public EquityOptionHedgingVM(StochasticEngine stochasticEngine)
{
StochasticEngine = stochasticEngine;
PlotStockPrice = new PlotModel();
PlotModelDaily = new PlotModel();
PlotModelCumulative = new PlotModel();
}
private SortedList <DateTime, OptionPricingData> GenerateOptionPricingData(DateTime startDate,
DateTime expiryDate,
GbmParameters gbmParams,
OptionPricingData basicPricingData,
int?seed)
{
int days = startDate.GetWorkingDaysTo(expiryDate);
var stockPrices = StochasticEngine.GetGeometricBrownianSeries(gbmParams, 1.0 / TimePeriods.BusinessDaysInYear, days, seed);
var pricingData = new SortedList <DateTime, OptionPricingData>();
var date = startDate;
if (!date.IsWorkingDay())
{
date = date.AddWorkingDay();
}
foreach (double price in stockPrices)
{
pricingData.Add(date, new OptionPricingData(price, basicPricingData.Vol, basicPricingData.InterestRate, basicPricingData.DivYield));
date = date.AddWorkingDay();
}
return(pricingData);
}