public static double[] ArithmeticAsianOptionPricing(ArithmeticAsianOptionProb prob)
{
double s = prob.SpotPrice;
double k = prob.StrikePrice;
double r = prob.InterestRate;
double t = prob.Maturity;
double sigma = prob.Volatility;
int n = prob.ObservationTime;
OptionTypeEnum optionType = prob.OptionType;
int pathNum = prob.PathNumber;
ControlVariateMethod method = prob.VariateMethod;
return(GetAAOPrice(s, k, t, r, sigma, optionType, method, pathNum, n));
}
private void DoCalculation()
{
IsCalculateEnabled = false;
RaisePropertyChanged("IsCalculateEnabled");
ErrorCode errcode = FirstValidation();
if (errcode != ErrorCode.OK)
{
Result = Utility.getErrorMsg(errcode);
}
else
{
var prob = new ArithmeticAsianOptionProb(
_spotPrice,
_volatility,
_interestRate,
_maturity,
_strikePrice,
_observationTime,
_optionType,
_monteCarloPath,
_controlVariateMethod
);
errcode = prob.validate();
if (errcode != ErrorCode.OK)
{
Result = Utility.getErrorMsg(errcode);
}
else
{
var results = prob.calculate();
string ans = "[";
foreach (var num in results)
{
ans += Math.Round(num, 4).ToString() + ", ";
}
ans = ans.Trim().Substring(0, ans.Length - 2) + "]";
Result = ans;
}
}
RaisePropertyChanged("Result");
IsCalculateEnabled = true;
RaisePropertyChanged("IsCalculateEnabled");
}
