public void TestComputeMinVarianceHedgingFuturesCount()
{
var orangeFutures = new Security {
Id = 1, MarketPrice = 118.65, Symbol = "ORANGE_FUTURES", Volatility = 0.2
};
var grapefruitCommodity = new Security {
Id = 1, MarketPrice = double.NaN, Symbol = "GRAPEFRUIT_COMMODITY", Volatility = 0.25
};
var secCov = new SecuritiesCovariance(orangeFutures, grapefruitCommodity, 0.7);
secCov.Compute();
var contractCount = Hedges.ComputeMinVarianceHedgingFuturesCount(Math.Pow(orangeFutures.Volatility, 2), secCov, 150000, 15000);
Console.WriteLine(contractCount);
}
public static List <SecuritiesCovariance> ReadCorrelations(string csvFileName, List <Security> securities)
{
var results = new List <SecuritiesCovariance>();
using (var reader = new CsvReader(new StreamReader(csvFileName), false, ','))
{
while (reader.ReadNextRecord())
{
var cov = new SecuritiesCovariance();
var symbolOne = reader[0];
var symbolTwo = reader[1];
cov.Correlation = double.Parse(reader[2]);
cov.SecurityOne = securities.FirstOrDefault(s => s.Symbol == symbolOne);
cov.SecurityTwo = securities.FirstOrDefault(s => s.Symbol == symbolTwo);
results.Add(cov);
}
}
return(results);
}
