public override void Visit(CIRModel model)
{
/* double df = 4.0 * model.kappa * model.theta / (model.vol * model.vol);
*
* // Set up the NC parameter
* double thet = Math.Sqrt(model.kappa * model.kappa + 2.0 * model.vol * model.vol);
* double phi = 2.0*thet/(model.vol*model.vol*(Math.Exp(thet*(T-t)) - 1.0));
* double epsci = (model.kappa + thet)/(model.vol*model.vol);
*
* double rStar = Math.Log(model.A(T,s)/K) / model.B(T,s);
* Console.WriteLine(" A, B1, B2 {0}, {1}, {2}", model.A(T, s), model.B(t, s), model.B(T, s));
* double ncParam = 2.0*phi*phi*model.r*Math.Exp(thet*(T-t)) / (phi + epsci + model.B(T,s));
*
* Console.WriteLine(" thet, phi, epsci, r* {0}, {1}, {2}, {3}", thet, phi, epsci, rStar);
* NonCentralChiSquaredDistribution dis = new NonCentralChiSquaredDistribution(df, ncParam);
*
* double x = 2*rStar*(phi + epsci + model.B(T,s));
*
* Console.WriteLine(" df, param, x {0}, {1}, {2}", df, ncParam, x);
*
* price = model.P(t,s)*dis.Cdf(x);
*
* double ncParam2 = 2.0 * phi * phi * model.r * Math.Exp(thet * (T - t)) / (phi + epsci);
* double x2 = 2 * rStar * (phi + epsci);
* Console.WriteLine(" x2, param2 {0}, {1}", x2, ncParam2);
* NonCentralChiSquaredDistribution dis2 = new NonCentralChiSquaredDistribution(df, ncParam2);
*
* price = model.P(t, s) * dis.Cdf(x) - K * model.P(t, T) * dis2.Cdf(x2);
*
* Console.WriteLine(" P(t,s), P(t,T) {0}, {1}", model.P(t, s), model.P(t, T));*/
}
/// <summary>
/// Save the CIR details.
/// </summary>
/// <param name="oCirModel">object</param>
/// <param name="loginUserId">string</param>
/// <returns>object</returns>
public CIRResult SaveCIRDetails(CIRModel oCirModel, string loginUserId)
{
CIRResult oCIRResult = new CIRResult();
try
{
using (var connection = Connection())
{
var result = connection.QueryMultiple("CFS_CIR", new
{
CIRId = oCirModel.CIRId,
CIRNumber = oCirModel.CIRNumber,
WONumber = oCirModel.WONumber,
TbnId = oCirModel.TbnId,
DOF = oCirModel.DateOfFailure,
AlarmCode = oCirModel.AlarmCode == null ? "0" : oCirModel.AlarmCode,
EmpId = oCirModel.EmpId,
SwVersion = oCirModel.SwVersion == null ? "0" : oCirModel.SwVersion,
HwVersion = oCirModel.HwVersion == null ? "0" : oCirModel.HwVersion,
WTGStatus = oCirModel.WTGStatus == null ? "0" : oCirModel.WTGStatus,
WTGStartTime = oCirModel.WTGStartTime,
WTGStopTime = oCirModel.WTGStopTime,
Production = oCirModel.Production,
RunHrs = oCirModel.RunHrs == null ? "0" : oCirModel.RunHrs,
FnSystem = oCirModel.FuncSystem == null ? "0" : oCirModel.FuncSystem,
CompGroup = oCirModel.ComponentGroup == null ? "0" : oCirModel.ComponentGroup,
ComponentMake = oCirModel.ComponentMake,
FailureDuring = oCirModel.FailureDuring == null ? "0" : oCirModel.FailureDuring,
SerialNumber = oCirModel.SerialNumber,
FOM = oCirModel.FOM == null ? "0" : oCirModel.FOM,
AlarmDesc = oCirModel.AlarmDesc,
UId = loginUserId,
Partcode = oCirModel.PartCode
}, commandType: CommandType.StoredProcedure);
oCIRResult.MessageInfo = result.Read <Message>().FirstOrDefault();
if (oCIRResult.MessageInfo.Clear == "True")
{
oCIRResult.CIRData = result.Read <CIRModel>().FirstOrDefault();
}
}
}
catch (Exception ex)
{
//SaveErrorMessageInFile(oErrorMessage = new ErrorMessage { UserId = loginUserId, ModuleName = "CIR", MethodName = "SaveCIRDetails", Exception = ex.Message });
Logger.Error(ex.Message);
}
return(oCIRResult);
}
public void C8_10_6_SerialisationAndCIRModel()
{
double r = 0.05;
double kappa = 0.15;
double vol = 0.01;
double theta = r;
BondModel vasicek = new CIRModel(kappa, theta, vol, r);
var xs2 = new XmlSerializer(typeof(BondModel),
new[]
{
typeof(VasicekModel), typeof(CIRModel)
});
var persistedBondDefinition = Path.Combine(Path.GetTempPath(), "Bond.xml");
using (Stream s = File.Create(persistedBondDefinition))
{
xs2.Serialize(s, vasicek);
}
Assert.IsTrue(File.Exists(persistedBondDefinition));
}
/// <summary>
/// Save the CIM details.
