public Volatility Randomrize(Volatility volatility)
{
var next = Random.Next(maxValue: 3);
int sign;
switch ((PriceMoveTrend)next)
{
case PriceMoveTrend.Down:
sign = -1;
break;
case PriceMoveTrend.Flat:
sign = 0;
break;
case PriceMoveTrend.Up:
sign = 1;
break;
default:
throw new ArgumentOutOfRangeException();
}
return(new Volatility(volatility.Value * sign));
}
public Volatility Randomrize(Volatility volatility)
{
var buffer = new double[_largeNumber];
Parallel.For(0, _largeNumber, x => { buffer[x] = _volatilityProducer(_volatilitySeed).Value; });
return(new Volatility(buffer.Sum() / _largeNumber));
}
public MiniPricer(Price initialPrice, Volatility volatility, IProvideJoursFeries joursFeriesProvider,
IRandomizeVolatility priceMoveTrendProvider, Basket basket)
{
_initialPrice = initialPrice;
_volatility = volatility;
_joursFeriesProvider = joursFeriesProvider;
_priceMoveTrendProvider = priceMoveTrendProvider;
_basket = basket;
}
public MiniPricer(Price initialPrice, Volatility volatility, IProvideJoursFeries joursFeriesProvider,
IRandomizeVolatility priceMoveTrendProvider) : this(initialPrice, volatility, joursFeriesProvider, priceMoveTrendProvider, new EmptyBasket())
{
}
public MonteCarloVolatilityRandomizer(int largeNumber, Volatility volatilitySeed, Func <Volatility, Volatility> volatilityProducer)
{
_largeNumber = largeNumber;
_volatilitySeed = volatilitySeed;
_volatilityProducer = volatilityProducer;
}
