public Excel_compositeOptionLoaderView defaultLoaderView()
{
Excel_compositeOptionLoaderView subTypeLoaderView;// = new Excel_compositeOptionLoaderView();
//default;
Excel_vanillaCallPutViewModel e_vcpvm = new Excel_vanillaCallPutViewModel();
e_vcpvm.setInterfaceViewModel(this);
e_vcpvm.DefaultSetting(this);
subTypeLoaderView = e_vcpvm.loaderView(this);
subTypeLoaderView.InterfaceViewModel_ = this;
return(subTypeLoaderView);
}
public override Excel_compositeOption_subtypeViewModel Clone()
{
Excel_vanillaCallPutViewModel clone = new Excel_vanillaCallPutViewModel();
clone.BaseCoupon_ = this.baseCoupon_;
clone.BaseUnderlyingValue_ = this.baseUnderlyingValue_;
clone.UnderlyingCode_ = this.underlyingCode_;
clone.PartiRate_ = this.partiRate_;
clone.Description_ = this.description_;
clone.CallPut_ = this.callPut_;
clone.ExerciseDate_ = this.exerciseDate_;
clone.PayoffDate_ = this.payoffDate_;
clone.Strike_ = this.strike_;
clone.StrikeValue_ = this.strikeValue_;
this.descriptionUpdate();
clone.Description_ = this.description_;
return(clone);
}
//public override void calculate(Excel_instrumentViewModel excel_inst)
//{
// //#region Setting
// //Excel_compositeOptionViewModel compOptionVM = excel_interface as Excel_compositeOptionViewModel;
// //if (compOptionVM == null)
// //{
// // //error
// //}
// //Calendar calendar = new TARGET();
// //Date todaysDate = todaysDate = ProgramVariable.ReferenceDate_;
// //Date settlementDate = todaysDate;
// //Settings.setEvaluationDate(todaysDate);
// //DayCounter dayCounter = new Actual365Fixed();
// //if (this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
// //{
// // //error
// //}
// //Excel_geometricBMViewModel gbm = this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_[0].Excel_underlyingModel_paraViewModel_ as Excel_geometricBMViewModel;
// //double currentValue = Convert.ToDouble(gbm.CurrentValue_);
// //SimpleQuote quote = new SimpleQuote(currentValue);
// //Handle<Quote> underlyingH = new Handle<Quote>(quote);
// //double drift = Convert.ToDouble(gbm.Drift_);
// //double dividendYield = Convert.ToDouble(gbm.Dividend_);
// //double volatility = Convert.ToDouble(gbm.Volatility_);
// //SimpleQuote volQuote = new SimpleQuote(volatility);
// //Handle<Quote> volH = new Handle<Quote>(volQuote);
// //var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, drift, dayCounter));
// //var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
// //Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volH, dayCounter));
// //BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// //double value = 0.0;
// //DateTime exDate = compOptionVM.ExerciseDate_;
// //List<QLNet.OneAssetOption> optionList = new List<QLNet.OneAssetOption>();
// //foreach (Excel_compositeOption_subtypeViewModel item in compOptionVM.Excel_compositeOption_subtypeViewModelList_)
// //{
// // optionList.Add(this.option(item, bsmProcess, exDate));
// //}
// ////------------------------------------------------
// //foreach (var item in optionList)
// //{
// // value = value + item.NPV();
// //}
// //if (this.Separable_)
// //{
// // double matrutiryPayAmt = 0.0;
// // Excel_yieldCurveViewModel e_ycvm
// // = this.Excel_discountCurve_paraViewModel_.discountYieldCurve("KRW");
// // QLNet.YieldTermStructure yts = e_ycvm.yieldCurve();
// // value += matrutiryPayAmt;
// //}
// //#endregion
// //#region Calculation
// //quote.setValue(currentValue*1.01);
// //double sup = optionList[0].NPV();
// //quote.setValue(currentValue * 0.99);
// //double sdown = optionList[0].NPV();
// //double delta = (sup - sdown) / (currentValue * 0.02);
// //double gamma = (sup * sup - 2 * value + sdown * sdown) / (currentValue * 0.01 * currentValue * 0.01);
// //quote.setValue(currentValue);
// //volQuote.setValue(volatility - 0.01);
// //double voldown = optionList[0].NPV();
// //volQuote.setValue(volatility + 0.01);
// //double volup = optionList[0].NPV();
