//We test that the price method of the Pricer Class we have to implement
//is working well. It is the answer to the question 4.
public void TestThePriceMethodOfPricerClass()
{
IPricer pricer = new Pricer();
Shape square = new Square("Square1", 12);
Assert.AreEqual(24, pricer.Price(square.Area));
}
public void DivSlopingZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 2;
myZero.makeArrays();
myZero.set_r(0, 0.075, 0.5);
myZero.set_r(1, 0.05, 2);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 10.37); //Orc pr = 10.38
Assert.Less(prc, 10.39);
Assert.Greater(prp, 9.42); //Orc pr = 9.43
Assert.Less(prp, 9.44);
}
public void ADivSlopingZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 2;
myZero.MakeArrays();
myZero.SetR(0, 0.075, 0.5);
myZero.SetR(1, 0.05, 2);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 10.37); //Orc pr = 10.38
Assert.IsTrue(prc < 10.39);
Assert.IsTrue(prp > 9.42); //Orc pr = 9.43
Assert.IsTrue(prp < 9.44);
}
public void NoDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 0.0, 1.0);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 1;
myZero.makeArrays();
myZero.set_r(0, 0.05, 1.0);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 12.33); //Orc pr = 12.34
Assert.Less(prc, 12.35);
Assert.Greater(prp, 7.98); //Orc pr = 7.99
Assert.Less(prp, 8.00);
}
public void EDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 1;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "e";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 9.455); //BS pr = 9.46277
Assert.IsTrue(prc < 9.475);
Assert.IsTrue(prp > 9.462); //BS pr = 9.46226
Assert.IsTrue(prp < 9.475);
}
public void ANoDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 0.0, 1.0);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 1;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 12.33); //Orc pr = 12.34
Assert.IsTrue(prc < 12.35);
Assert.IsTrue(prp > 7.98); //Orc pr = 7.99
Assert.IsTrue(prp < 8.00);
}
public void DivFlatZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 1;
myZero.makeArrays();
myZero.set_r(0, 0.05, 1.0);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "e";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 9.455); //BS pr = 9.46277
Assert.Less(prc, 9.475);
Assert.Greater(prp, 9.462); //BS pr = 9.46226
Assert.Less(prp, 9.475);
}
public override CompletePricingResults getPricingResults(List <DataFeed> pricingData)
{
double[,] underlyingSpots = ConvertDecimalArray.listDataFeedToDoubleArray(pricingData);
double[] volatility = StatComputing.volatilitiesComputing(underlyingSpots);
Pricer pricer = new Pricer();
double spot = underlyingSpots[underlyingSpots.GetLength(0) - 1, 0];
PricingResults pricingResults = pricer.Price((VanillaCall)opt, pricingData.Last().Date, 365, spot, volatility.First());
CompletePricingResults completePricingResults = new CompletePricingResults(pricingResults, new double[] { spot });
return(completePricingResults);
}
public ViewModel()
{
_instrumentRepository = new MyInstrumentRepository();
_instrumentRepository.Init(50);
Instruments =
new ObservableCollection <InstrumentViewModel>(
_instrumentRepository.GetInstruments().Select(instrument => new InstrumentViewModel(instrument)));
_pricer = new Pricer(_instrumentRepository, 1);
StartCommand = new RelayCommand(o => { _pricer.Price(); }, o => true);
StopCommand = new RelayCommand(o => { _pricer.StopPrice(); }, o => true);
RestartCommand = new RelayCommand(o => { _pricer.Restart(); }, o => true);
}
public void TestPrice()
{
_repository = Substitute.For <IInstrumentRepository>();
_repository.GetInstruments()
.Returns(new List <Instrument>
{
new Instrument("Toto", InstrumentType.Bond)
});
_pricer = new Pricer(_repository, 500);
_pricer.Price();
Thread.Sleep(800);
_repository.Received(1).PriceUpdate("Toto", Arg.Any <double>());
}
// Valeur de référence obtenue depuis : http://www.danielsoper.com/fincalc/calc.aspx?id=37
[TestMethod] public void TestPricer()
{
// Le test était en erreur à cause de deux problèmes :
// Le premier est juste une erreur de saisie, le prix de
// référence (12.8405) correspond à une maturité de 90 jours = 0.246 année
