| public MeanReversionRandomWalkPriceGenerator ( string symbol, decimal initial, int precision, decimal reversionCoefficient = 0.001m, decimal volatility = 5m ) : System | ||
| symbol | string | |
| initial | decimal | |
| precision | int | |
| reversionCoefficient | decimal | |
| volatility | decimal | |
| Результат | System | |
public MeanReversionRandomWalkPriceGenerator(string symbol, decimal initial, int precision, decimal reversionCoefficient = 0.001m, decimal volatility = 5m)
{
_initial = initial;
_precision = precision;
_reversion = reversionCoefficient;
var power = (decimal) Math.Pow(10, precision);
_vol = volatility*1m/power;
Symbol = symbol;
_halfSpreadPercentage = Random.Value.Next(2, 16)/power/_initial;
}