public void TestMethod1()
{
BasketPricingModel bpm = new BasketPricingModel();
bpm.oMaturity = new DateTime(2015, 8, 20);
bpm.oName = "test";
Share share = new Share("ACCOR SA", "AC FP ");
bpm.oShares = new Share[1];
bpm.oShares[0] = share;
bpm.oStrike = 45.5;
DataGestion dg = new DataGestion();
DateTime date = new DateTime(2013, 8, 21);
List <DataFeed> ldf = dg.getListDataField(date, bpm.oMaturity, bpm.oShares);
PricingResults pR = bpm.getPayOff(ldf);
Console.WriteLine(pR.Price);
}
public void testVolatilityBasket()
{
ForwardTestGenerate f = new ForwardTestGenerate();
f.vanillaCallName = "Basket NAME";
Share[] under = new Share[4];
under[0] = new Share("1A", "ID1");
under[1] = new Share("2A", "ID2");
under[2] = new Share("3A", "ID3");
under[3] = new Share("4A", "ID4");
f.underlyingShares = under;
f.weight = new double[4] {
0.25, 0.25, 0.25, 0.25
};
f.endTime = new DateTime(2014, 09, 09);
f.startDate = new DateTime(2013, 12, 12);
f.strike = 20.0;
List <DataFeed> datum = f.generateHistory();
BasketPricingModel vcpm = new BasketPricingModel();
vcpm.oWeights = f.weight;
vcpm.oSpot = new double[4] {
10, 10, 10, 10
};
vcpm.currentDate = f.startDate;
vcpm.oStrike = 20.0;
vcpm.oMaturity = f.endTime;
vcpm.oShares = f.underlyingShares;
vcpm.oName = f.vanillaCallName;
vcpm.calculVolatility(datum);
//Console.WriteLine(vcpm.oVolatility);
/*for (int i = 0; i < 4; i++)
* {*/
//System.Diagnostics.Debug.Assert(vcpm.oVolatility[i] > 0.3 && vcpm.oVolatility[i] < 0.5);
Console.WriteLine(vcpm.oVolatility[0]);
//}
}