/// </summary>
/// <param name="oCirModel">object</param>
/// <param name="loginUserId">string</param>
/// <returns>object</returns>
public CIRResult SaveCIRDetails(CIRModel oCirModel, string loginUserId)
{
CIRResult oCIRResult = new CIRResult();
try
{
using (var conn = Connection())
{
var result = conn.QueryMultiple("CFS_CIM", new
{
CIMId = oCirModel.CIMId == null ? "0" : oCirModel.CIMId,
CIMNumber = oCirModel.CIMNumber == null ? "" : oCirModel.CIMNumber,
TbnId = oCirModel.TbnId == null ? "0" : oCirModel.TbnId,
DOF = oCirModel.DateOfFailure,
AlarmCode = oCirModel.AlarmCode,
EmpId = oCirModel.EmpId,
SwVersion = oCirModel.SwVersion,
HwVersion = oCirModel.HwVersion,
WTGStatus = oCirModel.WTGStatus == null ? "0" : oCirModel.WTGStatus,
WTGStartTime = oCirModel.WTGStartTime,
WTGStopTime = oCirModel.WTGStopTime,
Production = oCirModel.Production == null ? "0" : oCirModel.Production,
RunHrs = oCirModel.RunHrs == null ? "0" : oCirModel.RunHrs,
FnSytem = oCirModel.FuncSystem == null ? "0" : oCirModel.FuncSystem,
CompGroup = oCirModel.ComponentGroup == null ? "0" : oCirModel.ComponentGroup,
ComponentMake = oCirModel.ComponentMake,
FailureDuring = oCirModel.FailureDuring == null ? "0" : oCirModel.FailureDuring,
SerialNumber = oCirModel.SerialNumber,
FOM = oCirModel.FOM == null ? "0" : oCirModel.FOM,
UId = loginUserId,
Partcode = oCirModel.PartCode == null ? "" : oCirModel.PartCode,
WONumber = oCirModel.WONumber == null ? "" : oCirModel.WONumber,
TSite = oCirModel.TSite == null ? "0" : oCirModel.TSite,
DOC = oCirModel.DOC == null ? "" : oCirModel.DOC,
Turbine = oCirModel.TTurbine == null ? "" : oCirModel.TTurbine,
Customer = oCirModel.Customer == null ? "" : oCirModel.Customer,
Temp = oCirModel.TempName == null ? "" : oCirModel.TempName,
Dust = oCirModel.Dust == null ? "" : oCirModel.Dust,
Corrosion = oCirModel.Corrosion == null ? "" : oCirModel.Corrosion,
THeight = oCirModel.THeightName == null ? "" : oCirModel.THeightName,
Blade = oCirModel.Blade == null ? "" : oCirModel.Blade,
Generator = oCirModel.Generator == null ? "" : oCirModel.Generator,
GearBox = oCirModel.GearBox == null ? "" : oCirModel.GearBox,
CmrId = oCirModel.CmrId == null ? "0" : oCirModel.CmrId,
TempID = oCirModel.TempId == null ? "0" : oCirModel.TempId,
DustID = oCirModel.DustId == null ? "0" : oCirModel.DustId,
CorrosionId = oCirModel.CorrosionId == null ? "0" : oCirModel.CorrosionId,
THeightid = oCirModel.THeightId == null ? "0" : oCirModel.THeightId,
BladeId = oCirModel.BladeId == null ? "0" : oCirModel.BladeId,
GRiD = oCirModel.GRId == null ? "0" : oCirModel.GRId,
GBId = oCirModel.GBId == null ? "0" : oCirModel.GBId,
AlarmDesc = oCirModel.AlarmDesc == null ? "" : oCirModel.AlarmDesc,
WTGType = oCirModel.WTGType == null ? "" : oCirModel.WTGType,
WTGTypeId = oCirModel.WTGTypeID == null ? "0" : oCirModel.WTGTypeID
}, commandType: CommandType.StoredProcedure);
oCIRResult.MessageInfo = result.Read <Message>().FirstOrDefault();
if (oCIRResult.MessageInfo.Clear == "True")
{
