/**
* Create a simulated asset from a real one.
* It extract the name of real asset for "fake" one
* and the first price (at first date) and simulate
* at all dates from dates_simul.
*
* getPrice(t) with t from dates_simul will then return
* a simulated price
* getPrice(t) with t before first date from dates_simul
* will return real price of asset
* getPrice(t) with all others date will throw exception
**/
public AssetSimulated(IAsset real, LinkedList<DateTime> dates_simul, RandomNormal rand)
{
this.real = real;
prices = new Dictionary<DateTime, double>();
first_date = dates_simul.First();
r = 0.04;
//real.getCurrency().getInterestRate(first_date, TimeSpan.Zero);
// TODO
//sigma = real.getVolatility(first_date);
sigma = 0.2;
// debug kevin
double St = 75 + 50*rand.NextDouble();
DateTime lastDate = first_date;
//double S0 = real.getPrice(first_date);
int i = 0;
foreach (DateTime date in dates_simul)
{
double T = (date - lastDate).TotalDays / 365; // time in year
double WT = Math.Sqrt(T) * rand.NextNormal();
St = St * Math.Exp((r - sigma * sigma / 2) * T + sigma * WT);
prices[date] = St;
lastDate = date;
i++;
}
}
public CurrencySimulated(Currencies cur_enum, RandomNormal rand, double r)
{
this.cur_enum = cur_enum;
this.r = r;
this.rforeign = 0.01 + 0.05 * rand.NextDouble();
this.sigma = 0.1;
this.lastPrice = 1;
this.lastDate = DateTime.MinValue;
this.rand = rand;
this.prices = new Dictionary<DateTime, double>();
}
