Ejemplo n.º 1
0
        public void TestDynamicCallFromFile()
        {
            Stopwatch watch;
            // Make a product at runtime
            var runtimeProduct = RuntimeProduct.CreateFromScript(@"ScriptEuropeanOption.txt");

            // Setup an appropriate simulation
            var shares = new[]
            {
                new Share("AAA", TestHelpers.ZAR)
            }; // One needs to know the index that will be required by the product to simulate it.
            var valueDate = new Date(2016, 08, 28);

            var divYield     = new[] { 0.02 };
            var vol          = new[] { 0.22 };
            var spotPrice    = new[] { 100.0 };
            var correlations = new[, ] {
                { 1.0 }
            };
            IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate,
                                                                 new[] { valueDate, valueDate.AddMonths(120) },
                                                                 new[] { 0.07, 0.07 });
            var rateForecastCurves = new IFloatingRateSource[0];

            var sim = new EquitySimulator(shares, spotPrice, vol, divYield,
                                          correlations, discountCurve, rateForecastCurves);

            // Value the runtime product
            Coordinator coordinator;

            coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
            watch       = Stopwatch.StartNew();
            var valueRuntime = coordinator.Value(new[] { runtimeProduct }, valueDate);

            watch.Stop();
            var timeRuntime = watch.ElapsedMilliseconds;

            // Setup the same product statically
            var     exerciseDate  = new Date(2017, 08, 28);
            var     strike        = 100.0;
            Product staticProduct = new EuropeanOption(new Share("AAA", TestHelpers.ZAR), strike, exerciseDate);

            // Value the static product
            coordinator = new Coordinator(sim, new List <Simulator>(), 100000);
            watch       = Stopwatch.StartNew();
            var valueStatic = coordinator.Value(new[] { staticProduct }, valueDate);

            watch.Stop();
            var timeStatic = watch.ElapsedMilliseconds;

            var refValue = BlackEtc.BlackScholes(PutOrCall.Call, strike, (exerciseDate - valueDate) / 365, spotPrice[0],
                                                 vol[0], 0.07, divYield[0]);

            Assert.AreEqual(refValue, valueRuntime, refValue * 0.03);
            Assert.AreEqual(refValue, valueStatic, refValue * 0.03);
        }
Ejemplo n.º 2
0
 public static object CreateProductFromFile([ExcelArgument(Description = "Name of product")] string name,
                                            [ExcelArgument(Description = "Full path to the file.")] string filename)
 {
     try
     {
         Product runtimeProduct = RuntimeProduct.CreateFromScript(filename);
         return(XU.AddObject(name, runtimeProduct));
     }
     catch (Exception e)
     {
         return(XU.Error0D(e));
     }
 }
Ejemplo n.º 3
0
 public static Product CreateProductFromFile([ExcelArgument(Description = "Full path to the file.")]
                                             string filename)
 {
     return(RuntimeProduct.CreateFromScript(filename));
 }