public void testVolatility()
{
DataGestion dg = new DataGestion();
VanillaCallPricingModel vcpm = new VanillaCallPricingModel();
Share share = new Share("ACCOR SA", "AC FP ");
vcpm.oShares = new Share[1];
vcpm.oShares[0] = share;
List <DataFeed> ldf = dg.getListDataField(new DateTime(2013, 10, 10), new DateTime(2014, 10, 10), vcpm.oShares);
vcpm.calculVolatility(ldf);
}
public void TestMethod1()
{
VanillaCallPricingModel vcpm = new VanillaCallPricingModel();
vcpm.oMaturity = new DateTime(2015, 8, 20);
vcpm.oName = "test";
Share share = new Share("ACCOR SA", "AC FP ");
vcpm.oShares = new Share[1];
vcpm.oShares[0] = share;
vcpm.oStrike = 45.5;
vcpm.oSpot = new double[1];
vcpm.oSpot[0] = 48;
DataGestion dg = new DataGestion();
DateTime date = new DateTime(2013, 8, 20);
List <DataFeed> ldf = dg.getListDataField(date, vcpm.oMaturity, vcpm.oShares);
PricingResults pR = vcpm.getPayOff(ldf);
Console.WriteLine(pR.Price);
}
public void TestMethod2()
{
DataGestion dg = new DataGestion();
VanillaCallPricingModel vcpm = new VanillaCallPricingModel();
vcpm.oMaturity = new DateTime(2015, 8, 20);
vcpm.oName = "test";
Share share = new Share("ACCOR SA", "AC FP ");
vcpm.oShares = new Share[1];
vcpm.oShares[0] = share;
vcpm.oStrike = 10;
vcpm.oSpot = new double[1];
DateTime date = new DateTime(2015, 1, 12);
vcpm.oSpot[0] = dg.getCotation("AC FP", date);
List <DataFeed> ldf = dg.getListDataField(date, vcpm.oMaturity, vcpm.oShares);
List <PricingResults> LpR = vcpm.pricingUntilMaturity(ldf);
foreach (PricingResults pr in LpR)
{
Console.WriteLine(pr.Price);
}
}
