public void Actual(DataTestCase testCase)
{
Data.InitMarketData(testCase.Vol,
testCase.Rate,
testCase.EvalDate);
var pricingCfg = new PricingConfiguration(testCase.GreekTypes);
var pricer = new Pricer();
PricingResults expectedResults = null;
var actualResults = pricer.Results(testCase.Option, pricingCfg);
var error = string.Empty;
try
{
using (StreamReader file = File.OpenText(@"C:\Users\AHMED\source\repos\ConsoleApp1\ResultPricing.text"))
{
JsonSerializer serializer = new JsonSerializer();
expectedResults = (PricingResults)serializer.Deserialize(file, typeof(PricingResults));
}
}
catch (Exception e)
{
Assert.Fail(error = string.Format("Not Deserialize result: {0}", e.Message));
}
if (actualResults.CompareResult(expectedResults))
{
Assert.Pass("No regression detected");
}
else
{
// save ecart
Assert.Fail("regression detected");
}
}
static void Main(string[] args)
{
DateTime expirationDate = DateTime.Parse("01/05/2019");
DateTime riskFactorDate = DateTime.Parse("01/09/2019");
DateTime paramDate = DateTime.Parse("01/04/2019");
var option = new OptionInstrument(60, expirationDate, OptionType.Put,
Way.Sell, Underlying.Petrol, riskFactorDate);
Data.InitMarketData(0.25, 0.05, paramDate);
var pricingcfg = new PricingConfiguration(
new List <GreekType>
{
GreekType.Delta,
GreekType.Gamma,
GreekType.Vega,
GreekType.Rho,
GreekType.Tetha
});
var pricer = new Pricer();
var results = pricer.Results(option, pricingcfg);
Console.WriteLine("Le prix de l'option :" + results.Mtm);
foreach (var result in results.Results)
{
Console.WriteLine("La valeur de " + result.Key.ToString() + " : " + result.Value);
}
/*// prcing europeene option
* var maturity = DateTime.Parse("01/05/2019");
* var paramDate = DateTime.Parse("01/04/2019");
* var riskFctorDate = DateTime.Parse("01/09/2019");
* var diif = (paramDate-maturity).TotalDays;
* var option = new OptionInstrument(60, maturity);
* var interpolator = new InterpolatorFuturePrice("CL", riskFctorDate);
* var riskFator = interpolator.InterpolationBackStepProcess();
* var optionData = new OptionMarketData(riskFator, paramDate, 0.05, 0.25);
*
* var pricer = new OptionPricer(option, optionData,"call");
*
*
* var listGreeks = new List<string>()
* {
* "Delta",
* "Vega",
* "Theta",
* "Rho",
* "Gamma"
* };
*
* PrintResult print = new PrintResult(pricer,true,true,listGreeks);
* print.Print();
*/
// InitMarketData
// Construction of Product + PricingConfiguration
// Call the method Price
}
public ProductProfile(PricingConfiguration config)
{
CreateMap <Product, ProductSummaryItem>()
.ForMember(dest => dest.UnitPrice, opt => opt.MapFrom(src => src.UnitPrice * config.MarkUp));
CreateMap <Product, GetProductDetailsResponse>()
.ForMember(dest => dest.UnitPrice, opt => opt.MapFrom(src => src.UnitPrice * config.MarkUp));
CreateMap <PostProductRequest, Product>()
.ForMember(dest => dest.UnitPrice, opt => opt.MapFrom(s => s.UnitPrice.Value))
.ForMember(dest => dest.InInventory, opt => opt.MapFrom(_ => true));
}
private void Button_Click(object sender, RoutedEventArgs e)
{
GetData(out vol, out strikeValue, out interestRate, out valueDate, out maturityDate, out riskfacorDate);
way = (Way)System.Enum.Parse(typeof(Way), Way.SelectedItem.ToString());
optionType = (OptionType)System.Enum.Parse(typeof(OptionType), TypeOption.SelectedItem.ToString());
sousJacent = (Underlying)System.Enum.Parse(typeof(Underlying), sousjacent.SelectedItem.ToString());
var x = MyGreeks.SelectedItems;
var z = MyGreeks.SelectedItem;
listGreeks = MyGreeks.SelectedItems.Cast <GreekType>().ToList();
Data.InitMarketData(vol, interestRate, valueDate);
