public void CanProcess()
{
var t = new DateTime(2019, 10, 03);
var fc = GetFeatureCollection();
var dates = Enumerable.Range(10, 10).Select(i => t.AddDays(i)).ToList();
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var sut = new LookBackOption("Asset", dates, Core.Basic.OptionType.C, "boo", usd, t.AddDays(100), 1.0);
var b = GetBlock(20);
sut.SetupFeatures(fc.Object);
sut.Finish(fc.Object);
sut.Process(b);
Assert.Equal(0.0, sut.AverageResult);
Assert.Equal(0.0, sut.ResultStdError);
Assert.True(sut.ResultsByPath.All(x => x == 0.0));
}
private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
{
BackgroundWorker worker = sender as BackgroundWorker;
object[] parameters = e.Argument as object[];
int steps = Convert.ToInt16(parameters[5]);
int trials = Convert.ToInt32(parameters[6]);
double s = Convert.ToDouble(parameters[0]);
double k = Convert.ToDouble(parameters[1]);
double t = Convert.ToDouble(parameters[2]);
double sig = Convert.ToDouble(parameters[3]);
double r = Convert.ToDouble(parameters[4]);
string type = parameters[7].ToString();
double exoticAmount = Convert.ToDouble(parameters[8]);
try
{
for (int i = 1; i <= 1; i++)
{
if (worker.CancellationPending == true)
{
e.Cancel = true;
break;
}
else
{
switch (type)
{
case "None":
e.Result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Asian":
e.Result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Barrier":
e.Result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Digital":
e.Result = DigitalOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Lookback":
e.Result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Range":
e.Result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
default:
break;
}
// Perform a time consuming operation and report progress.
Thread.Sleep(100);
worker.ReportProgress(i * 100);
}
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
private void priceTradeBookToolStripMenuItem_Click(object sender, EventArgs e)
{
foreach (ListViewItem i in ListTrade.Items)
{
Int32 tmp = Convert.ToInt32(i.Text);
Trade tt = (from q in AppEntities.Trades
where q.Id == tmp
select q).FirstOrDefault();
double s = getLatestPrice(tt.Instrument);
double k = Convert.ToDouble(tt.Instrument.Strike);
double t = (double)tt.Instrument.Tenor;
double r = getInterestRate(tt.Instrument);
double sig = Convert.ToDouble(textBoxVol.Text) / 100.0;
int instrumentTypeId = (Int32)tt.Instrument.InstrumentTypeId;
int barrierTypeId = (Int32)tt.Instrument.BarrierTypeId;
double barrier = (double)tt.Instrument.Barrier;
double rebate = (double)tt.Instrument.Rebate;
int steps = 100, trials = 10000;
DataSet result = new DataSet();
Dictionary <String, double> stockMetric = new Dictionary <string, double>();
stockMetric.Add("Delta", 1);
switch (instrumentTypeId)
{
case 1:
stockMetric.Add("Delta", 1);
break;
case 2:
result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case 3:
result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case 4:
result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, barrier);
break;
case 5:
result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, rebate);
break;
case 6:
result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, 0);
break;
default:
break;
}
ListViewItem i2;
i2 = new ListViewItem();
i2.Text = tt.Id.ToString();
i2.SubItems.Add(tt.Instrument.Ticker);
i2.SubItems.Add(tt.Instrument.InstrumentType.TypeName);
i2.SubItems.Add(tt.IsBuy ? "BUY" : "SELL");
i2.SubItems.Add(tt.Quantity.ToString());
i2.SubItems.Add(tt.Price.ToString());
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
ListTrade.Items.Add(i2);
}
}