oCIRResult.CIRData = result.Read <CIRModel>().FirstOrDefault();
}
}
}
catch (Exception ex)
{
//SaveErrorMessageInFile(oErrorMessage = new ErrorMessage { UserId = loginUserId, ModuleName = "CIM", MethodName = "SaveCIRDetails", Exception = ex.Message });
Logger.Error(ex.Message);
}
return(oCIRResult);
}
public abstract void Visit(CIRModel model);
static void Main()
{
{
// Parameters for Vasicek model
double r = 0.05;
double kappa = 0.15;
double vol = 0.01;
double theta = r;
VasicekModel vasicek = new VasicekModel(kappa, theta, vol, r);
Console.WriteLine(vasicek.P(0.0, 1.0));
Console.WriteLine(vasicek.P(0.0, 5.0));
Console.WriteLine(vasicek.R(0.0, 5.0));
}
{
double r = 0.05;
double kappa = 0.15;
double vol = 0.1;
double theta = r;
OptionType type = OptionType.Call;
// OptionType type = OptionType.Put;
double t = 0.0;
double T = 1.0;
double s = 5.0;
double K = 0.67;
CIRModel cir = new CIRModel(kappa, theta, vol, r);
Console.WriteLine("cir bond price {0}", cir.P(0.0, 2.0));
// Console.WriteLine(cir.R(0.0, 5.0));
OptionPricer bv = new OptionPricer(t, T, s, K, type);
bv.Visit(cir);
Console.WriteLine("CIR option {0}", bv.price);
}
{
//OptionType type = OptionType.Call;
OptionType type = OptionType.Call;
double t = 0.0;
double T = 1.0;
double s = 5.0;
double K = 0.67;
double r = 0.05;
double kappa = 0.15;
double vol = 0.1;
double theta = r;
VasicekModel vasicek = new VasicekModel(kappa, theta, vol, r);
OptionPricer bv = new OptionPricer(t, T, s, K, type);
bv.Visit(vasicek);
Console.WriteLine("Vasicek price {0}", bv.price);
}
{
//OptionType type = OptionType.Call;
OptionType type = OptionType.Put;
double t = 0.0;
double T = 1.0;
double s = 5.0;
double K = 0.67;
OptionPricer bv = new OptionPricer(t, T, s, K, type);
// bv.Visit(vasicek);
// Console.WriteLine(bv.price);
// Some Casting
// Upcasting
double r = 0.05;
double kappa = 0.15;
double vol = 0.1;
double theta = r;
BondModel bondModel = new VasicekModel(kappa, theta, vol, r);
bondModel = new CIRModel(kappa, theta, vol, r);
// Downcasting: correct and incorrect versions.
CIRModel cirModel = (CIRModel)bondModel; // OK
// Cannot convert, hence we get a run-time error.
// VasicekModel vasicekModel = (VasicekModel)bondModel; // OK
// Two special operators.
BondModel bondModel2 = new VasicekModel(kappa, theta, vol, r);
CIRModel cirModel2 = bondModel2 as CIRModel;
if (cirModel2 == null)
{
Console.WriteLine("Conversion not successful");
}
// The 'is' operator
if (bondModel2 is VasicekModel) // YES
{
Console.WriteLine("This is a Vasicek model");
}
else if (bondModel2 is CIRModel)
{
Console.WriteLine("This is a CIR model");
}
else
{
Console.WriteLine("Oops, not Vasicek and not CIR");
}
/* // Use of 'var'
*
* var v1 = 10;
* var v2 = "hello";
* var v3 = new DateTime();
*
*
* int v1A = 10;
* string v2B = "hello";
* DateTime v3C = new DateTime();
*
* // Will not compile
* var x = 12;
* // x = "12"; // Compile-time error; x is an int
*
*
* var numbers = new[] { 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 };*/
}
}
