/* Excercise all options at the end of the day */
public static void ExcerciseGasOptions(TradeSet sourcePF)
{
DateTime marketDate = sourcePF.MarketDate;
IEnumerable<Tradelet> tradelets = sourcePF._trades.Values.SelectMany(k => k.tradelets.Values)
.Where(k => k.MyTrade.isOption && k.DelStart > marketDate); // > tradeDate removes many possibilities: speed improvement
Dictionary<DateTime, DateTime> exDates;
double price; Product prod; Trade trade; Trade exercTrade;
int signExcerTrade = 0;
foreach (Tradelet tlet in tradelets.ToList())
{
trade = tlet.MyTrade;
prod = trade.MyProduct;
exDates = TradingCenter.TCEachTenor(trade.OptionTenorType, tlet.DelStart, tlet.DelEnd).Select(k =>
new KeyValuePair<DateTime, DateTime>(k, prod.TC.GetGasOptExDate(trade.OptionTenorType, k, trade._instrument.isExchange))).ToDictionary(k => k.Key, k => k.Value);
foreach (DateTime day in exDates.Keys)
{
price = prod.ReturnCurveSeries().GetValue(trade.OptionTenorType, day, marketDate);
if (trade.OptionType == OPTION_TYPE.PUT && trade.Strike > price)
{
trade.isExcercised = true;
signExcerTrade = -1;
}
else if (trade.OptionType == OPTION_TYPE.CALL && trade.Strike < price)
{
trade.isExcercised = true;
signExcerTrade = 1;
}
else
{
trade.isExpired = true;
}
exercTrade = new Trade() {
DealID = sourcePF.MyTradeCollection.CreateFakeID(), TradeDate = marketDate,
Volume = signExcerTrade * trade.Volume, Price = trade.Strike,
UnitName = prod.UnitName,
CCY = prod.CCY,
ProductName = prod.Name,
MyProduct = prod,
DelStart = day, DelEnd = TradingCenter.TCTenorSelector(day, trade.OptionTenorType, 1).AddDays(-1),
exerciseTrade = trade, OptionID = trade.OptionID};
sourcePF._trades.Add(exercTrade.DealID, exercTrade);
}
}
}
/* No trade-by trade PnL, monthly hedging + DA & BoM for dailies. BoM = average price for rest of month, not a 'real BoM' price */
public static TradeSet PerfectMonthlyHedge(TradeSet sourcePF)
{
/* original trades are prices, add new hedges and price them [PnL will be zero, but we need position] */
// @@@ A) just add new trades ... slower but who cares :-)
// add accumulate exposure and create opposite trade
// IEnumerable<IGrouping<DateTime, Tradelet>> monthlyTradeletGroups = sourcePF._trades.Values.SelectMany(k => k.tradelets.Values).GroupBy(k => k.FirstMonth);
TradeSet newPF = sourcePF.CloneTradeSet(); // either newPF or alternatively remove replace trades from previous ... but we clone it anyway? here we can look at single optiones as well ... hm :(
// now : just add ONE trade into the newPF and think about everything else later
DateTime marketDate = sourcePF.MarketDate; DateTime runDate = DateTime.MinValue;
Trade newTrade;
Product prod;
CurveSeries curves;
TradingCenter tc;
int runTenorType;
double deltaExpo;
double price;
Dictionary<DateTime, object[]> hedgeGran; // @@@ <del start: del start, del end, granularity
foreach (string productName in sourcePF.ProductNames) // @@@ replace location with productname, don't mix stuff up
{
prod = DynamicData.GetProduct(productName);
curves = prod.ReturnCurveSeries();
tc = prod.TC;
runTenorType = TENOR_TYPE.DAY;
foreach (DateTime delDay in TradingCenter.TCEachDay(marketDate.AddDays(1), tc.reqNextBD(marketDate))) // here single trades and below BOM? well yes, that is the liquidity ide ... to improve and generalize
{
runDate = delDay;
price = curves.GetValue(runTenorType, delDay, marketDate);
deltaExpo = sourcePF.GetExposure(EXPOSURE_TYPE.DELTA, runTenorType, productName, delDay);
newTrade = new Trade() {
DealID = sourcePF.MyTradeCollection.CreateFakeID(), TradeDate = marketDate,
Volume = prod.UnitSet.ToStandardSize(-1 * deltaExpo, 1),
Price = price,
UnitName = prod.UnitName,
CCY = prod.CCY,
ProductName = prod.Name,
MyProduct = prod,
DelStart = delDay, DelEnd = TradingCenter.TCTenorSelector(delDay, runTenorType, 1).AddDays(-1)};
newTrade.PriceTrade(marketDate);
newPF._trades.Add(newTrade.DealID, newTrade);
}
// loop till next Month >> create a single BoM trade; @@@ ultimatively, create hedge calendar <startDate, endDate, Granularity>: groups which are priced and hedged as once @@@ but finish simple version first!
DateTime delStart = runDate.AddDays(1);
DateTime delEnd = TradingCenter.TCTenorSelector(runDate, TENOR_TYPE.MONTH, 1).AddDays(-1);
runDate = delEnd;
if (delEnd >= delStart)
{
List<DateTime> bomDates = TradingCenter.TCEachDay(delStart, delEnd).ToList();
price = bomDates.Select(k => curves.GetValue(runTenorType, k, marketDate)).Average();
deltaExpo = bomDates.Select(k => sourcePF.GetExposure(EXPOSURE_TYPE.DELTA, runTenorType, productName, k)).Sum();
newTrade = new Trade() {
DealID = sourcePF.MyTradeCollection.CreateFakeID(), TradeDate = marketDate,
Volume = prod.UnitSet.ToStandardSize(-1 * deltaExpo, 1),
Price = price,
UnitName = prod.UnitName,
CCY = prod.CCY,
ProductName = prod.Name,
MyProduct = prod,
DelStart = delStart, DelEnd = delEnd};
newTrade.PriceTrade(marketDate);
newPF._trades.Add(newTrade.DealID, newTrade);
}
runTenorType = TENOR_TYPE.MONTH;
foreach (DateTime delDay in TradingCenter.TCEachTenor(runTenorType, runDate.AddDays(1), sourcePF.GetLastDelDate(productName)))
{
price = curves.GetValue(runTenorType, delDay, marketDate);
deltaExpo = sourcePF.GetExposure(EXPOSURE_TYPE.DELTA, runTenorType, productName, delDay);
newTrade = new Trade() {
DealID = sourcePF.MyTradeCollection.CreateFakeID(), TradeDate = marketDate,
Volume = prod.UnitSet.ToStandardSize(-1 * deltaExpo, TradingCenter.TCTenorSelector(delDay, runTenorType, 1).AddDays(-1).Day),
Price = price, UnitName = prod.UnitName, CCY = prod.CCY, ProductName = prod.Name, MyProduct = prod,
DelStart = delDay, DelEnd = TradingCenter.TCTenorSelector(delDay, runTenorType, 1).AddDays(-1)};
//@@@ add default portfolio? hm...
newTrade.PriceTrade(marketDate);
newPF._trades.Add(newTrade.DealID, newTrade);
}
}
return newPF;
}
public Tradelet(int tradeletID, Trade myTrade, DateTime delStart, DateTime delEnd)
{
this.TradeletID = tradeletID;
this.MyTrade = myTrade;
this.DelStart = delStart;
this.DelEnd = delEnd;
FirstMonth = TradingCenter.TCTenorSelector(DelStart, TENOR_TYPE.MONTH);
}