public static void Main(string[] args)
{
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2018, 09, 04);
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
string nameBasket = "Basket";
double strikeBasket = 9;
Share[] sharesBasket = { share1, share2 };
Double[] weights = { 0.3, 0.7 };
DateTime maturityBasket = new DateTime(2019, 09, 04);
BasketOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
PortfolioBasket portfolioBasket = new PortfolioBasket();
int totalDays = DayCount.CountBusinessDays(from, maturityBasket);
double[] volatility = new double[2];
volatility[0] = 0.4;
volatility[1] = 0.4;
double[,] correlationMatrix = new double[2, 2];
correlationMatrix[0, 0] = 1;
correlationMatrix[1, 1] = 0.1;
correlationMatrix[0, 1] = 1;
correlationMatrix[1, 0] = 0.1;
double valeur = portfolioBasket.PortfolioValue(optionBasket, sharesBasket, totalDays, volatility, correlationMatrix, from);
Console.WriteLine("Valeur Gain normalisée = " + valeur);
}
public static void Main(string[] args)
{
// header
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2018, 09, 04);
DateTime maturity = new DateTime(2019, 09, 04);
string name = "VanillaCall";
double strike = 7000;
Share underlying = new Share("vod.l", "vod.l");
IOption option = new VanillaCall(name, underlying, maturity, strike);
var lst = simulatedData.GetDataFeeds(option, from);
Console.WriteLine("************************************");
Console.WriteLine("* Test Simulation CallVanille *");
Console.WriteLine("************************************");
foreach (DataFeed element in lst)
{
Console.WriteLine("\n\n\n\n" + element.Date.ToString() + "\n" + string.Join(",", element.PriceList.Select(kv => kv.Key + "=" + kv.Value).ToArray()));
}
Console.WriteLine("**************End of simulation Vanille****************");
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
string nameBasket = "Basket";
double strikeBasket = 7000;
Share[] sharesBasket = { share1, share2 };
Double[] weights = { 0.3, 0.7 };
DateTime maturityBasket = new DateTime(2019, 09, 04);
IOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
List <DataFeed> simulationBasket = simulatedData.GetDataFeeds(optionBasket, from);
Console.WriteLine("\n\n\n\n");
Console.WriteLine("************************************");
Console.WriteLine("* Test Simulation BasketOption *");
Console.WriteLine("************************************");
foreach (DataFeed element in simulationBasket)
{
Console.WriteLine("\n\n\n\n" + element.Date.ToString() + "\n" + string.Join(",", element.PriceList.Select(kv => kv.Key + "=" + kv.Value).ToArray()));
}
Console.WriteLine("**************End of simulation BasketOption****************");
String[] id = simulationBasket[0].PriceList.Keys.ToArray();
Console.WriteLine("Basket ID : " + id[0] + " et " + id[1]);
Console.WriteLine("Basket : " + simulationBasket[0].PriceList.Keys.ToString());
Console.WriteLine("Vanille : " + lst[0].PriceList.Count);
Console.WriteLine("Vanille dates : " + lst.Count);
Console.ReadKey(true);
}
public static void Main(string[] args)
{
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2010, 01, 01);
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
Share share3 = new Share("sfr", "sfr");
Share share4 = new Share("sx5e", "sx5e");
string nameBasket = "Basket";
double strikeBasket = 7000;
Share[] sharesBasket = { share1, share2, share3, share4 };
Double[] weights = { 0.2, 0.5, 0.2, 0.1 };
DateTime maturityBasket = new DateTime(2151, 01, 20);
IOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
List <DataFeed> simulationBasket = simulatedData.GetDataFeeds(optionBasket, from);
ParametersEstimation parameters = new ParametersEstimation(simulationBasket, new DateTime(2150, 01, 20), 15000);
var correlationMatrix = parameters.Correlation;
int Size = correlationMatrix.GetLength(0);
Console.WriteLine("\n \n \n La matrice de correlation est : \n ");
for (int i = 0; i < Size; i++)
{
for (int j = 0; j < Size; j++)
{
Console.Write(correlationMatrix[i, j] + new string(' ', 30 - correlationMatrix[i, j].ToString().Length));
}
Console.Write("\n");
}
var volatilityTable = parameters.Volatility;
Console.WriteLine("\n \n \n la volatilite est : \n ");
for (int i = 0; i < Size; i++)
{
Console.WriteLine(volatilityTable[i]);
}
Console.ReadKey(true);
}