public unsafe void PerformPriceTests()
{
int nbSamples;
double[] currentPrices;
double[] volatilities;
double[] interestRates;
double[] correlations;
double[] past;
int nbRows;
double t;
double price;
double ic;
nbSamples = 100000;
currentPrices = new double[11] {
100.0, 100.0, 100.0, 100.0, 100.0, 100.0,
1.0, 1.0, 1.0, 1.0, 1.0
};
volatilities = new double[11] {
0, 0, 0, 0, 0, 0,
0, 0, 0, 0, 0
};
interestRates = new double[6] {
0, 0, 0, 0, 0, 0
};
correlations = new double[11 * 11];
for (int i = 0; i < 11; i++)
{
for (int j = 0; j < 11; j++)
{
correlations[11 * i + j] = i == j ? 1 : 0;
}
}
past = currentPrices;
nbRows = 1;
t = 0;
API1.PriceMultimonde2021Quanto(
nbSamples,
past,
nbRows,
t,
currentPrices,
volatilities,
interestRates,
correlations,
&price,
&ic);
Assert.IsTrue(price == 100);
}
public unsafe void PerformPriceTestAnyTime()
{
double price;
double ic;
int nbSamples = 100000;
double[] volatilities = new double[11] {
0, 0, 0, 0, 0, 0,
0, 0, 0, 0, 0
};
double[] interestRates = new double[6] {
0, 0, 0, 0, 0, 0
};
double[] correlations = new double[11 * 11];
for (int i = 0; i < 11; i++)
{
for (int j = 0; j < 11; j++)
{
correlations[11 * i + j] = i == j ? 1 : 0;
}
}
int nbRows = 6;
double t = (371 / 365.25) * 5.999;
double[] past = new double[6 * 11]
{
100.0, 100.0, 100.0, 100.0, 100.0, 100.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0,
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0
};
double[] currentPrices = new double[11] {
99.0, 100000.0, 100000.0, 100000.0, 100000.0, 100000.0, 1.0, 1.0, 1.0, 1.0, 1.0
};
API1.PriceMultimonde2021Quanto(
nbSamples,
past,
nbRows,
t,
currentPrices,
volatilities,
interestRates,
correlations,
&price,
&ic);
}