{ // Returns a prototype object
public override TwoFactorOption CreateOption()
{
TwoFactorOption result = new TwoFactorOption();
// Results take from Topper 2005
result.r = 0.1;
result.sig1 = 0.1;
result.sig2 = 0.3;
result.rho = 0.5;
result.D1 = 0.0;
result.D2 = 0.0;
result.K = 40.0;
result.T = 0.5;
result.SMax1 = result.K * 2.0;
result.SMax2 = result.K * 2.0;
result.type = -1; // Put, temp
result.w1 = 1.0; // Topper
result.w2 = 1.0;
// Now assign the payoff function
result.pay = new BasketStrategy(result.K, result.type, result.w1, result.w2);
return(result);
}
public override TwoFactorOption CreateOption()
{
double dr; // Interest rate
double dsig1, dsig2; // Volatility
double div1, div2; // Dividends
double drho;
double dK; // Strike price
double dT; // Expiry date
double dSMax1, dSMax2; // Far field boundary
double dw1, dw2; // Weights of each asset
int dtype; // C +1, P -1
L1:
Console.Write("Type Call +1, Put -1: ");
dtype = Convert.ToInt32(Console.ReadLine());
Console.Write("Interest rate: ");
dr = Convert.ToDouble(Console.ReadLine());
Console.Write("Strike: ");
dK = Convert.ToDouble(Console.ReadLine());
Console.Write("Volatility 1: ");
dsig1 = Convert.ToDouble(Console.ReadLine());
Console.Write("Volatility 2: ");
dsig2 = Convert.ToDouble(Console.ReadLine());
Console.Write("Dividend 1: ");
div1 = Convert.ToDouble(Console.ReadLine());
Console.Write("Dividend 2: ");
div2 = Convert.ToDouble(Console.ReadLine());
Console.Write("Correlation: ");
drho = Convert.ToDouble(Console.ReadLine());
Console.Write("First Far Field: ");
dSMax1 = Convert.ToDouble(Console.ReadLine());
Console.Write("Second Far Field: ");
dSMax2 = Convert.ToDouble(Console.ReadLine());
Console.Write("weight 1: ");
dw1 = Convert.ToDouble(Console.ReadLine());
Console.Write("Weight 2: ");
dw2 = Convert.ToDouble(Console.ReadLine());
Console.Write("Expiry: ");
dT = Convert.ToDouble(Console.ReadLine());
Console.Write("Is this correct, carry on?");
char c = Convert.ToChar(Console.ReadLine());
if (c != 'y' && c != 'Y')
{
goto L1;
}
TwoFactorOption result = new TwoFactorOption();
result.r = dr;
result.sig1 = dsig1;
result.sig2 = dsig2;
result.rho = drho;
result.D1 = div1;
result.D2 = div2;
result.K = dK;
result.T = dT;
result.SMax1 = dSMax1;
result.SMax2 = dSMax2;
result.type = dtype;
result.w1 = dw1;
result.w2 = dw2;
// Now assign the payoff function
result.pay = new BasketStrategy(dK, dtype, dw1, dw2);
return(result);
}
