double IAsianOptionPricingService.ComputeValue(OptionPricingParameters parameters)
{
// Preconditions
if (parameters == null) { throw new ArgumentNullException("parameters"); }
// Compute the current price of the option.
return s_gpuPricingEngine.CalculatePrice(new AsianOptionSingle(
// TEMP : The pricing engine uses an older bit of code which was only designed for
// single-precision -- so for now, truncate the input parameters before computing the option value.
(float)parameters.SpotPrice,
(float)parameters.StrikePrice,
(float)parameters.RiskFreeRate,
(float)parameters.Volatility,
(float)parameters.Tenor,
(OptionType)(int)parameters.Kind,
(float)parameters.TimestepLength
));
}
double IAsianOptionPricingService.ComputeValue(OptionPricingParameters parameters)
{
// Preconditions
if (parameters == null)
{
throw new ArgumentNullException("parameters");
}
// Compute the current price of the option.
return(s_gpuPricingEngine.CalculatePrice(new AsianOptionSingle(
// TEMP : The pricing engine uses an older bit of code which was only designed for
// single-precision -- so for now, truncate the input parameters before computing the option value.
(float)parameters.SpotPrice,
(float)parameters.StrikePrice,
(float)parameters.RiskFreeRate,
(float)parameters.Volatility,
(float)parameters.Tenor,
(OptionType)(int)parameters.Kind,
(float)parameters.TimestepLength
)));
}
