/// <summary> /// Initializes a new instance of the European option /// </summary> /// <param name="parameters">Heston Model Parameter Object</param> /// <param name="europeanOption">European option Parameter Object</param> public EuropeanOptionFormula(HestonModelParameters parameters, EuropeanOption europeanOption) : base(parameters.InitialStockPrice, parameters.RiskFreeRate, parameters.GetVariance()) { _StrikePrice = europeanOption.StrikePrice; _Type = europeanOption.Type; _Maturity = europeanOption.Maturity; }
/// <summary> /// Initializes a new instance of Heston MC class. /// </summary> /// <param name="parameters">Interface holding Heston Model params.</param> /// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param> public HestonMC(HestonModelParameters parameters, MonteCarloSettings monteCarloSimulationSettings, double Maturity) : base(parameters.InitialStockPrice, parameters.RiskFreeRate, parameters.GetVariance()) { _NumberOfTrials = monteCarloSimulationSettings.NumberOfTrials; _NumberOfTimeSteps = monteCarloSimulationSettings.NumberOfTimeSteps; _Maturity = Maturity; }