public override CompletePricingResults getPricingResults(List <DataFeed> pricingData)
{
double[,] underlyingSpots = ConvertDecimalArray.listDataFeedToDoubleArray(pricingData);
double[] volatility = StatComputing.volatilitiesComputing(underlyingSpots);
Pricer pricer = new Pricer();
double spot = underlyingSpots[underlyingSpots.GetLength(0) - 1, 0];
PricingResults pricingResults = pricer.Price((VanillaCall)opt, pricingData.Last().Date, 365, spot, volatility.First());
CompletePricingResults completePricingResults = new CompletePricingResults(pricingResults, new double[] { spot });
return(completePricingResults);
}
public override CompletePricingResults getPricingResults(List <DataFeed> pricingData)
{
double[,] underlyingSpots = ConvertDecimalArray.listDataFeedToDoubleArray(pricingData);
double[,] myCorrelationMatrix = StatComputing.correlationMatrix(underlyingSpots);
double[] volatility = StatComputing.volatilitiesComputing(underlyingSpots);
Pricer pricer = new Pricer();
int nShares = underlyingSpots.GetLength(1);
double[] spots = new double[nShares];
for (int i = 0; i < nShares; i++)
{
spots[i] = underlyingSpots[nShares - 1, i];
}
PricingResults pricingResults = pricer.Price((BasketOption)opt, pricingData.Last().Date, 365, spots, volatility, myCorrelationMatrix);;
CompletePricingResults completePricingResults = new CompletePricingResults(pricingResults, spots);
return(completePricingResults);
}
private void updateResults(List <DataFeed> pricingData, int periodIndex, int nRebalancingDays)
{
CompletePricingResults pricingResult = optionPricer.getPricingResults(pricingData);
double[] newDeltas = pricingResult.Deltas;
double[] spots = pricingResult.Spots;
double optPrice = pricingResult.Price;
if (periodIndex == 0)
{
Array.Copy(newDeltas, deltas, newDeltas.Length);
}
double riskyAsset = 0;
for (int i = 0; i < spots.Length; i++)
{
riskyAsset += deltas[i] * spots[i];
}
if (periodIndex == 0)
{
results.PortfolioValue = optPrice;
}
else
{
results.PortfolioValue = riskyAsset + results.Portfolio.NonRiskyAsset * RiskFreeRateProvider.GetRiskFreeRateAccruedValue(nRebalancingDays / 365.0);
}
double nonRiskyAsset = results.PortfolioValue - riskyAsset;
results.Portfolio = new HedgingPortfolio(riskyAsset, nonRiskyAsset);
results.Payoff = optionPricer.Opt.GetPayoff(pricingData.Last().PriceList);
results.TrackingError = (results.PortfolioValue - results.Payoff) / optPrice;
results.Date = pricingData.Last().Date;
deltas = newDeltas;
}
