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 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);
}