public override PricingLibrary.Computations.PricingResults getComposition(System.Collections.Generic.List<PricingLibrary.Utilities.MarketDataFeed.DataFeed> dataFeedList, System.DateTime date, int windowLength, int numberDaysPerYear) { double volatility = ShareUtilities.computeVolatility(dataFeedList, date, _vanillaCall.UnderlyingShareIds[0], windowLength, numberDaysPerYear); PricingLibrary.Computations.Pricer pricer = new PricingLibrary.Computations.Pricer(); double[] spotShareArray = Utilities.shareSpots(dataFeedList, date); PricingLibrary.Computations.PricingResults pricingResults = pricer.PriceCall((PricingLibrary.FinancialProducts.VanillaCall)_option, date, numberDaysPerYear, spotShareArray[0], volatility); return pricingResults; }
public override PricingLibrary.Computations.PricingResults getComposition(List<PricingLibrary.Utilities.MarketDataFeed.DataFeed> dataFeedList, DateTime date, int windowLength, int numberDaysPerYear) { double[] volatilities = BasketOptionUtilities.computeVolatilities(dataFeedList, date, windowLength, numberDaysPerYear); double[,] cholesky = BasketOptionUtilities.computeCholeskyCorrelation(dataFeedList, date, windowLength); PricingLibrary.Computations.Pricer pricer = new PricingLibrary.Computations.Pricer(); double[] spotShareArray = Utilities.shareSpots(dataFeedList, date); PricingLibrary.Computations.PricingResults pricingResults = pricer.PriceBasket((PricingLibrary.FinancialProducts.BasketOption)_option, date, numberDaysPerYear, spotShareArray, volatilities, cholesky); return pricingResults; }
public computePortfolioValue() { this.pricer = new PricingLibrary.Computations.Pricer(); }