static void Main(string[] args)
{
//Mediator med = new Mediator();
//med.calculate();
//Console.ReadLine();
//convertible bond with option on equity basket chapter 7
Vector <double> pricesVector = new Vector <double>(new double[] { 1, 2 }, 0);
Vector <double> weightsVector = new Vector <double>(new double[] { 1, 2 }, 0);
Vector <double> volatilityVector = new Vector <double>(new double[] { 1, 2 }, 0);
NumericMatrix <double> correlationMatrix = new NumericMatrix <double>(2, 2, 0, 0);
correlationMatrix.setRow(new Array <double>(new double[] { 1, 2 }, 0), 0);
correlationMatrix.setRow(new Array <double>(new double[] { 1, 2 }, 0), 1);
Option o = new Option(OptionType.Put, 2, 2, 3, pricesVector, weightsVector, correlationMatrix, volatilityVector);
Console.WriteLine(o.Price());
//dual currency linked bonds with exchange option chapter 7
Option exchangeOption = new Option(OptionType.Call, 2, 2, 2, 3, 0.5, 0.4, 1);
Console.WriteLine(exchangeOption.Price());
Console.ReadLine();
}
public NumericMatrix <double> result()
{
// Initialise time.
tnow = tprev = tarr[tarr.MinIndex];
res.setRow(vecNew, tarr.MinIndex);
// The state machine; we march from t = 0 to t = T.
for (int n = tarr.MinIndex + 1; n <= tarr.MaxIndex; n++)
{
tnow = tarr[n];
// The two methods that represent the variant parts
// of the Template Method Pattern.
calculateBC();
calculate();
// Add the current solution to the matrix of results.
res.setRow(vecNew, n);
tprev = tnow;
}
return(res);
}
public NumericMatrix <double> result()
{
// The state machine; we march from t = 0 to t = T.
for (int n = tarr.MinIndex + 1; n <= tarr.MaxIndex; n++)
{
tnow = tarr[n];
// The two methods that represent the variant parts
// of the Template Method Pattern.
calculateBC();
calculate();
// Add the current solution to the matrix of results.
res.setRow(vecNew, n);
tprev = tnow;
for (int j = vecNew.MinIndex; j <= vecNew.MaxIndex; j++)
{ // Combine in previous loop
vecOld[j] = vecNew[j];
}
}
return(res);
}