public void TestGenHistOptionForward()
{
String VanillaCallName = "FistOptionName";
DataGestion dataConn = new DataGestion();
Share[] underlyingShares = new Share[dataConn.numberOfAssets()];
var listeID = dataConn.getListofID();
for (int i = 0; i < dataConn.numberOfAssets(); i++)
{
underlyingShares[i] = new Share(dataConn.getName(listeID.ToArray()[i]), listeID.ToArray()[i]);
}
DateTime endTime = new DateTime(2016, 1, 1);
DateTime startDate = new DateTime(2015, 10, 10);
double strike = 100.0;
double[] weight = new double[dataConn.numberOfAssets()];
for (int i = 0; i < dataConn.numberOfAssets(); i++)
{
weight[i] = 1 / dataConn.numberOfAssets();
}
IGenerateHistory test = new ForwardTestGenerate();
test.endTime = endTime; //
test.strike = strike; //
test.underlyingShares = underlyingShares; //
test.vanillaCallName = VanillaCallName; //
test.weight = weight; //
test.startDate = startDate; //
List <DataFeed> ret = test.generateHistory();
Console.WriteLine("----");
foreach (DataFeed dataf in ret)
{
List <string> keyList = new List <string> (ret.ToArray()[0].PriceList.Keys);
foreach (var ele in keyList)
{
Console.WriteLine(dataf.Date);
Console.WriteLine(dataf.PriceList[ele]);
}
}
}
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]);
//}
}
