Pelsser.SquaredGaussianModel.Bond C# (CSharp) Method

        public double Bond(IReadOnlyMatrixSlice dynamic, double[] dates, int i, double t, double s)
        {
            // Handles special case.
            if (t == s)
                return 1;

            // Get the value of the short rate.
            double y = Math.Sqrt(dynamic[i, 0]) - this.alphaT0[i];
            PelsserKey k = new PelsserKey(t, s);
            PelsserCache cachedValue = null;
            lock (this.cache)
            {
                if (this.cache.ContainsKey(k))
                    cachedValue = this.cache[k];
                else
                {
                    cachedValue = new PelsserCache(t, s, this);

                    // Insert the value in the cache.
                    this.cache.Add(k, cachedValue);
                }
            }

            double v = Math.Exp(cachedValue.A - y * cachedValue.B - (y * y) * cachedValue.CtT0);
            return v;
        }

        public void Test()
        {
            Engine.MultiThread = true;

            Document doc = new Document();
            ProjectROV rov = new ProjectROV(doc);
            doc.Part.Add(rov);

            AFunction zerorate = new AFunction(rov);
            zerorate.VarName = "zr";
            zerorate.m_IndependentVariables = 1;
            zerorate.m_Value = (RightValue)0.05;

            rov.Symbols.Add(zerorate);

            int n_sim = 5000;
            int n_steps = 900;
            SquaredGaussianModel process = new SquaredGaussianModel();
            process.a1 = (ModelParameter)0.1;
            process.sigma1 = (ModelParameter)0.01;
            process.zr = (ModelParameter)"@zr";

            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 = "bond(t;10;@v1)";

            // Set the simulation maturity.
            op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)2.0;
            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;
            Console.WriteLine("Bond Test Value = " + price.value.ToString());

            Assert.LessOrEqual(Math.Abs(0.6702 - price.value), .01);

            // Try to do some simple tests and check the results.
            double b0_10 = process.Bond(DynamicParam(0, process), process.CacheDates, 0, 0, 10);
            Console.WriteLine("Bond(0,10) = " + b0_10);

            Assert.LessOrEqual(Math.Abs(b0_10 - 0.606513), .001);

            double b7_10 = process.Bond(DynamicParam(0.00427631, process), process.CacheDates, 0, 7, 10);
            Console.WriteLine("Bond(7,10) = " + b7_10);

            Assert.LessOrEqual(Math.Abs(b7_10 - 0.856374), .001);

            double b7_30 = process.Bond(DynamicParam(0.00427631, process), process.CacheDates, 0, 7, 30);
        }