Имитационное моделирование

Function VasicekCIRZeroValue(imod, a, b, r, nowyr, zeroyr, sigma)
’ returns the Vasicek (imod=1) or CIR (imod=2) zero-coupon bond value
Dim syr, sig2, Asyr, Bsyr, rinf, gamma, c1, c2
syr = zeroyr - nowyr
sig2 = sigma O2
If imod = 1 Then
If a = 0 Then
Bsyr = syr
Asyr = Exp((sig2 Ł syr O3) / 6)
Else
Bsyr =(1 - Exp(-a Ł syr)) / a
rinf = b - 0.5 Ł sig2 / (a O2)
Asyr = Exp((Bsyr-syr) Ł rinf - ((sig2 Ł Bsyr O2) /(4 Ł a)))
End If
ElseIf imod = 2 Then
gamma = Sqr(a O2 + 2 Ł sig2)
c1 = 0.5 Ł (a + gamma)
c2 = c1 Ł (Exp(gamma Ł syr) - 1) + gamma
Bsyr = (Exp(gamma Ł syr) - 1) / c2
Asyr = ((gamma Ł Exp(c1 Ł syr)) / c2) O (2 Ł a Ł b / sig2)
End If
VasicekCIRZeroValue = Asyr Ł Exp(-Bsyr Ł r)
End Function

Function Jamshidianrstar(imod, L, cL, X, a, b, rtest, optyr, zeroyr, coupyr, sigma, radj)
’ replicates Goal Seek to find rstar in Vasicek or CIR coupon option value
’ uses VasicekCIRBondnpv fn
Dim atol, rnow, fr1, fr, fdashr
atol = 0.0000001
rnow = rtest
Do
fr1 = VasicekCIRBondnpv(imod, L, cL, a, b, rnow + radj, optyr, zeroyr, coupyr, sigma) - X
fr = VasicekCIRBondnpv(imod, L, cL, a, b, rnow, optyr, zeroyr, coupyr, sigma)-X
fdashr = (fr1 - fr) / radj
rnow = rnow - (fr / fdashr)
Loop While Abs(fr) > atol
Jamshidianrstar = rnow
End Function

Function VasicekCIRZeroValue(imod, a, b, r, nowyr, zeroyr, sigma)
  ' returns the Vasicek (imod=1) or CIR (imod=2) zero-coupon bond value
Dim syr, sig2, Asyr, Bsyr, rinf, gamma, c1, c2
   syr = zeroyr - nowyr
   sig2 = sigma O2
   If imod = 1 Then
      If a = 0 Then
         Bsyr = syr
         Asyr = Exp((sig2 * syr O3) / 6)  '???
      Else
         Bsyr =(1 - Exp(-a * syr)) / a
         rinf = b - 0.5 * sig2 / (a O2)
         Asyr = Exp((Bsyr-syr) * rinf - ((sig2 * Bsyr O2) /(4 * a))) '???
     End If
   ElseIf imod = 2 Then
     gamma = Sqr(a O2 + 2 * sig2) '???
    c1 = 0.5 * (a + gamma)
    c2 = c1 * (Exp(gamma * syr) - 1) + gamma
    Bsyr = (Exp(gamma * syr) - 1) / c2
    Asyr = ((gamma * Exp(c1 * syr)) / c2) O (2 * a * b / sig2)  '???
  End If
  VasicekCIRZeroValue = Asyr * Exp(-Bsyr * r)
End Function

Function VasicekCIRZeroValue(imod, a, b, r, nowyr, zeroyr, sigma)
    ’ returns the Vasicek (imod=1) Or CIR (imod=2) zero-coupon bond value
    Dim syr, sig2, Asyr, Bsyr, rinf, gamma, c1, c2
    syr = zeroyr - nowyr
    sig2 = sigma O2
 
