public void IncreasingVariance()
{
var equity = new Equity(100, 0.2);
Context.Initialize();
Date today = Context.TODAY;
double previousVariance = 0;
Trace.WriteLine("Testing trace");
for (Date date = today; date < today + new Frequency(3650); date = date + new Frequency(30) )
{
double newVariance = equity.Variance(date);
Assert.IsTrue(newVariance >= previousVariance);
Console.WriteLine("{0,10}: {1:F4}", date, newVariance);
previousVariance = newVariance;
}
}
public static double Price(OptionType optionType, Equity equity, double K,
double T, double r, PriceType priceType = PriceType.Price)
{
var impliedVol = equity.sigma;
return Price(optionType, equity.spot, K, T, r, impliedVol, priceType);
}
public EquityModel(Equity equity,IEnumerable<Date> diffusiondates, int N)
{
this.equity = equity;
this.diffusiondates = diffusiondates.ToList();
this.N = N;
}
