public void PathsGenerated()
{
var vol = 0.32;
using var engine = new PathEngine(IsCoverageOnly ? 2.IntPow(6) : 2 << 10);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: vol,
spot: 500,
drift: 0.00,
numberOfSteps: IsCoverageOnly ? 1 : 365,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(500, 500, 0, 1, vol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.Equal(blackPv, pv, 0);
}
}
public void PathsGenerated()
{
var engine = new PathEngine(2 << 8);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 1000,
drift: 0.00,
numberOfSteps: 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 500,
drift: 0.00,
numberOfSteps: 25,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var output = new OutputPathsToImage(engine, 2000, 1000);
}