private void priceBookFromSimulatorToolStripMenuItem_Click(object sender, EventArgs e)
{
Model1Container db = new Model1Container();
//refresh listview
listView_AllTrades.BeginUpdate();
foreach (ListViewItem listView in listView_AllTrades.Items)
{
//According selected id in listview to find trade
int id = Convert.ToInt32(listView.SubItems[0].Text);
Trade trade = db.TradeSet.SingleOrDefault(x => x.Id == id);
//Get values in this trade
double direction;
if (trade.IsBuy == true)
{
direction = 1;
}
else
{
direction = -1;
}
double quantity = trade.Quantity;
double marketprice = trade.Price;
//Price product
//Stock
if (trade.Instrument.InstType.TypeName == "Stock")
{
//Market Price
double s = trade.Instrument.Price.OrderByDescending(x => x.Date).First().ClosingPrice;
listView.SubItems.Add(Convert.ToString(s));
//P&L
listView.SubItems.Add(((s - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity));
//Gamma
listView.SubItems.Add(Convert.ToString(0));
//Vega
listView.SubItems.Add(Convert.ToString(0));
//Rho
listView.SubItems.Add(Convert.ToString(0));
//Theta
listView.SubItems.Add(Convert.ToString(0));
}
else
{
//Option
Value value = new Value(); //Basic values about Options
value = GetValue(trade);
//European Option
if (trade.Instrument.InstType.TypeName == "EuropeanOption")
{
WindowsFormsApp3.European european = new WindowsFormsApp3.European();
//Market Price
listView.SubItems.Add(Convert.ToString(european.OptionPrice(value)[0]));
//P&L
listView.SubItems.Add(((european.OptionPrice(value)[0] - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity * european.Delta(value)));
//Gamma
listView.SubItems.Add(Convert.ToString(direction * quantity * european.Gamma(value)));
//Vega
listView.SubItems.Add(Convert.ToString(direction * quantity * european.Vega(value)));
//Rho
listView.SubItems.Add(Convert.ToString(direction * quantity * european.Rho(value)));
//Theta
listView.SubItems.Add(Convert.ToString(direction * quantity * european.Theta(value)));
}
//Asian Option
if (trade.Instrument.InstType.TypeName == "AsianOption")
{
WindowsFormsApp3.Asian asian = new WindowsFormsApp3.Asian();
//Market Price
listView.SubItems.Add(Convert.ToString(asian.OptionPrice(value)[0]));
//P&L
listView.SubItems.Add(((asian.OptionPrice(value)[0] - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity * asian.Delta(value)));
//Gamma
listView.SubItems.Add(Convert.ToString(direction * quantity * asian.Gamma(value)));
//Vega
listView.SubItems.Add(Convert.ToString(direction * quantity * asian.Vega(value)));
//Rho
listView.SubItems.Add(Convert.ToString(direction * quantity * asian.Rho(value)));
//Theta
listView.SubItems.Add(Convert.ToString(direction * quantity * asian.Theta(value)));
}
//Lookback Option
if (trade.Instrument.InstType.TypeName == "LookbackOption")
{
WindowsFormsApp3.Lookback lookback = new WindowsFormsApp3.Lookback();
//Market Price
listView.SubItems.Add(Convert.ToString(lookback.OptionPrice(value)[0]));
//P&L
listView.SubItems.Add(((lookback.OptionPrice(value)[0] - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity * lookback.Delta(value)));
//Gamma
listView.SubItems.Add(Convert.ToString(direction * quantity * lookback.Gamma(value)));
//Vega
listView.SubItems.Add(Convert.ToString(direction * quantity * lookback.Vega(value)));
//Rho
listView.SubItems.Add(Convert.ToString(direction * quantity * lookback.Rho(value)));
//Theta
listView.SubItems.Add(Convert.ToString(direction * quantity * lookback.Theta(value)));
}
//Digital Option
if (trade.Instrument.InstType.TypeName == "DigitalOption")
{
WindowsFormsApp3.Digital digital = new WindowsFormsApp3.Digital();
//Market Price
listView.SubItems.Add(Convert.ToString(digital.OptionPrice(value)[0]));
//P&L
listView.SubItems.Add(((digital.OptionPrice(value)[0] - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity * digital.Delta(value)));
//Gamma
listView.SubItems.Add(Convert.ToString(direction * quantity * digital.Gamma(value)));
//Vega
listView.SubItems.Add(Convert.ToString(direction * quantity * digital.Vega(value)));
//Rho
listView.SubItems.Add(Convert.ToString(direction * quantity * digital.Rho(value)));
//Theta
listView.SubItems.Add(Convert.ToString(direction * quantity * digital.Theta(value)));
}
//Range Option
if (trade.Instrument.InstType.TypeName == "RangeOption")
{
WindowsFormsApp3.Range range = new WindowsFormsApp3.Range();
//Market Price
listView.SubItems.Add(Convert.ToString(range.OptionPrice(value)[0]));
//P&L
listView.SubItems.Add(((range.OptionPrice(value)[0] - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity * range.Delta(value)));
//Gamma
listView.SubItems.Add(Convert.ToString(direction * quantity * range.Gamma(value)));
//Vega
listView.SubItems.Add(Convert.ToString(direction * quantity * range.Vega(value)));
//Rho
listView.SubItems.Add(Convert.ToString(direction * quantity * range.Rho(value)));
//Theta
listView.SubItems.Add(Convert.ToString(direction * quantity * range.Theta(value)));
}
//Barrier Option
if (trade.Instrument.InstType.TypeName == "BarrierOption")
{
WindowsFormsApp3.Barrier barrier = new WindowsFormsApp3.Barrier();
//Market Price
listView.SubItems.Add(Convert.ToString(barrier.OptionPrice(value)[0]));
//P&L
listView.SubItems.Add(((barrier.OptionPrice(value)[0] - marketprice) * direction * quantity).ToString());
//Delta
listView.SubItems.Add(Convert.ToString(direction * quantity * barrier.Delta(value)));
//Gamma
listView.SubItems.Add(Convert.ToString(direction * quantity * barrier.Gamma(value)));
//Vega
listView.SubItems.Add(Convert.ToString(direction * quantity * barrier.Vega(value)));
//Rho
listView.SubItems.Add(Convert.ToString(direction * quantity * barrier.Rho(value)));
//Theta
listView.SubItems.Add(Convert.ToString(direction * quantity * barrier.Theta(value)));
}
}
}
listView_AllTrades.EndUpdate();
MessageBox.Show("Price succussfully");
}