// returns true on success
public bool RunTest()
{
try
{
CurrentMarketValue = NewMarketValue = 0;
foreach (AccountDataSet.StressTestRow row in StressTestDataTable)
{
if (row.IsOption && (row.Current_Position != 0))
{
double daystoexpiration = row.ExpirationDate.AddHours(16).ToOADate() - DateTime.Now.ToOADate();
if (daystoexpiration > 0)
{
AccountDataSet.IndicesRow index = Indices.FindBySymbol(row.UnderlyingSymbol);
if (index != null)
{
row.Current_Theoretical = m_model.GetPrice((row.OptionType == "Call") ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption,
index.LastPrice,
(double)row.StrikePrice,
daystoexpiration / 365,
RiskFreeInterestRate / 100,
row.ImpliedVol / 100);
row.New_Theoretical = m_model.GetPrice((row.OptionType == "Call") ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption,
index.LastPrice * (1 + ChangeInMarket),
(double)row.StrikePrice,
daystoexpiration / 365,
RiskFreeInterestRate / 100,
row.ImpliedVol * (1 + ChangeInVolatility) / 100);
}
}
}
else
{
row.Current_Theoretical = row.Current_Price;
row.New_Theoretical = row.Current_Price * (1 + ChangeInMarket);
}
if (!row.IsCurrent_TheoreticalNull())
{
row.Current_Market_Value = row.Current_Position * row.Current_Theoretical * row.Multiplier;
CurrentMarketValue += row.Current_Market_Value;
row.New_Market_Value = row.Current_Position * row.New_Theoretical * row.Multiplier;
NewMarketValue += row.New_Market_Value;
row.P_and_L = row.New_Market_Value - row.Current_Market_Value;
}
}
}
catch (Exception ex)
{
ErrorMessage = ex.Message;
return(false);
}
return(true);
}
public PositionGridTable(AccountDataSet.IndicesRow index, double strikeIncrement)
{
m_indexSymbol = index.Symbol;
m_strikeIncrement = (decimal)strikeIncrement;
m_atmStrike = (decimal)(Math.Round(index.LastPrice / strikeIncrement) * strikeIncrement);
m_down10PercentStrike = (decimal)(Math.Round(index.LastPrice * .9 / strikeIncrement) * strikeIncrement);
m_down2PercentStrike = (decimal)(Math.Round(index.LastPrice * .98 / strikeIncrement) * strikeIncrement);
Columns.Add(new DataColumn("Strike", typeof(PositionGridStrike)));
PrimaryKey = new DataColumn[1] {
Columns[0]
};
}
private static AccountDataSet.IndicesDataTable BuildIndicesTable(SentoniServiceReference.Portfolio portfolio)
{
AccountDataSet.IndicesDataTable indicesTable = new AccountDataSet.IndicesDataTable();
if (portfolio.Indices != null)
{
foreach (SentoniServiceReference.Index indexRow in portfolio.Indices)
{
AccountDataSet.IndicesRow newRow = indicesTable.NewIndicesRow();
newRow.Symbol = indexRow.Symbol;
newRow.Weight = indexRow.Weight;
newRow.TargetValue = indexRow.TargetValue;
newRow.TotalDeltaPct = indexRow.TotalDeltaPct;
newRow.CallDeltaPct = indexRow.CallDeltaPct;
newRow.PutDeltaPct = indexRow.PutDeltaPct;
newRow.FaceValuePutsPct = indexRow.FaceValuePutsPct;
newRow.ShortPct = indexRow.ShortPct;
newRow.TimePremium = indexRow.TimePremium;
newRow.Caks = indexRow.Caks;
newRow.GammaPct = indexRow.GammaPct;
newRow.ThetaAnnualized = indexRow.ThetaAnnualized;
newRow.DeltasToTrade = indexRow.DeltasToTrade;
if (portfolio.Indices.Length > 2)
{
newRow.PutsToRebalance = indexRow.PutsToRebalance;
}
newRow.PutsToTrade = indexRow.PutsToTrade;
if (indexRow.LastPrice.HasValue)
{
newRow.LastPrice = indexRow.LastPrice.Value;
}
if (indexRow.PrevClose.HasValue)
{
newRow.PrevClose = indexRow.PrevClose.Value;
}
indicesTable.Rows.Add(newRow);
}
}
return(indicesTable);
}
private void FormPutCalculator_Load(object sender, EventArgs e)
{
try
{
m_loadedSuccessfully = true;
if (m_snapshot.Indices.Rows.Count > 0) // must have at least one index and a total
{
AccountDataSet.IndicesRow totalRow = m_snapshot.Indices[m_snapshot.Indices.Rows.Count - 1];
textBoxCurrentDelta.Text = String.Format("{0:f3}", m_currentDeltaPercent = totalRow.TotalDeltaPct);
}
else
{
ShowError("No delta percent supplied");
m_loadedSuccessfully = false;
}
if (m_snapshot.AccountData.Count > 0)
{
m_desiredDeltaPercent = m_snapshot.AccountData[0].DeltaGoal;
if (m_desiredDeltaPercent < .0001)
{
m_desiredDeltaPercent = m_snapshot.AccountData[0].TargetDelta;
}
textBoxDesiredDelta.Text = String.Format("{0:f3}", m_desiredDeltaPercent);
m_currentEquity = m_snapshot.AccountData[0].CurrentEquity;
textBoxMaxNotionalValue.Text = String.Format("{0:N0}", m_maxNotionalValue = m_snapshot.AccountData[0].BaseEquity);
}
else
{
ShowError("No account info supplied");
m_loadedSuccessfully = false;
}
if (m_snapshot.Positions != null)
{
List <AccountDataSet.PortfolioRow> rows = new List <AccountDataSet.PortfolioRow>(m_snapshot.Positions.Where(x =>
(!x.IsOptionTypeNull()) &&
(x.OptionType == "Put") &&
(x.AccountName == m_snapshot.AccountName) &&
(x.Current_Position != -x.NettingAdjustment)));
rows.Sort(new SortByDelta());
dataGridView1.DataSource = rows;
}
else
{
ShowError("No positions supplied");
m_loadedSuccessfully = false;
}
double changeInDelta = 0;
m_loadedSuccessfully &= CalculateRisk(ref m_currentNotionalValue, ref changeInDelta, ref m_indexPrice);
textBoxCurrentNotionalValue.Text = String.Format("{0:N0}", m_currentNotionalValue);
}
catch (Exception ex)
{
ShowError("Error loading info", ex);
m_loadedSuccessfully = false;
}
}
