartDate());
}
Exercise exercise = new BermudanExercise(exerciseDates);
IPricingEngine engine = new TreeSwaptionEngine(model, 50);
#if QL_USE_INDEXED_COUPON
Real itmValue = 42.2413, atmValue = 12.8789, otmValue = 2.4759;
#else
double itmValue = 42.2470, atmValue = 12.8826, otmValue = 2.4769;
#endif
double tolerance = 1.0e-4;
Swaption swaption = new Swaption(itmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-itmValue) > tolerance)
Assert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValue);
swaption = new Swaption(atmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-atmValue) > tolerance)
Assert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValue);
swaption = new Swaption(otmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-otmValue) > tolerance)
Assert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValue);
for (int j=0; j<exerciseDates.Count; j++)
exerciseDates[j] = vars.calendar.adjust(exerciseDates[j]-10);
exercise = new BermudanExercise(exerciseDates);
#if QL_USE_INDEXED_COUPON
itmValue = 42.1917; atmValue = 12.7788; otmValue = 2.4388;
#else
itmValue = 42.1974; atmValue = 12.7825; otmValue = 2.4399;
#endif
swaption = new Swaption(itmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-itmValue) > tolerance)
Assert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValue);
swaption = new Swaption(atmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-atmValue) > tolerance)
Assert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValue);
swaption = new Swaption(otmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-otmValue) > tolerance)
Assert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValue);
}
//static void Main(string[] args)
//{
// List<double> xGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// List<double> yGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// //List<double> xGrid = Enumerable.Range(0, 100);
// CubicInterpolation cubic = new CubicInterpolation(xGrid, xGrid.Count, yGrid,
// CubicInterpolation.DerivativeApprox.Kruger, true,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0);
//}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
// set up dates
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.May, 1998);
Date settlementDate = new Date(17, Month.May, 1998);
Settings.setEvaluationDate(todaysDate);
// our options
Option.Type type = Option.Type.Put;
double underlying = 36;
double strike = 40;
double dividendYield = 0.00;
double riskFreeRate = 0.06;
double volatility = 0.20;
Date maturity = new Date(17, Month.May, 1999);
DayCounter dayCounter = new Actual365Fixed();
Console.WriteLine("Option type = " + type);
Console.WriteLine("Maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Strike = " + strike);
Console.WriteLine("Risk-free interest rate = {0:0.000000%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.000000%}", dividendYield);
Console.WriteLine("Volatility = {0:0.000000%}", volatility);
Console.Write("\n");
string method;
Console.Write("\n");
// write column headings
int[] widths = new int[] { 35, 14, 14, 14 };
Console.Write("{0,-" + widths[0] + "}", "Method");
Console.Write("{0,-" + widths[1] + "}", "European");
Console.Write("{0,-" + widths[2] + "}", "Bermudan");
Console.WriteLine("{0,-" + widths[3] + "}", "American");
List<Date> exerciseDates = new List<Date>(); ;
for (int i = 1; i <= 4; i++)
exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
Exercise bermudanExercise = new BermudanExercise(exerciseDates);
Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption = new VanillaOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
europeanOption.theta();
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Integral
method = "Integral";
europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Finite differences
int timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps - 1));
americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps - 1));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
ulong mcSeed = 42;
IPricingEngine mcengine1 = new MakeMCEuropeanEngine<PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
int nSamples = 32768; // 2^15
IPricingEngine mcengine2 = new MakeMCEuropeanEngine<LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples)
.value();
europeanOption.setPricingEngine(mcengine2);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
IPricingEngine mcengine3 = new MakeMCAmericanEngine<PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
americanOption.setPricingEngine(mcengine3);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", "N/A");
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// End test
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}