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");
}
public void calculation()
{
label_pro.Text = "Input";
//create objects
RandomNumber randomnumber = new RandomNumber();
Value value = new Value();
//Define the inputs
value.S = Convert.ToDouble(textBoxS0.Text);
value.K = Convert.ToDouble(textBoxK.Text);
value.T = Convert.ToDouble(textBoxT.Text);
value.R = Convert.ToDouble(textBoxr.Text);
value.Sigma = Convert.ToDouble(textBoxsigma.Text);
value.Trials = Convert.ToInt32(textBoxN.Text);
value.N = Convert.ToInt32(textBoxsteps.Text);
value.Type = Convert.ToBoolean(Radio_call.Checked);
value.An = Convert.ToBoolean(checkBox_An.Checked);
value.CV = Convert.ToBoolean(checkBox_CV.Checked);
value.MT = Convert.ToBoolean(checkBox_MT.Checked);
label_pro.Text = "Reading Your Data";
inprogress(10);
double[,] Rn = randomnumber.Rand(value.Trials, value.N, value.MT);
value.Rn = Rn;
label_pro.Text = "Creating Random Number Array";
inprogress(20);
//Outputs
if (radioButton_European.Checked)
{
value.Rb = 0;
value.Bt = 0;
value.Br = 0;
European european = new European();
label_pro.Text = "Calculate Price";
textBoxPrice.Text = Convert.ToString(european.OptionPrice(value)[0]);
inprogress(30);
label_pro.Text = "Calculate Std";
textBoxStd.Text = Convert.ToString(european.OptionPrice(value)[1]);
inprogress(40);
label_pro.Text = "Calculate Delta";
textBoxDelta.Text = Convert.ToString(european.Delta(value));
inprogress(50);
label_pro.Text = "Calculate Gamma";
textBoxGamma.Text = Convert.ToString(european.Gamma(value));
inprogress(60);
label_pro.Text = "Calculate Vega";
textBoxVega.Text = Convert.ToString(european.Vega(value));
inprogress(70);
label_pro.Text = "Calculate Theta";
textBoxTheta.Text = Convert.ToString(european.Theta(value));
inprogress(80);
label_pro.Text = "Calculate Rho";
textBoxRho.Text = Convert.ToString(european.Rho(value));
inprogress(90);
}
if (radioButton_Asian.Checked)
{
value.Rb = 0;
value.Bt = 0;
value.Br = 0;
Asian asian = new Asian();
label_pro.Text = "Calculate Price";
textBoxPrice.Text = Convert.ToString(asian.OptionPrice(value)[0]);
inprogress(30);
label_pro.Text = "Calculate Std";
textBoxStd.Text = Convert.ToString(asian.OptionPrice(value)[1]);
inprogress(40);
label_pro.Text = "Calculate Delta";
textBoxDelta.Text = Convert.ToString(asian.Delta(value));
inprogress(50);
label_pro.Text = "Calculate Gamma";
textBoxGamma.Text = Convert.ToString(asian.Gamma(value));
inprogress(60);
label_pro.Text = "Calculate Vega";
textBoxVega.Text = Convert.ToString(asian.Vega(value));
inprogress(70);
label_pro.Text = "Calculate Theta";
textBoxTheta.Text = Convert.ToString(asian.Theta(value));
inprogress(80);
label_pro.Text = "Calculate Rho";
textBoxRho.Text = Convert.ToString(asian.Rho(value));
inprogress(90);
}
if (radioButton_Digital.Checked)
{
if (textBox_Rebate.Text == string.Empty)
{
textBox_Rebate.BackColor = Color.Pink;
}
else
{
value.Rb = Convert.ToDouble(textBox_Rebate.Text);
value.Bt = 0;
value.Br = 0;
Digital digital = new Digital();
label_pro.Text = "Calculate Price";
textBoxPrice.Text = Convert.ToString(digital.OptionPrice(value)[0]);
inprogress(30);
label_pro.Text = "Calculate Std";
textBoxStd.Text = Convert.ToString(digital.OptionPrice(value)[1]);
inprogress(40);
label_pro.Text = "Calculate Delta";
textBoxDelta.Text = Convert.ToString(digital.Delta(value));
inprogress(50);
label_pro.Text = "Calculate Gamma";
textBoxGamma.Text = Convert.ToString(digital.Gamma(value));
inprogress(60);
