public void testVolatility() { DataGestion dg = new DataGestion(); VanillaCallPricingModel vcpm = new VanillaCallPricingModel(); Share share = new Share("ACCOR SA", "AC FP "); vcpm.oShares = new Share[1]; vcpm.oShares[0] = share; List <DataFeed> ldf = dg.getListDataField(new DateTime(2013, 10, 10), new DateTime(2014, 10, 10), vcpm.oShares); vcpm.calculVolatility(ldf); }
public void TestMethod1() { BasketPricingModel bpm = new BasketPricingModel(); bpm.oMaturity = new DateTime(2015, 8, 20); bpm.oName = "test"; Share share = new Share("ACCOR SA", "AC FP "); bpm.oShares = new Share[1]; bpm.oShares[0] = share; bpm.oStrike = 45.5; DataGestion dg = new DataGestion(); DateTime date = new DateTime(2013, 8, 21); List <DataFeed> ldf = dg.getListDataField(date, bpm.oMaturity, bpm.oShares); PricingResults pR = bpm.getPayOff(ldf); Console.WriteLine(pR.Price); }
public void TestMethod1() { VanillaCallPricingModel vcpm = new VanillaCallPricingModel(); vcpm.oMaturity = new DateTime(2015, 8, 20); vcpm.oName = "test"; Share share = new Share("ACCOR SA", "AC FP "); vcpm.oShares = new Share[1]; vcpm.oShares[0] = share; vcpm.oStrike = 45.5; vcpm.oSpot = new double[1]; vcpm.oSpot[0] = 48; DataGestion dg = new DataGestion(); DateTime date = new DateTime(2013, 8, 20); List <DataFeed> ldf = dg.getListDataField(date, vcpm.oMaturity, vcpm.oShares); PricingResults pR = vcpm.getPayOff(ldf); Console.WriteLine(pR.Price); }
public void TestMethod2() { DataGestion dg = new DataGestion(); VanillaCallPricingModel vcpm = new VanillaCallPricingModel(); vcpm.oMaturity = new DateTime(2015, 8, 20); vcpm.oName = "test"; Share share = new Share("ACCOR SA", "AC FP "); vcpm.oShares = new Share[1]; vcpm.oShares[0] = share; vcpm.oStrike = 10; vcpm.oSpot = new double[1]; DateTime date = new DateTime(2015, 1, 12); vcpm.oSpot[0] = dg.getCotation("AC FP", date); List <DataFeed> ldf = dg.getListDataField(date, vcpm.oMaturity, vcpm.oShares); List <PricingResults> LpR = vcpm.pricingUntilMaturity(ldf); foreach (PricingResults pr in LpR) { Console.WriteLine(pr.Price); } }
/** * Transmet la liste des dataFeed venant de la base de données * en précisant certains paramètres passés comme attributs de la classe * * */ public List <DataFeed> generateHistory() { DataGestion dg = new DataGestion(); return(dg.getListDataField(startDate, endTime, underlyingShares)); }