protected void Hedge(object sender, EventArgs e)
{
//Affichage de la courbe associée au portefeuille
DateTime DateDeb = DateTime.Parse(datepicker.Text.ToString());
DateTime DateFin = DateTime.Parse(datepicker2.Text.ToString());
TimeSpan difference = DateFin.Date - DateDeb.Date ;
double rebalancement = double.Parse(estimate_time.Text.ToString());
WrapperClass wrap = new WrapperClass(4,60);
AccesBD acces = new AccesDB.AccesBD();
acces.DeleteCompo(new DateTime(2000, 1, 1), new DateTime(2010, 4, 28));
//acces.getAssetSpot("FTSE", DateDeb, DateDeb);
AfficheBD affiche = new AffichageBD.AfficheBD();
double[] spot = new double[4];
//On fait l'approximation que tout les spots commençent à la même date et on ne tient pas compte des paramètres pour le moment
ComputeParam cp = new ComputeParam();
cp.param(400,DateDeb.AddDays(-300));
double[] sigma = new double[4];
double[] rho = new double[16];
for (int i = 0; i<4; i++){
sigma[i] = cp.Volatility[i];
for (int j = 0 ; j < 4; j++){
rho[i*4+j] = cp.Corel[i,j];
}
}
double[] coeff = new double[4];
double[][] past = new double[4][];
for (int i = 0; i<4; i++){
coeff[i] = 0.25;
}
String Date = datepicker.Text.ToString();
DateTime Datee = DateDeb;
Chart1.Titles.Add("Composition du portefeuille de couverture");
Chart1.Legends.Add(new Legend("Valeur du portefeuille"));
Chart1.Legends.Add(new Legend("Valeur du produit"));
Chart1.Series[0].Name = "Valeur du portefeuille";
Chart1.Series[1].Name = "Valeur du produit";
DateTime previousDate = DateDeb;
int pas = (difference.Days) / (int)rebalancement+1;
DateTime DateFinBD = new DateTime(1,1,1);
spot = acces.getLastSpot(ref DateFinBD);
bool firstPas = true;
int taille = ((((DateFin.Date - DateDeb.Date).Days) / pas) + 1);
while ((DateFin.CompareTo(DateDeb) > 0 && acces.getCurrentValLiq(DateDeb)!=0) || firstPas)
{
firstPas = false;
past[0] = acces.getAssetSpot("FTSE", DateDeb, Datee,pas);
past[1] = acces.getAssetSpot("S&P", DateDeb, Datee,pas);
past[2] = acces.getAssetSpot("NIKKEI", DateDeb, Datee,pas);
past[3] = acces.getAssetSpot("EUROSTOXX", DateDeb, Datee,pas);
double[] realPast = new double[past[0].Length * 4];
for (int i = 0; i < 4; i++)
{
for (int j = 0; j < past[0].Length; j++)
{
realPast[i * past[0].Length + j] = past[i][j];
}
}
double risk = acces.getCurrentRisk(previousDate);
double riskfree = acces.getCurrentRiskFree(previousDate);
double[] tmpDelta = acces.getDelta(previousDate);
//Traitement du cas où la date de départ est celle de début du produit
//Changer le Past en tableaux bidimmensionnels !!
wrap.computePortfolio(past[0].Length, 4, 30, 1000, (int)rebalancement, ((DateFin.Date - Datee.Date).Days) / 365.0, (DateDeb-Datee).Days/365.0, 0.05, sigma, rho, coeff, realPast);
acces.Insert(DateDeb, wrap.getPrice(), wrap.getDelta(), wrap.getRiskFree(), wrap.getRisk());
//Affichage du portefeuille
if (wrap.getPrice() != 0)
{
Chart1.Series[0].Points.AddXY(DateDeb, wrap.getRisk() + wrap.getRiskFree());
Chart1.Series[1].Points.AddXY(DateDeb, wrap.getPrice());
}
//Chart1.Series[1].Points.AddXY(DateDeb, risk + riskfree);
previousDate = DateDeb;
DateDeb = DateDeb.AddDays(pas);
}
string[,] toolti = acces.extractData(DateTime.Parse(datepicker.Text.ToString()), DateTime.Parse(datepicker2.Text.ToString()));
for (int i = 0; i < Chart1.Series[0].Points.Count; i++)
{
Chart1.Series[0].Points[i].ToolTip = string.Format("Date = {0}, Valeur Portefeuille = {1}", toolti[2,i], Math.Round(double.Parse(toolti[1,i]),2));
Chart1.Series[1].Points[i].ToolTip = string.Format("Date = {0}, Valeur Liquidative = {1}", toolti[2, i], Math.Round(double.Parse(toolti[0, i]), 2));
}
Affichage.Style.Add(HtmlTextWriterStyle.Display, "inline");
}