label_pro.Text = "Calculate Vega";
textBoxVega.Text = Convert.ToString(digital.Vega(value));
inprogress(70);
label_pro.Text = "Calculate Theta";
textBoxTheta.Text = Convert.ToString(digital.Theta(value));
inprogress(80);
label_pro.Text = "Calculate Rho";
textBoxRho.Text = Convert.ToString(digital.Rho(value));
inprogress(90);
}
}
if (radioButton_Barrier.Checked)
{
if (textBox_Barrier.Text == string.Empty)
{
textBox_Barrier.BackColor = Color.Pink;
}
else
{
value.Rb = 0;
value.Br = Convert.ToDouble(textBox_Barrier.Text);
if (radioButton_DO.Checked)
{
value.Bt = 0;
}
if (radioButton_UO.Checked)
{
value.Bt = 1;
}
if (radioButton_DI.Checked)
{
value.Bt = 2;
}
if (radioButton_UI.Checked)
{
value.Bt = 3;
}
Barrier barrier = new Barrier();
label_pro.Text = "Calculate Price";
textBoxPrice.Text = Convert.ToString(barrier.OptionPrice(value)[0]);
inprogress(30);
label_pro.Text = "Calculate Std";
textBoxStd.Text = Convert.ToString(barrier.OptionPrice(value)[1]);
inprogress(40);
label_pro.Text = "Calculate Delta";
textBoxDelta.Text = Convert.ToString(barrier.Delta(value));
inprogress(50);
label_pro.Text = "Calculate Gamma";
textBoxGamma.Text = Convert.ToString(barrier.Gamma(value));
inprogress(60);
label_pro.Text = "Calculate Vega";
textBoxVega.Text = Convert.ToString(barrier.Vega(value));
inprogress(70);
label_pro.Text = "Calculate Theta";
textBoxTheta.Text = Convert.ToString(barrier.Theta(value));
inprogress(80);
label_pro.Text = "Calculate Rho";
textBoxRho.Text = Convert.ToString(barrier.Rho(value));
inprogress(90);
}
}
if (radioButton_Lookback.Checked)
{
value.Rb = 0;
value.Bt = 0;
value.Br = 0;
Lookback lookback = new Lookback();
label_pro.Text = "Calculate Price";
textBoxPrice.Text = Convert.ToString(lookback.OptionPrice(value)[0]);
inprogress(30);
label_pro.Text = "Calculate Std";
textBoxStd.Text = Convert.ToString(lookback.OptionPrice(value)[1]);
inprogress(40);
label_pro.Text = "Calculate Delta";
textBoxDelta.Text = Convert.ToString(lookback.Delta(value));
inprogress(50);
label_pro.Text = "Calculate Gamma";
textBoxGamma.Text = Convert.ToString(lookback.Gamma(value));
inprogress(60);
label_pro.Text = "Calculate Vega";
textBoxVega.Text = Convert.ToString(lookback.Vega(value));
inprogress(70);
label_pro.Text = "Calculate Theta";
textBoxTheta.Text = Convert.ToString(lookback.Theta(value));
inprogress(80);
label_pro.Text = "Calculate Rho";
textBoxRho.Text = Convert.ToString(lookback.Rho(value));
inprogress(90);
}
if (radioButton_Range.Checked)
{
value.Rb = 0;
value.Bt = 0;
value.Br = 0;
Range range = new Range();
label_pro.Text = "Calculate Price";
textBoxPrice.Text = Convert.ToString(range.OptionPrice(value)[0]);
inprogress(30);
label_pro.Text = "Calculate Std";
textBoxStd.Text = Convert.ToString(range.OptionPrice(value)[1]);
inprogress(40);
label_pro.Text = "Calculate Delta";
textBoxDelta.Text = Convert.ToString(range.Delta(value));
inprogress(50);
label_pro.Text = "Calculate Gamma";
textBoxGamma.Text = Convert.ToString(range.Gamma(value));
inprogress(60);
label_pro.Text = "Calculate Vega";
textBoxVega.Text = Convert.ToString(range.Vega(value));
inprogress(70);
label_pro.Text = "Calculate Theta";
textBoxTheta.Text = Convert.ToString(range.Theta(value));
inprogress(80);
label_pro.Text = "Calculate Rho";
textBoxRho.Text = Convert.ToString(range.Rho(value));
inprogress(90);
}
int core_num;
if (value.MT == true)
{
core_num = System.Environment.ProcessorCount;
}
else
{
core_num = 1;
}
TextBoxCore.Text = Convert.ToString(core_num);
}