示例#1
0
 public Option(OptionInfo optInfo)
 {
     optionInfo = optInfo;
     rnds       = new RndGenerator(optionInfo.NumberOfSteps);
     SS1        = new double[optionInfo.NumberOfSteps + 1];
     SS2        = new double[optionInfo.NumberOfSteps + 1];
 }
示例#2
0
 public Greeks(OptionInfo optInfo)
 {
     optionInfo      = optInfo;
     Prices          = new double[optionInfo.NumberOfSimulation];
     Asian_Prices    = new double[optionInfo.NumberOfSimulation];
     Digital_Prices  = new double[optionInfo.NumberOfSimulation];
     Lookback_Prices = new double[optionInfo.NumberOfSimulation];
     Range_Prices    = new double[optionInfo.NumberOfSimulation];
     Barrier_Prices  = new double[optionInfo.NumberOfSimulation];
     rnd             = new RndGenerator(optionInfo.NumberOfSteps);
     rnds            = new double[optionInfo.NumberOfSteps];
 }