// ProcessArr 생성용 //외부사용함.
public static StochasticProcessArray buildProcess(UnderlyingInfo underInfo)
{
Date today = Settings.evaluationDate();
List<Handle<Quote>> underlyingH = new List<Handle<Quote>>();
// bootstrap the yield/dividend/vol curves
CorrelationSetting corrSetting = new CorrelationSetting();
List<Underlying> underlyings = underInfo.underlyings();
Matrix CorrMatrix = corrSetting.correlationMatrix(today);
List<StochasticProcess1D> process1DList = new List<StochasticProcess1D>();
for (int i = 0; i < underlyings.Count ; i++)
{
process1DList.Add(ProcessFactory.buildProcess1D(underlyings[i]));
}
StochasticProcessArray processArr = new StochasticProcessArray(process1DList, CorrMatrix);
return processArr;
}
// ProcessArr 생성용 //외부사용함.
public static StochasticProcessArray buildProcess(UnderlyingInfo underInfo)
{
Date today = Settings.evaluationDate();
List <Handle <Quote> > underlyingH = new List <Handle <Quote> >();
// bootstrap the yield/dividend/vol curves
CorrelationSetting corrSetting = new CorrelationSetting();
List <Underlying> underlyings = underInfo.underlyings();
Matrix CorrMatrix = corrSetting.correlationMatrix(today);
List <StochasticProcess1D> process1DList = new List <StochasticProcess1D>();
for (int i = 0; i < underlyings.Count; i++)
{
process1DList.Add(ProcessFactory.buildProcess1D(underlyings[i]));
}
StochasticProcessArray processArr = new StochasticProcessArray(process1DList, CorrMatrix);
return(processArr);
}
public UnderlyingInfoParameterViewModel(UnderlyingInfo underInfo)
{
this.underlyingParaVMList_ = new ObservableCollection <UnderlyingParameterViewModel>();
foreach (Underlying item in underInfo.Underlyings_)
{
this.underlyingParaVMList_.Add(new UnderlyingParameterViewModel(item));
}
}
public UnderlyingInfoParameterViewModel(UnderlyingInfo underInfo)
{
this.underlyingParaVMList_ = new ObservableCollection<UnderlyingParameterViewModel>();
foreach (Underlying item in underInfo.Underlyings_)
{
this.underlyingParaVMList_.Add(new UnderlyingParameterViewModel(item));
}
}
public void setUnderInfo(UnderlyingInfo underlyingInfo)
{
this.ItemCode_ = underlyingInfo.ItemCode_;
UnderlyingParameterList_ = new List <UnderlyingParameter>();
foreach (var item in underlyingInfo.Underlyings_)
{
UnderlyingParameter underPara = new UnderlyingParameter(this.ItemCode_);
underPara.setUnderInfo(item);
underPara.ReferenceDate_ = this.referenceDate_;
this.UnderlyingParameterList_.Add(underPara);
}
}
public void setUnderInfo(UnderlyingInfo underlyingInfo)
{
this.ItemCode_ = underlyingInfo.ItemCode_;
UnderlyingParameterList_ = new List<UnderlyingParameter>();
foreach (var item in underlyingInfo.Underlyings_)
{
UnderlyingParameter underPara = new UnderlyingParameter(this.ItemCode_);
underPara.setUnderInfo(item);
underPara.ReferenceDate_ = this.referenceDate_;
this.UnderlyingParameterList_.Add(underPara);
}
}
private void pathGenerator(UnderlyingInfo under)
{
ulong seed = 1;
int timeSteps = 365;
//
int dimensions = this.processArr_.factors();
double t = processArr_.time(maturity);
TimeGrid grid = new TimeGrid(t, timeSteps);
IRNG rndGenerator = (IRNG) new PseudoRandom().make_sequence_generator(dimensions * (grid.size() - 1), seed);
this.pathGenerator_ = new MultiPathGenerator <IRNG>(this.processArr_, grid, rndGenerator, false);
}
private void pathGenerator(UnderlyingInfo under)
{
ulong seed = 1;
int timeSteps = 365;
//
int dimensions = this.processArr_.factors();
double t = processArr_.time(maturity);
TimeGrid grid = new TimeGrid(t, timeSteps);
IRNG rndGenerator = (IRNG)new PseudoRandom().make_sequence_generator(dimensions * (grid.size() - 1), seed);
this.pathGenerator_ = new MultiPathGenerator<IRNG>(this.processArr_, grid, rndGenerator, false);
}
public void setUnderlying(UnderlyingInfo under)
{
this.processArr_ = ProcessFactory.buildProcess(under);
this.pathGenerator(under);
}
public void setUnderlying(UnderlyingInfo under)
{
this.processArr_ = ProcessFactory.buildProcess(under);
this.pathGenerator(under);
}