public void Should_get_correct_price_range_When_apply_monte_carlo()
{
var date = D20190505;
var nextDate = date.AddDays(1);
int largeNumber = 10000;
int randomingCount = 0;
Func <Volatility, Volatility> producer = d =>
{
var volatilityRandomizer = new VolatilityRandomizer();
Interlocked.Increment(ref randomingCount);
return(volatilityRandomizer.Randomrize(Volatility));
};
var monteCarlo = new MonteCarloVolatilityRandomizer(largeNumber, Volatility, producer);
var pricer = new MiniPricer(new Price(date, InitialPrice), Volatility, new JoursFeriesProvider(), monteCarlo);
var priceOfNextDay = pricer.GetPriceOf(Instrument, nextDate);
Check.That(randomingCount).IsEqualTo(largeNumber);
Check.That(priceOfNextDay.Date).IsEqualTo(nextDate);
Check.That(priceOfNextDay.Value).IsStrictlyLessThan(120);
Check.That(priceOfNextDay.Value).IsStrictlyGreaterThan(80);
}
public Volatility Randomrize(Volatility volatility)
{
var randomrizedVolatility = _innerRandomrizer.Randomrize(volatility);
_volatilities.Add(randomrizedVolatility.Value);
return(volatility);
}