private void BuildTrajectory(ConventionDate today, ConventionDate maturity)
{
double dt = GetDt();
double spotValue;
bool afterMaturity = false;
ConventionDate currentDate = today.GetNextDate();
ConventionDate previousDate = today;
while (!afterMaturity)
{
if (currentDate.Equals(maturity))
{
afterMaturity = true;
}
spotValue = spots[previousDate] * Math.Exp((drift - Math.Pow(vol, 2) / 2) * dt + vol * Math.Sqrt(dt) * Normal.Sample(random, 0.0, 1.0));
spots.Add(currentDate, spotValue);
previousDate = currentDate;
currentDate = currentDate.GetNextDate();
}
}
public double GetPrice(Action action)
{
double perf;
double perfFactor = 1;
double price = 0;
int year = 1;
ConventionDate previousDate = new ConventionDate();
ConventionDate currentDate = GetNextCouponDate(previousDate);
int nbDays = previousDate.NumberDays(currentDate);
double factor = (double)nbDays / (double)previousDate.GetDaysPerYear();
price += factor * faceValue * annualRate / Math.Pow((1 + marketRate), factor);
while (!currentDate.Equals(maturity))
{
if (action != null)
{
perf = action.GetPerf(currentDate, previousDate);
if (perf > 0.2)
{
perfFactor = 1;
}
else if (perf > 0.1)
{
perfFactor = 0.7;
}
else
{
perfFactor = 0.5;
}
}
price += perfFactor * faceValue * annualRate / Math.Pow(1 + marketRate, factor + (year / frequency)) / (double)frequency;
year += 1;
previousDate = currentDate;
currentDate = GetNextCouponDate(currentDate);
}
/*for (int year = 1; year < frequency * YearsTillMaturity(); year++)
* {
* if (action != null)
* {
* perf = action.GetPerf(year);
* }
* price += perf * faceValue * annualRate / Math.Pow((1 + marketRate), factor + (year / frequency)) / (double)frequency;
* }*/
if (action != null)
{
perf = action.GetPerf(previousDate, maturity);
if (perf > 0.2)
{
perfFactor = 1;
}
else if (perf > 0.1)
{
perfFactor = 0.7;
}
else
{
perfFactor = 0.5;
}
}
price += perfFactor * faceValue * (1 + annualRate) / Math.Pow((1 + marketRate), factor + YearsTillMaturity());
return(price);
}
