// Process1D 생성용 //내부사용함.
private static StochasticProcess1D buildProcess1D(Underlying under)
{
Date today = Settings.evaluationDate();
CurveSetting curveSetting = new CurveSetting();
ProcessSetting processSetting = new ProcessSetting();
ProcessType proType = processSetting.processType(under);
StochasticProcess1D process;
if (proType == ProcessType.BlackScholesMertonProcess)
{
Handle<Quote> quite = new Handle<Quote>();//under.quoteValue(today);
Handle<YieldTermStructure> driftTS = curveSetting.driftCurve(under);
Handle<YieldTermStructure> dividendTS = curveSetting.dividendCurve(under);
Handle<BlackVolTermStructure> volTS = curveSetting.volCurve(under);
process = new BlackScholesMertonProcess(quite,driftTS,dividendTS,volTS);
}
else if (proType == ProcessType.GemetricBrownianMotion)
{
throw new NotImplementedException();
}
else if ( proType == ProcessType.HullWhite )
{
throw new NotImplementedException();
}
else if (proType == ProcessType.Vasicek)
{
throw new NotImplementedException();
}
else
{
throw new NotImplementedException();
}
return process;
}
// Process1D 생성용 //내부사용함.
private static StochasticProcess1D buildProcess1D(Underlying under)
{
Date today = Settings.evaluationDate();
CurveSetting curveSetting = new CurveSetting();
ProcessSetting processSetting = new ProcessSetting();
ProcessType proType = processSetting.processType(under);
StochasticProcess1D process;
if (proType == ProcessType.BlackScholesMertonProcess)
{
Handle <Quote> quite = new Handle <Quote>();//under.quoteValue(today);
Handle <YieldTermStructure> driftTS = curveSetting.driftCurve(under);
Handle <YieldTermStructure> dividendTS = curveSetting.dividendCurve(under);
Handle <BlackVolTermStructure> volTS = curveSetting.volCurve(under);
process = new BlackScholesMertonProcess(quite, driftTS, dividendTS, volTS);
}
else if (proType == ProcessType.GemetricBrownianMotion)
{
throw new NotImplementedException();
}
else if (proType == ProcessType.HullWhite)
{
throw new NotImplementedException();
}
else if (proType == ProcessType.Vasicek)
{
throw new NotImplementedException();
}
else
{
throw new NotImplementedException();
}
return(process);
}
