public static ParameterSettingManager makeParaSettingManager(string settingID, DateTime refDate, Excel_instrumentViewModel e_instVM)
{
ParameterSettingManager psm = new ParameterSettingManager(refDate, e_instVM);
// simulation Number
psm.SimulationNumber_ = 10000;
// underlying
{
UnderlyingParaSetting ups = new UnderlyingParaSetting(psm);
// stock
GBMSetting gbmSetting = new GBMSetting();
gbmSetting.GBMDriftSetting_ = new GBM_Const_DriftSetting("0.0289");
gbmSetting.GBMDividendSetting_ = new GBM_Const_DividendSetting("0.019");
gbmSetting.GBMVolatilitySetting_ = new GBM_Const_VolatilitySetting("0.3");
ups.StockParaSetting_ = new GBMSetting();
// ir
HullWhiteSetting hwSetting = new HullWhiteSetting();
hwSetting.HullWhite_AlphaSetting_ = new HullWhite_Const_AlphaSetting("");
hwSetting.HullWhite_SigmaSetting_ = new HullWhite_Const_SigmaSetting("");
hwSetting.HullWhite_FittingCurveSetting_ = new HullWhite_Const_FittingCurveSetting("");
ups.InterestRateParaSetting_ = hwSetting;
// fx
// corr
ups.CorrelationParaSetting_ = new Constant_CorrelationParaSetting(psm);
}
// discount
{
DiscountCurveParaSetting dcps = new DiscountCurveParaSetting(psm);
psm.DiscountCurveParaSetting_ = dcps;
}
return(psm);
}
public static ParameterSettingManager makeParaSettingManager(string settingID,DateTime refDate,Excel_instrumentViewModel e_instVM)
{
ParameterSettingManager psm = new ParameterSettingManager(refDate, e_instVM);
// simulation Number
psm.SimulationNumber_ = 10000;
// underlying
{
UnderlyingParaSetting ups = new UnderlyingParaSetting(psm);
// stock
GBMSetting gbmSetting = new GBMSetting();
gbmSetting.GBMDriftSetting_ = new GBM_Const_DriftSetting("0.0289");
gbmSetting.GBMDividendSetting_ = new GBM_Const_DividendSetting("0.019");
gbmSetting.GBMVolatilitySetting_ = new GBM_Const_VolatilitySetting("0.3");
ups.StockParaSetting_ = new GBMSetting();
// ir
HullWhiteSetting hwSetting = new HullWhiteSetting();
hwSetting.HullWhite_AlphaSetting_ = new HullWhite_Const_AlphaSetting("");
hwSetting.HullWhite_SigmaSetting_ = new HullWhite_Const_SigmaSetting("");
hwSetting.HullWhite_FittingCurveSetting_ = new HullWhite_Const_FittingCurveSetting("");
ups.InterestRateParaSetting_ = hwSetting;
// fx
// corr
ups.CorrelationParaSetting_ = new Constant_CorrelationParaSetting(psm);
}
// discount
{
DiscountCurveParaSetting dcps = new DiscountCurveParaSetting(psm);
psm.DiscountCurveParaSetting_ = dcps;
}
return psm;
}