var option = new OptionInstrument(strikeValue, maturityDate, optionType, way, sousJacent, riskfacorDate);
var pricingcfg = new PricingConfiguration(listGreeks);
var pricer = new Pricer();
Result.Text = pricer.Results(option, pricingcfg).Mtm.ToString();
var resultGreek = pricer.Results(option, pricingcfg).Results;
if (resultGreek.Count != 0)
{
foreach (var result in resultGreek)
{
switch (result.Key)
{
case GreekType.Delta:
ValueDelta.Text = result.Value.ToString("");
break;
case GreekType.Vega:
ValueVega.Text = result.Value.ToString();
break;
case GreekType.Gamma:
ValueGamma.Text = result.Value.ToString();
break;
case GreekType.Rho:
ValueRho.Text = result.Value.ToString();
break;
case GreekType.Tetha:
ValueTetha.Text = result.Value.ToString();
break;
}
}
}
}
public MainWindow()
{
InitializeComponent();
var items = new List <Item>()
{
new Ipad(), new MacBookPro(), new AppleTv(), new Vga()
};
AvailableItems.ItemsSource = items;
var pricingRules = new PricingConfiguration().PricingRules;
_checkOut = new Checkout.Core.Checkout(pricingRules);
}
// This method gets called by the runtime. Use this method to add services to the container.
public void ConfigureServices(IServiceCollection services)
{
services.AddControllers().AddJsonOptions(options =>
{
options.JsonSerializerOptions.IgnoreNullValues = true;
});
services.AddDbContext <ShoppingDataContext>(options =>
options.UseSqlServer(Configuration.GetConnectionString("shopping"))
);
services.AddScoped <ILookupProducts, EfSqlShopping>();
services.AddScoped <IProductCommands, EfSqlShopping>();
var pricingConfig = new PricingConfiguration();
Configuration.GetSection(pricingConfig.SectionName).Bind(pricingConfig);
// Makes this injectable into services using IOptions<T>
services.Configure <PricingConfiguration>(Configuration.GetSection(pricingConfig.SectionName));
var pickupConfig = new PickupEstimatorConfiguration();
Configuration.GetSection(pickupConfig.SectionName).Bind(pickupConfig);
services.Configure <PickupEstimatorConfiguration>(Configuration.GetSection(pickupConfig.SectionName));
var mapperConfig = new MapperConfiguration(opt =>
{
opt.AddProfile(new ProductProfile(pricingConfig));
});
IMapper mapper = mapperConfig.CreateMapper();
services.AddSingleton <IMapper>(mapper);
services.AddSingleton <MapperConfiguration>(mapperConfig);
services.AddScoped <ICurbsideCommands, EfSqlAsyncCurbside>();
services.AddScoped <ICurbsideLookups, EfSqlAsyncCurbside>();
services.AddSingleton <CurbsideChannel>();
services.AddScoped <IGenerateCurbsidePickupTimes, GrpcPickupEstimator>();
services.AddHostedService <CurbsideOrderProcessor>();
}
public void Reference(DataTestCase testCase)
{
Data.InitMarketData(testCase.Vol,
testCase.Rate,
testCase.EvalDate);
var pricingCfg = new PricingConfiguration(testCase.GreekTypes);
var pricer = new Pricer();
var results = pricer.Results(testCase.Option, pricingCfg);
var json = JsonConvert.SerializeObject(results, Formatting.Indented);
var msg = "The reference is generated";
var isGenereted = true;
try
{
using (StreamWriter file =
File.CreateText(@"C:\Users\AHMED\source\repos\ConsoleApp1\ResultPricing.text"))
{
JsonSerializer serializer = new JsonSerializer();
serializer.Serialize(file, results);
}
}
catch (Exception e)
{
isGenereted = false;
msg = string.Format("The reference cannot be generated:{0}", e.Message);
}
finally
{
if (isGenereted == false)
{
Assert.Fail(msg);
}
else
{
Assert.Pass(msg);
}
}
}
public void Initialize()
{
var pricingRules = new PricingConfiguration().PricingRules;
_checkOut = new Checkout(pricingRules);
}
