public void price(object sender, EventArgs e)
{
// Récupérer les valeurs des paramètres dans les différentes TextBox
WrapperClass wc = new WrapperClass();
/*double strike = double.Parse(strike_tb.Text);
* int size = int.Parse(size_tb.Text);
* double r = double.Parse(r_tb.Text);
* double he = double.Parse(h_tb.Text);
* int sample = int.Parse(samples_tb.Text);*/
//byte[] abyte1 = new byte[type.Text.Length];
//System.Text.ASCIIEncoding encoding = new System.Text.ASCIIEncoding();
//abyte1 = encoding.GetBytes(type.Text);
//sbyte[] baske = Array.ConvertAll(abyte1, q => Convert.ToSByte(q));
String type = "basket";
//double[] sigma = new double[5];
//sigm[0] = double.Parse(sigma.Text);
//double[] rho = new double[1];
//ro[0] = double.Parse(rho.Text);
// Valeurs manuels
const int size = 5;
double strike = 100;
double[] spot = new double[size] {
90, 80, 100, 120, 110
};
double maturity = 1;
double[] sigma = new double[size] {
0.2, 0.2, 0.2, 0.15, 0.15
};
double r = 0.05;
double[] rho = new double[(size - 1) * size / 2] {
0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2
};
double[] coeff = new double[size] {
0.2, 0.2, 0.2, 0.2, 0.2
};
int timeStep = 1;
int samples = 50000;
wc.getPriceOption(type, size, spot, strike, maturity, sigma, r, rho, coeff, timeStep, samples);
prix_label.Text = wc.getPrice().ToString();
ic_label.Text = wc.getIC().ToString();
}
static void Main(string[] args)
{
WrapperClass wc = new WrapperClass();
double px, ic;
int M = 50000;
double T = 2;
double S0 = 100;
double K = 110;
double L = 80;
double sigma = 0.2;
double r = 0.05;
int J = 24;
wc.getPriceOption(M, T, S0, K, L, sigma, r, J);
px = wc.getPrice();
ic = wc.getIC();
System.Console.WriteLine("prix: %f\nic: %f\n", px, ic);
System.Console.ReadKey();
}
public void price(object sender, EventArgs e)
{
// Récupérer les valeurs des paramètres dans les différentes TextBox
WrapperClass wc = new WrapperClass();
/*double strike = double.Parse(strike_tb.Text);
int size = int.Parse(size_tb.Text);
double r = double.Parse(r_tb.Text);
double he = double.Parse(h_tb.Text);
int sample = int.Parse(samples_tb.Text);*/
//byte[] abyte1 = new byte[type.Text.Length];
//System.Text.ASCIIEncoding encoding = new System.Text.ASCIIEncoding();
//abyte1 = encoding.GetBytes(type.Text);
//sbyte[] baske = Array.ConvertAll(abyte1, q => Convert.ToSByte(q));
String type = "basket";
//double[] sigma = new double[5];
//sigm[0] = double.Parse(sigma.Text);
//double[] rho = new double[1];
//ro[0] = double.Parse(rho.Text);
// Valeurs manuels
const int size = 5;
double strike = 100;
double[] spot = new double[size] {90, 80, 100, 120, 110};
double maturity = 1;
double[] sigma = new double[size] { 0.2, 0.2, 0.2, 0.15, 0.15 };
double r = 0.05;
double[] rho = new double[(size - 1) * size / 2] { 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2 };
double[] coeff = new double[size] { 0.2, 0.2, 0.2, 0.2, 0.2 };
int timeStep = 1;
int samples = 50000;
wc.getPriceOption(type, size, spot, strike, maturity, sigma, r, rho, coeff, timeStep, samples);
prix_label.Text = wc.getPrice().ToString();
ic_label.Text = wc.getIC().ToString();
}
