protected static Tuple<double[,], double[]> computeCorrelationAndVol(DateTime priceDate, IAsset underlying, ICurrency cur, int date_nb)
{
List<DateTime> dates_correl = new List<DateTime>();
int total = 0, real = 0; // current number of date : total also have not taken dates cause week end
while (real < date_nb)
{
DateTime curr_date = priceDate - TimeSpan.FromDays(total);
if (!(curr_date.DayOfWeek == DayOfWeek.Saturday || curr_date.DayOfWeek == DayOfWeek.Sunday))
{
dates_correl.Add(curr_date);
real++;
}
total++;
}
// get the prices from database
Dictionary<DateTime, double> hist_correl = AccessDB.Get_Asset_Price(underlying.getName(), dates_correl);
// transform the Tuple format to double[,] format
double[,] hist_correl_double = new double[2, date_nb];
int j = 0;
foreach (DateTime d in dates_correl)
{
hist_correl_double[0, j] = hist_correl[d];
j++;
}
j = 0;
foreach (DateTime d in dates_correl)
{
hist_correl_double[1, j] = 1 / cur.getChangeToEuro(d);
j++;
}
// compute correl and vol using C++ functions
Wrapping.Tools tools = new Wrapping.Tools();
double[,] correl = new double[2, 2];
double[] vol = new double[2];
tools.getCorrelAndVol(date_nb, 2, hist_correl_double, correl, vol);
return new Tuple<double[,], double[]>(correl, vol);
}
public double getVolatility(DateTime t)
{
Wrapping.Tools tools = new Wrapping.Tools();
int nb_dates = 15;
double[,] price = getPriceDouble(t - TimeSpan.FromDays(nb_dates), t, TimeSpan.FromDays(1));
double[,] correl = new double[1, 1];
double[] vol = new double[1];
tools.getCorrelAndVol(nb_dates, 1, price, correl, vol);
return vol[0];
}
/*
public Tuple<bool, double> getPayoff(DateTime t)
{
LinkedList<DateTime> dates = new LinkedList<DateTime>();
foreach (DateTime d in getObservationDates())
{
if (d > t)
{
break;
}
dates.AddLast(d);
}
double[,] historic = new double[underlying_list.Count, dates.Count];
int ass_i = 0;
foreach (IAsset ass in underlying_list)
{
int d_i = 0;
foreach (DateTime d in dates)
{
historic[ass_i, d_i] = ass.getPrice(d);
d_i++;
}
ass_i++;
}
int nb_dates = dates.Count;
int nb_asset = this.underlying_list.Count;
wp.getPayoffEverglades(nb_dates, nb_asset, historic, this.VLR);
return new Tuple<bool, double>(wp.getPayoffIsAnticipated(), wp.getPayoff());
}
* */
private Tuple<double[,], double[]> computeCorrelationAndVol(DateTime priceDate, List<String> assetNames, List<Currencies> currencies, uint date_nb)
{
int asset_nb = assetNames.Count;
int currencies_nb = currencies.Count;
// create a list of dates to get price for correlation computing
int nb_dates_correl = 200;
List<DateTime> dates_correl = new List<DateTime>();
int total = 0, real = 0; // current number of date : total also have not taken dates cause week end
while (real < nb_dates_correl)
{
DateTime curr_date = priceDate - TimeSpan.FromDays(total);
if (!(curr_date.DayOfWeek == DayOfWeek.Saturday || curr_date.DayOfWeek == DayOfWeek.Sunday))
{
dates_correl.Add(curr_date);
real++;
}
total++;
}
// get the prices from database
Dictionary<Tuple<String, DateTime>, double> hist_correl = AccessDB.Get_Asset_Price_Eur(assetNames, dates_correl);
Dictionary<Currencies, Dictionary<DateTime, double>> hist_correl_cur = AccessBD.Access.GetCurrenciesExchangeWithEuro(currencies, dates_correl);
// transform the Tuple format to double[,] format
double[,] hist_correl_double = new double[asset_nb + currencies_nb, nb_dates_correl];
int k = 0;
foreach (IAsset ass in underlying_list)
{
int j = 0;
foreach (DateTime d in dates_correl)
{
hist_correl_double[k, j] = hist_correl[new Tuple<String, DateTime>(ass.getName(), d)];
j++;
}
k++;
}
foreach (Currencies cur in currencies)
{
int j = 0;
foreach (DateTime d in dates_correl)
{
hist_correl_double[k, j] = hist_correl_cur[cur][d];
j++;
}
k++;
}
// compute correl and vol using C++ functions
Wrapping.Tools tools = new Wrapping.Tools();
double[,] correl = new double[asset_nb + currencies_nb, asset_nb + currencies_nb];
double[] vol = new double[asset_nb + currencies_nb];
tools.getCorrelAndVol(nb_dates_correl, asset_nb + currencies_nb, hist_correl_double, correl, vol);
return new Tuple<double[,], double[]>(correl, vol);
}
