public override PricingLibrary.Computations.PricingResults getComposition(System.Collections.Generic.List<PricingLibrary.Utilities.MarketDataFeed.DataFeed> dataFeedList,
System.DateTime date, int windowLength, int numberDaysPerYear)
{
double volatility = ShareUtilities.computeVolatility(dataFeedList, date, _vanillaCall.UnderlyingShareIds[0], windowLength, numberDaysPerYear);
PricingLibrary.Computations.Pricer pricer = new PricingLibrary.Computations.Pricer();
double[] spotShareArray = Utilities.shareSpots(dataFeedList, date);
PricingLibrary.Computations.PricingResults pricingResults = pricer.PriceCall((PricingLibrary.FinancialProducts.VanillaCall)_option, date, numberDaysPerYear, spotShareArray[0], volatility);
return pricingResults;
}
public override PricingLibrary.Computations.PricingResults getComposition(List<PricingLibrary.Utilities.MarketDataFeed.DataFeed> dataFeedList, DateTime date, int windowLength, int numberDaysPerYear)
{
double[] volatilities = BasketOptionUtilities.computeVolatilities(dataFeedList, date, windowLength, numberDaysPerYear);
double[,] cholesky = BasketOptionUtilities.computeCholeskyCorrelation(dataFeedList, date, windowLength);
PricingLibrary.Computations.Pricer pricer = new PricingLibrary.Computations.Pricer();
double[] spotShareArray = Utilities.shareSpots(dataFeedList, date);
PricingLibrary.Computations.PricingResults pricingResults = pricer.PriceBasket((PricingLibrary.FinancialProducts.BasketOption)_option, date, numberDaysPerYear, spotShareArray, volatilities, cholesky);
return pricingResults;
}
public computePortfolioValue()
{
this.pricer = new PricingLibrary.Computations.Pricer();
}