// c'est corrigé en utilisant la bonne maturité dans le test
// Le deuxième venait de la loi normale. On a utilisé involontairement
// la même loi uniforme deux fois (u1=u2), pour plus de détails, voir
// les commentaires de la classe UniformGenerator
Pricer pricer = new Pricer();
CallPayoff payoff = new CallPayoff("s", 0.246, 95);
BSSimulator simulator = new BSSimulator();
double price = pricer.Price(payoff, simulator, 10e5);
Assert.AreEqual(12.8405, price, 0.1);
}
public override CompletePricingResults getPricingResults(List <DataFeed> pricingData)
{
double[,] underlyingSpots = ConvertDecimalArray.listDataFeedToDoubleArray(pricingData);
double[,] myCorrelationMatrix = StatComputing.correlationMatrix(underlyingSpots);
double[] volatility = StatComputing.volatilitiesComputing(underlyingSpots);
Pricer pricer = new Pricer();
int nShares = underlyingSpots.GetLength(1);
double[] spots = new double[nShares];
for (int i = 0; i < nShares; i++)
{
spots[i] = underlyingSpots[nShares - 1, i];
}
PricingResults pricingResults = pricer.Price((BasketOption)opt, pricingData.Last().Date, 365, spots, volatility, myCorrelationMatrix);;
CompletePricingResults completePricingResults = new CompletePricingResults(pricingResults, spots);
return(completePricingResults);
}
public void GetItemDisplayListTest_WithPricer()
{
var collection = new List <Item>
{
new Item
{
Type = "Cercle",
Name = "Nom1",
Superficy = 12
},
new Item
{
Type = "Cercle",
Name = "Nom2",
Superficy = 15
},
new Item
{
Type = "Triangle",
Name = "Nom3",
Superficy = 16
}
};
var displayService = new DisplayService();
IPricer pricer = new Pricer();
var i = 0;
foreach (var itemDisplay in displayService.GetItemDisplayList(collection, pricer))
{
var item = collection[i];
Assert.AreEqual($"{item.Type} - {item.Name} - {item.Superficy} cm² - Estimation cout : {pricer.Price(item.Superficy)}{DisplayService.Euro}", itemDisplay);
i++;
}
pricer = new OtherPricer();
i = 0;
foreach (var itemDisplay in displayService.GetItemDisplayList(collection, pricer))
{
var item = collection[i];
Assert.AreEqual($"{item.Type} - {item.Name} - {item.Superficy} cm² - Estimation cout : {pricer.Price(item.Superficy)}{DisplayService.Euro}", itemDisplay);
i++;
}
}
private void Start(object sender, EventArgs e)
{
_pricer.Price();
dataGridView1.DataSource = _instruments;
}
public Rental(string imdbId, string member)
{
ImdbID = imdbId;
Member = member;
_movie = Pricer.Price(imdbId);
}
static int Main(string[] args)
{
string inputFilePath = null;
var culture = Thread.CurrentThread.CurrentCulture;
#if DEBUG
Console.Write("Input file path: ");
inputFilePath = Console.ReadLine();
Console.Write("Culture (leave blank for system default): ");
var cultureInput = Console.ReadLine();
if (!string.IsNullOrWhiteSpace(cultureInput))
{
culture = new CultureInfo(cultureInput);
}
#else
for (var offset = 0; offset < args.Length; offset += 2)
{
switch (args[offset])
{
case "-l":
case "--culture":
culture = new CultureInfo(args[offset + 1]);
break;
case "-i":
case "--input":
inputFilePath = args[offset + 1];
break;
default:
Console.WriteLine($"'{args[offset]}' is not a known switch, supported values are: '-l', '--culture', '-i', '--input'");
break;
}
}
#endif
if (string.IsNullOrWhiteSpace(inputFilePath))
{
Console.WriteLine("The input file path is required: -i <file-path>");
return(-1);
}
if (inputFilePath.StartsWith('"'))
{
inputFilePath = inputFilePath.Replace("\"", "");
}
var inputFile = new FileInfo(inputFilePath);
if (!inputFile.Exists)
{
Console.WriteLine($"The file '{inputFile.FullName}' is not accessible");
return(-1);
}
if (!".csv".Equals(inputFile.Extension, StringComparison.OrdinalIgnoreCase))
{
Console.WriteLine($"The file '{inputFile.FullName}' doesn't have a '.csv' extension");
return(-1);
}
var inputVms = new InputVmParser().Parse(inputFile, culture);
var pricer = new Pricer(PricingDirectory);
pricer.EnsurePricingExists(inputVms);
var pricings = new VmPricingParser(PricingDirectory).Parse();
var pricedVms = pricer.Price(inputVms, pricings);
new PricedVmWriter().Write(inputFile.Name, pricedVms, culture);
return(0);
}