private double[] ComputeVolatility(int window, int deb, int step)
{//Compute the volatility of all the underlying shares at date deb.
//Estimate the parameters thanks to the data of the window days before deb.
var res = new List <double>();
for (var share = 0; share < Option.UnderlyingShareIds.Length; share++)
{
double[,] tab = new double[window - 1, 1];
for (var k = 1; k < window; k++)
{
tab[k - 1, 0] = Math.Log((double)Spots[deb - window + k][share] / (double)Spots[deb - window + k - 1][share]);
}
var B = Math.Sqrt(DayCount.ConvertToDouble(step, 365));
double[,] myVol = WRE.computeVolatility(tab);
res.Add(myVol[0, 0] / B);
}
return(res.ToArray());
}
public double getPrixPortefeuille(double[] spot, int now, AbstractData donnees)
{
// Recupere la valeur du portefeuille à l'instant actuel
var result = 0.0;
int i = 0;
foreach (var par in this.nbActions)
{
result += par * spot[i];
i++;
}
int span = (donnees.listeDate[now] - donnees.listeDate[date]).Days;;
result += tauxSansRisque * RiskFreeRateProvider.GetRiskFreeRateAccruedValue(DayCount.ConvertToDouble(span, 365));
return(result);
}
public void UpdatePortfolioValue(DataFeed priceAsset_t, int nbJourParAn, int periodeRebalancement)
{
this.portfolioValue = 0;
foreach (string id in priceAsset.Keys)
{
this.portfolioValue += Convert.ToDecimal(composition[id]) * priceAsset_t.PriceList[id];
}
this.portfolioValue += this.liquidity * Convert.ToDecimal(RiskFreeRateProvider.GetRiskFreeRateAccruedValue(DayCount.ConvertToDouble(periodeRebalancement, nbJourParAn)));
}