private void buttonCalibrate_Click(object sender, EventArgs e)
{
CalibrationForm cf = new CalibrationForm(ss);
DialogResult r = cf.ShowDialog();
if (r == DialogResult.OK) /** Calibration successful */
{
if(cf.generatedSpot!=null) curveViewer.AddCurve(new CurveViewer.Curve(cf.generatedSpot, Color.Red));
ss = cf.ss;
foreach (DataGridViewRow dgvr in dataGridViewFutures.Rows)
{
DataGridViewCellCollection cells = dgvr.Cells;
double mat = (double)cells[0].Value;
cells[1].Value = PriceFuture(mat);
}
foreach (DataGridViewRow dgvr in dataGridViewOption.Rows)
{
DataGridViewCellCollection cells = dgvr.Cells;
Option newOpt = new Option()
{
Value = (double)cells[0].Value,
StrikePrice = (double)cells[1].Value,
DaysTilExpiry = (int)cells[2].Value,
Type = (string)cells[3].Value,
};
cells[4].Value = PriceOption(newOpt);
}
}
}
private double PriceOption(Option o)
{
// price option with ss
double price = 0.0;
double xt = ss.Sigma_x;
double delta = (double)7 / (double)360;
double et = Math.Log(o.Value) - ss.Sigma_x;
double nbWeeks = (o.DaysTilExpiry / 7);
for (int i = 0; i < nbWeeks; i++)
{
double dx, de;
dx = gr.NextGuassian();
de = ss.P_xe * delta / dx;
// xt = Math.Exp(-ss.K * delta) * xt + gr.NextGuassian() * delta;
// et = ss.Mu_e * delta + et + gr.NextGuassian() * delta;
xt += (-ss.K * xt - ss.Lambda_X) * delta + ss.Sigma_x * dx * delta;
et += (ss.Mu_e - ss.Lambda_e) * delta + ss.Sigma_e * de * delta;
}
double f = Math.Exp(et + xt); // afficher
if (o.Type == "Call")
price = Math.Exp(-0.03/* to change.?*/* nbWeeks) * Math.Max(f - o.StrikePrice, 0);
else
price = Math.Exp(-0.03/* to change.?*/* nbWeeks) * Math.Max(o.StrikePrice - f, 0);
//while (true)
// Console.WriteLine(gr.NextGuassian());
Console.WriteLine("f:{0}, xt:{1}, et:{2}, price:{3}", f, xt, et, price);
return price;
}
private void buttonLoadOption_Click(object sender, EventArgs e)
{
if (openFileDialog1.ShowDialog() == System.Windows.Forms.DialogResult.OK)
{
TextReader tw = new StreamReader(openFileDialog1.FileName);
while (tw.Peek() >= 0)
{
string line = tw.ReadLine();
string[] parts = line.Split(',');
if (parts.Length != 4) continue;
try
{
Option newOpt = new Option()
{
Value = Double.Parse(parts[0], NumberStyles.AllowDecimalPoint | NumberStyles.Float),
StrikePrice = Double.Parse(parts[1], NumberStyles.AllowDecimalPoint | NumberStyles.Float),
DaysTilExpiry = Int32.Parse(parts[2]),
Type = parts[3],
};
dataGridViewOption.Rows.Add(new object[] { newOpt.Value, newOpt.StrikePrice, newOpt.DaysTilExpiry, newOpt.Type, PriceOption(newOpt) });
}
catch (Exception)
{
continue;
}
}
tw.Close();
}
}