// //double vega = (volup - voldown) / 2;
// //#endregion
// //#region Result
// //this.Excel_resultViewModel_.Price_ = value.ToString();
// //double baseUnderlyingValue = Convert.ToDouble(
// // excel_interface.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_[0].BasePrice_);
// //this.Excel_resultViewModel_.PercentPrice_ = (100 * value / baseUnderlyingValue).ToString();
// //double notional = Convert.ToDouble(excel_interface.Excel_issueInfoViewModel_.Notional_);
// //this.Excel_resultViewModel_.EvalAmount_ = ( notional * ( value / baseUnderlyingValue) ).ToString();
// //#endregion
// //double gamma = optionList[0].gamma();
// //double vega = optionList[0].vega();
//}
private QLNet.OneAssetOption option(Excel_compositeOption_subtypeViewModel compositeOptionVM,
BlackScholesMertonProcess bsmProcess,
DateTime exDate)
{
Date exerciseDate = new Date(exDate);
if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_VANILLACALLPUT")
{
Excel_vanillaCallPutViewModel e_vcpvm = compositeOptionVM as Excel_vanillaCallPutViewModel;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, e_vcpvm.StrikeValue_);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.VanillaOption vanillaOption = new VanillaOption(payoff, ex);
return(vanillaOption);
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_UPINOUTCALL" ||
compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_DOWNINOUTCALL")
{
Excel_upInOutCallViewModel e_uiocvm = compositeOptionVM as Excel_upInOutCallViewModel;
Barrier.Type type = Barrier.Type.UpOut;
if (e_uiocvm.InOut_.ToString() == "IN")
{
type = Barrier.Type.UpIn;
}
double strikeValue = e_uiocvm.StrikeValue_;
double barrierValue = e_uiocvm.BarrierValue_;
double partiRate = Convert.ToDouble(e_uiocvm.PartiRate_) / 100.0;
double rebateValue = Convert.ToDouble(e_uiocvm.RebateCouponValue_);
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, strikeValue);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, barrierValue, partiRate, rebateValue, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return(barrierOption);
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "")
{
Barrier.Type type = Barrier.Type.DownOut;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 261.4);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, 313.68, 0.32, 0.0, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return(barrierOption);
}
else
{
throw new Exception("unknown compositeOptionType");
}
}
public override Excel_compositeOption_subtypeViewModel Clone()
{
Excel_vanillaCallPutViewModel clone = new Excel_vanillaCallPutViewModel();
clone.BaseCoupon_ = this.baseCoupon_;
clone.BaseUnderlyingValue_ = this.baseUnderlyingValue_;
clone.UnderlyingCode_ = this.underlyingCode_;
clone.PartiRate_ = this.partiRate_;
clone.Description_ = this.description_;
clone.CallPut_ = this.callPut_;
clone.ExerciseDate_ = this.exerciseDate_;
clone.PayoffDate_= this.payoffDate_;
clone.Strike_ = this.strike_;
clone.StrikeValue_ = this.strikeValue_;
this.descriptionUpdate();
clone.Description_ = this.description_;
return clone;
}
private void ViewModelChanged(object sender, DependencyPropertyChangedEventArgs e)
{
this.viewModel_ = this.DataContext as Excel_vanillaCallPutViewModel;
this.bindPanel_.DataContext = this.viewModel_;
}
public Excel_compositeOptionLoaderView defaultLoaderView()
{
Excel_compositeOptionLoaderView subTypeLoaderView;// = new Excel_compositeOptionLoaderView();
//default;
Excel_vanillaCallPutViewModel e_vcpvm = new Excel_vanillaCallPutViewModel();
e_vcpvm.setInterfaceViewModel(this);
e_vcpvm.DefaultSetting(this);
subTypeLoaderView = e_vcpvm.loaderView(this);
subTypeLoaderView.InterfaceViewModel_ = this;
return subTypeLoaderView;
}
private void ViewModelChanged(object sender, DependencyPropertyChangedEventArgs e)
{
this.viewModel_ = this.DataContext as Excel_vanillaCallPutViewModel;
this.bindPanel_.DataContext = this.viewModel_;
}