-
Notifications
You must be signed in to change notification settings - Fork 0
/
errorcheck.m
174 lines (167 loc) · 5.1 KB
/
errorcheck.m
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
clc
clear all
% set test values...
E = 105;
r = 0.02;
S = 100;
sigma = 0.17;
tau = 0.25;
% sweep through asset prices to get a plot of convergence rates...
addpath('simple');
% % explicit
% asset_prices = [];
% error_ratios = [];
% figure
% for S=8:0.5:12
% coarse = ExplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 200);
% coarse_err = BSEqnEuropean(S, tau, E, r, sigma) - coarse;
% fine = ExplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 400);
% fine_err = BSEqnEuropean(S, tau, E, r, sigma) - fine;
% error_ratio = coarse_err/fine_err;
%
% asset_prices = [asset_prices S];
% error_ratios = [error_ratios error_ratio];
% end
% scatter(asset_prices, error_ratios);
% a = error_ratios';
% b = num2str(a);
% c = cellstr(b);
% dx = 0.1; dy = 0.1;
% text(asset_prices + dx, error_ratios + dy, c);
% title('Error ratios as a function of initial asset prices (Explicit European).');
% xlabel('Initial asset price');
% ylabel('Error ratio');
%
% % implicit
% asset_prices = [];
% error_ratios = [];
% figure
% for S=8:0.5:12
% coarse = ImplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 1000, ...
% 'numPartitionsT', 1000);
% coarse_err = BSEqnEuropean(S, tau, E, r, sigma) - coarse;
% fine = ImplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 2000, ...
% 'numPartitionsT', 4000);
% fine_err = BSEqnEuropean(S, tau, E, r, sigma) - fine;
% error_ratio = coarse_err/fine_err;
%
% asset_prices = [asset_prices S];
% error_ratios = [error_ratios error_ratio];
% end
% scatter(asset_prices, error_ratios);
% a = error_ratios';
% b = num2str(a);
% c = cellstr(b);
% dx = 0.1; dy = 0.1;
% text(asset_prices + dx, error_ratios + dy, c);
% title('Error ratios as a function of initial asset prices (Implicit European).');
% xlabel('Initial asset price');
% ylabel('Error ratio');
% crank-nicolson
asset_prices = [];
error_ratios = [];
hold on
for S=100:1:110
coarse = CrankNicolsonEuropean(S, tau, E, r, sigma, 'numPartitionsX', 500, ...
'numPartitionsT', 500);
coarse_err = BSEqnEuropean(S, tau, E, r, sigma) - coarse;
fine = CrankNicolsonEuropean(S, tau, E, r, sigma, 'numPartitionsX', 1000, ...
'numPartitionsT', 1000);
fine_err = BSEqnEuropean(S, tau, E, r, sigma) - fine;
error_ratio = coarse_err/fine_err;
asset_prices = [asset_prices S];
error_ratios = [error_ratios error_ratio];
end
% plot(asset_prices, error_ratios);
scatter(asset_prices, error_ratios);
a = error_ratios';
b = num2str(a);
c = cellstr(b);
dx = 0.05; dy = 0.05;
text(asset_prices + dx, error_ratios + dy, c);
title('Error ratios as a function of initial asset prices (Crank-Nicolson European).');
xlabel('Initial asset price');
ylabel('Error ratio');
% set test values...
E = 10;
r = 0.1;
S = 14;
sigma = 0.4;
tau = 0.25;
return % stop here
%% explicit
%strike_prices = [];
%error_ratios = [];
%figure
%for E=0:2:14
% coarse = ExplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 200);
% coarse_err = BSEqnEuropean(S, tau, E, r, sigma) - coarse;
% fine = ExplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 400);
% fine_err = BSEqnEuropean(S, tau, E, r, sigma) - fine;
% error_ratio = coarse_err/fine_err;
%
% strike_prices = [strike_prices E];
% error_ratios = [error_ratios error_ratio];
%end
%scatter(strike_prices, error_ratios);
%a = error_ratios';
%b = num2str(a);
%c = cellstr(b);
%dx = 0.1; dy = 0.1;
%text(asset_prices + dx, error_ratios + dy, c);
%title('Error ratios as a function of strike prices (Explicit European).');
%xlabel('Strike price');
%ylabel('Error ratio');
%
%% Implicit
%strike_prices = [];
%error_ratios = [];
%figure
%for E=0:2:14
% coarse = ImplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 400, ...
% 'numPartitionsT', 400);
% coarse_err = BSEqnEuropean(S, tau, E, r, sigma) - coarse;
% fine = ImplicitEuropean(S, tau, E, r, sigma, 'numPartitionsX', 800, ...
% 'numPartitionsT', 800);
% fine_err = BSEqnEuropean(S, tau, E, r, sigma) - fine;
% error_ratio = coarse_err/fine_err;
%
% strike_prices = [strike_prices E];
% error_ratios = [error_ratios error_ratio];
%end
%scatter(strike_prices, error_ratios);
%a = error_ratios';
%b = num2str(a);
%c = cellstr(b);
%dx = 0.1; dy = 0.1;
%text(asset_prices + dx, error_ratios + dy, c);
%title('Error ratios as a function of strike prices (Implicit European).');
%xlabel('Strike price');
%ylabel('Error ratio');
%
%% crank-nicolson
%strike_prices = [];
%error_ratios = [];
%figure
%for E=0:2:14
% coarse = CrankNicolsonEuropean(S, tau, E, r, sigma, 'numPartitionsX', 1000, ...
% 'numPartitionsT', 1000);
% coarse_err = BSEqnEuropean(S, tau, E, r, sigma) - coarse;
% fine = CrankNicolsonEuropean(S, tau, E, r, sigma, 'numPartitionsX', 2000, ...
% 'numPartitionsT', 2000);
% fine_err = BSEqnEuropean(S, tau, E, r, sigma) - fine;
% error_ratio = coarse_err/fine_err;
%
% strike_prices = [strike_prices E];
% error_ratios = [error_ratios error_ratio];
%end
%scatter(strike_prices, error_ratios);
%a = error_ratios';
%b = num2str(a);
%c = cellstr(b);
%dx = 0.1; dy = 0.1;
%text(asset_prices + dx, error_ratios + dy, c);
%title('Error ratios as a function of strike prices (Crank-Nicolson European).');
%xlabel('Strike price');
%ylabel('Error ratio');
%