private static void Execute(Options options)
{
var model = new BinomialTree(options.S0, options.NbTimes, options.T, options.Sigma, options.R, options.NbSimus);
var QSpace = options.CreateQSpace();
var distrCalc = new DistributionCalculator(model, QSpace, options.Q0, -0.15, +0.15, 5, 0.05, 0.5, 5);
distrCalc.Calculate();
//Func<double, double> drift = t => 0.05 - .02 * t + .03 * Math.Sin(4.0 * Math.PI * t);
//var model = new BinomialTreeWithDrift(options.S0, options.NbTimes, options.T,
//options.Sigma, options.R, options.NbSimus, drift);
//Func<double, double> deterministicPath = t => 2.0 - .5 * t + .25 * Math.Sin(4.0 * Math.PI * t);
//var model = new DeterministicPath(deterministicPath, 100, 1.0);
/*
* model.Simulate();
*
* var QSpace = options.CreateQSpace();
*
* var optimalController = new OptimalController(model, QSpace);
* optimalController.Control();
*
* var qSteps = optimalController.RollOut(0, options.Q0);
*
* FileWriter.WriteToFile(qSteps, "q_Steps.csv");
*/
}
public void calculateDistribution_NumberOfSeriesMatchesTheFibonacciSequence_NoDummyRecordsShouldBeRequired()
{
var distributionCalculator = new DistributionCalculator(8, 2);
var expectedDistribution = new OptimalDistribution(new [] { 5, 3 }, new [] { 0, 0 });
var actualDistribution = distributionCalculator.GetOptimalDistribution();
CollectionAssert.AreEqual(expectedDistribution.RecordDistribution, actualDistribution.RecordDistribution);
CollectionAssert.AreEqual(expectedDistribution.DummyRecordDistribution, actualDistribution.DummyRecordDistribution);
}
public void calculateDistribution_NumberOfSeriesDoesntMatchFibonacciSequence_DummyRecordsShouldBeRequired()
{
var distributionCalculator = new DistributionCalculator(10, 2);
var expectedDistribution = new OptimalDistribution(new [] { 6, 4 }, new [] { 2, 1 });
var actualDistribution = distributionCalculator.GetOptimalDistribution();
CollectionAssert.AreEqual(expectedDistribution.RecordDistribution, actualDistribution.RecordDistribution);
CollectionAssert.AreEqual(expectedDistribution.DummyRecordDistribution, actualDistribution.DummyRecordDistribution);
}
