public async Task <IActionResult> Edit(int id, [Bind("Id,Name")] DivList divList)
{
if (id != divList.Id)
{
return(NotFound());
}
if (ModelState.IsValid)
{
try
{
_context.Update(divList);
await _context.SaveChangesAsync();
}
catch (DbUpdateConcurrencyException)
{
if (!DivListExists(divList.Id))
{
return(NotFound());
}
else
{
throw;
}
}
return(RedirectToAction(nameof(Index)));
}
return(View(divList));
}
public void DivTest()
{
DivList myDiv = new DivList();
myDiv.Divpoints = 3;
myDiv.MakeArrays();
myDiv.SetD(0, 1.0, 1.0);
myDiv.SetD(1, 1.0, 2.0);
myDiv.SetD(2, 1.0, 3.0);
//test 1.5 year sum
double sum = 0.0;
double testT = 1.5;
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
if (myDiv.GetT(idx) < testT)
{
sum += myDiv.GetD(idx);
}
}
Assert.IsTrue(sum > 0.9999999);
Assert.IsTrue(sum < 1.0000001);
//test 2.5 year sum
sum = 0.0;
testT = 2.5;
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
if (myDiv.GetT(idx) < testT)
{
sum += myDiv.GetD(idx);
}
}
Assert.IsTrue(sum > 1.9999999);
Assert.IsTrue(sum < 2.0000001);
//test 3.5 year sum
sum = 0.0;
testT = 3.5;
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
if (myDiv.GetT(idx) < testT)
{
sum += myDiv.GetD(idx);
}
}
Assert.IsTrue(sum > 2.9999999);
Assert.IsTrue(sum < 3.0000001);
}
public async Task <IActionResult> Create([Bind("Id,Name")] DivList divList)
{
if (ModelState.IsValid)
{
_context.Add(divList);
await _context.SaveChangesAsync();
return(RedirectToAction(nameof(Index)));
}
return(View(divList));
}
public void ADivSlopingZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 2;
myZero.MakeArrays();
myZero.SetR(0, 0.075, 0.5);
myZero.SetR(1, 0.05, 2);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 10.37); //Orc pr = 10.38
Assert.IsTrue(prc < 10.39);
Assert.IsTrue(prp > 9.42); //Orc pr = 9.43
Assert.IsTrue(prp < 9.44);
}
public void ANoDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 0.0, 1.0);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 1;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "a";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 12.33); //Orc pr = 12.34
Assert.IsTrue(prc < 12.35);
Assert.IsTrue(prp > 7.98); //Orc pr = 7.99
Assert.IsTrue(prp < 8.00);
}
public void EDivFlatZero()
{
DivList mydiv = new DivList();
mydiv.Divpoints = 1;
mydiv.MakeArrays();
mydiv.SetD(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 1;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
//create the tree
Tree myTree = new Tree();
myTree.Gridsteps = 100;
myTree.Tau = 1.0;
myTree.Sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "e";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.IsTrue(prc > 9.455); //BS pr = 9.46277
Assert.IsTrue(prc < 9.475);
Assert.IsTrue(prp > 9.462); //BS pr = 9.46226
Assert.IsTrue(prp < 9.475);
}
public void DivFlatZero()
{
DivList mydiv = new DivList();
mydiv.divpoints = 1;
mydiv.makeArrays();
mydiv.set_d(0, 5, 0.5);
ZeroCurve myZero = new ZeroCurve();
myZero.ratepoints = 1;
myZero.makeArrays();
myZero.set_r(0, 0.05, 1.0);
//create the tree
DiscreteTree myTree = new DiscreteTree();
myTree.Gridsteps = 100;
myTree.tau = 1.0;
myTree.sig = 0.25;
myTree.Spot = 100.0;
//myTree.flatFlag = false;
myTree.MakeGrid(myZero, mydiv);
//create pricer
Pricer myPrice = new Pricer();
myPrice.Strike = 100;
myPrice.Payoff = "c";
myPrice.Smoothing = "y";
myPrice.Style = "e";
myPrice.MakeGrid(myTree);
double prc = myPrice.Price();
myPrice.Payoff = "p";
myPrice.MakeGrid(myTree);
double prp = myPrice.Price();
Assert.Greater(prc, 9.455); //BS pr = 9.46277
Assert.Less(prc, 9.475);
Assert.Greater(prp, 9.462); //BS pr = 9.46226
Assert.Less(prp, 9.475);
}