[Test] public void Should_Return_many_time_volatility_calculation_When_use_MonteCarlo_as_Volatility_average()
{
var volatilities = new List <double>();
var callCount = 0;
Func <double, double> getVolatilityTestWapper = d =>
{
Interlocked.Increment(ref callCount);
return(Pricer.GetNextRandomVolatility(d));
};
Func <double, double> monteCarloFor1000Shot = Pricer.GetMonteCarloVolatilityFor(1000, getVolatilityTestWapper);
var pricer = new Pricer(Pricer.IsWeekEndDayOffChecker, monteCarloFor1000Shot);
var result = pricer.GetPriceFor(TODAY, TOMOROW, CURRENT_PRICE, CURRENT_VOLATILITY);
Assert.AreEqual(1000, callCount);
Assert.GreaterOrEqual(120.00, result);
Assert.LessOrEqual(80.00, result);
}
public void Should_Return_average_volatility_calculation_When_use_MonteCarlo_()
{
//var volatilities = new List<double> {20.0, 4, 30.0};
var volatilities = new Stack <double>();
volatilities.Push(20);
volatilities.Push(4);
volatilities.Push(30);
Func <double, double> getVolatilityTestWapper = d =>
{
return(volatilities.Pop());
};
Func <double, double> monteCarloTest = Pricer.GetMonteCarloVolatilityFor(volatilities.Count, getVolatilityTestWapper);
var result = monteCarloTest(Double.NaN);
Assert.AreEqual(18, result, 0.0000000001);
}