public override void Run()
{
StartTime = DateTime.Parse("01/01/2000");
EndTime = DateTime.Parse("12/31/2019");
foreach (var dataSource in _testDataSources)
{
AddDataSource(dataSource);
}
foreach (DateTime simTime in SimTimes)
{
Instrument underlying = Instruments
.Where(i => i.IsOption == false)
.First();
Instrument option = Instruments
.Where(i => i.IsOption == true)
.First();
double riskFreeRate = _riskFree;
double dividendYield = _divYield;
var iv = option.BlackScholesImplied(riskFreeRate, dividendYield);
var greeks = option.BlackScholes(iv.Volatility, riskFreeRate, dividendYield);
#if false
Output.WriteLine("impliedVol = {0:F8}, delta = {1:F8}, gamma = {2:F8}, theta = {3:F8}, vega = {4:F8}",
iv.Volatility, greeks.Delta, greeks.Gamma, greeks.Theta, greeks.Vega);
#else
//Assert.IsTrue(Math.Abs(iv.Price - greeks.Price) < 1e-5);
Assert.IsTrue(Math.Abs(iv.Volatility - _iv) < 1e-5);
Assert.IsTrue(Math.Abs(greeks.Delta - _delta) < 1e-5);
Assert.IsTrue(Math.Abs(greeks.Gamma - _gamma) < 1e-5);
Assert.IsTrue(Math.Abs(greeks.Theta - _theta) < 1e-5);
Assert.IsTrue(Math.Abs(greeks.Vega - _vega) < 1e-5);
#endif
}
}