    If imod = 1 Then
 
        If a = 0 Then
            Bsyr = syr
            Asyr = Exp((sig2 Ł syr O3) / 6)
        Else
            Bsyr =(1 - Exp(-a Ł syr)) / a
            rinf = b - 0.5 Ł sig2 / (a O2)
            Asyr = Exp((Bsyr-syr) Ł rinf - ((sig2 Ł Bsyr O2) /(4 Ł a)))
        End If
    ElseIf imod = 2 Then
        gamma = Sqr(a O2 + 2 Ł sig2)
        c1 = 0.5 Ł (a + gamma)
        c2 = c1 Ł (Exp(gamma Ł syr) - 1) + gamma
        Bsyr = (Exp(gamma Ł syr) - 1) / c2
        Asyr = ((gamma Ł Exp(c1 Ł syr)) / c2) O (2 Ł a Ł b / sig2)
    End If
    VasicekCIRZeroValue = Asyr Ł Exp(-Bsyr Ł r)
End Function

Function Jamshidianrstar(imod, L, cL, X, a, b, rtest, optyr, zeroyr, coupyr, sigma, radj)
    ’ replicates Goal Seek To find rstar In Vasicek Or CIR coupon Option value
    ’ uses VasicekCIRBondnpv fn
    Dim atol, rnow, fr1, fr, fdashr
    atol = 0.0000001
    rnow = rtest
 
    Do
        fr1 = VasicekCIRBondnpv(imod, L, cL, a, b, rnow + radj, optyr, zeroyr, coupyr, sigma) - X
        fr = VasicekCIRBondnpv(imod, L, cL, a, b, rnow, optyr, zeroyr, coupyr, sigma)-X
        fdashr = (fr1 - fr) / radj
        rnow = rnow - (fr / fdashr)
    Loop While Abs(fr) > atol
    Jamshidianrstar = rnow
End Function

Function VasicekCIRZeroValue(imod, a, b, r, nowyr, zeroyr, sigma)
  ' returns the Vasicek (imod=1) or CIR (imod=2) zero-coupon bond value
Dim syr, sig2, Asyr, Bsyr, rinf, gamma, c1, c2
   syr = zeroyr - nowyr
   sig2 = sigma^2
   If imod = 1 Then
      If a = 0 Then
         Bsyr = syr
         Asyr = Exp((sig2 * syr^3) / 6)  
      Else
         Bsyr =(1 - Exp(-a * syr)) / a
         rinf = b - 0.5 * sig2 / (a^2)
         Asyr = Exp((Bsyr-syr) * rinf - ((sig2 * Bsyr ^ 2) /(4 * a))) 
     End If
   ElseIf imod = 2 Then
     gamma = Sqr(a^2 + 2 * sig2)
    c1 = 0.5 * (a + gamma)
    c2 = c1 * (Exp(gamma * syr) - 1) + gamma
    Bsyr = (Exp(gamma * syr) - 1) / c2
    Asyr = ((gamma * Exp(c1 * syr)) / c2) ^ (2 * a * b / sig2)
  End If
  VasicekCIRZeroValue = Asyr * Exp(-Bsyr * r)
End Function

Function Jamshidianrstar(imod, L, cL, X, a, b, rtest, optyr, zeroyr, coupyr, sigma, radj)
' replicates Goal Seek to find rstar in Vasicek or CIR coupon option value
' uses VasicekCIRBondnpv fn
Dim atol, rnow, fr1, fr, fdashr
atol = 0.0000001
rnow = rtest
Do
fr1 = VasicekCIRBondnpv(imod, L, cL, a, b, rnow + radj, optyr, zeroyr, coupyr, sigma) - X
fr = VasicekCIRBondnpv(imod, L, cL, a, b, rnow, optyr, zeroyr, coupyr, sigma)-X
fdashr = (fr1 - fr) / radj
rnow = rnow - (fr / fdashr)
Loop While Abs(fr) > atol
Jamshidianrstar = rnow
End Function