protected override double[,] ComputeCorrelation(int window, int startingPoint)
{
double[,] data = new double[window, Option.UnderlyingShareIds.Length];
for (int i = 0; i < window; i++)
{
for (int j = 0; j < Option.UnderlyingShareIds.Length; j++)
{
data[i, j] = Spots[startingPoint - window + i][j];
}
}
double[,] correlation = WRE.computeCorrelationMatrix(data);
return(correlation);
}
private double[] ComputeVolatility(int window, int deb, int step)
{//Compute the volatility of all the underlying shares at date deb.
//Estimate the parameters thanks to the data of the window days before deb.
var res = new List <double>();
for (var share = 0; share < Option.UnderlyingShareIds.Length; share++)
{
double[,] tab = new double[window - 1, 1];
for (var k = 1; k < window; k++)
{
tab[k - 1, 0] = Math.Log((double)Spots[deb - window + k][share] / (double)Spots[deb - window + k - 1][share]);
}
var B = Math.Sqrt(DayCount.ConvertToDouble(step, 365));
double[,] myVol = WRE.computeVolatility(tab);
res.Add(myVol[0, 0] / B);
}
return(res.ToArray());
}
public void computeCorrelationMatrixTest()
{
// header
Debug.WriteLine("******************************");
Debug.WriteLine("* WREmodelingCorr in C# *");
Debug.WriteLine("******************************");
// sample data
double[,] returns = { { 0.05, 0.05, 0.6 }, { -0.001, -0.001, 0.56 }, { 0.7, 0.7, 0.12 }, { -0.3, -0.3, -0.1 },
{ 0.1, 0.1, 0.3 } };
// call WRE via computeCovarianceMatrix encapsulation
WRE classWRE = new WRE();
double[,] myCorrMatrix = WRE.computeCorrelationMatrix(returns);
// display result
WRE.dispMatrix(myCorrMatrix);
// ending the program
Console.WriteLine("\nType enter to exit");
}
