private void Calculate_Click(object sender, EventArgs e)
{
double s, k, sigma, r, t;//Initialization
int check1, check2, check3;
int downandout = 0, upandout = 0, downandin = 0, upandin = 0;
double checkbarrier, checkrebate;
int M, simulation;
double[] P = new double[4];
double[] del_gam = new double[4];
double[] vega = new double[2];
double[] theta = new double[2];
double[] rho = new double[2];
double[] standard_error = new double[2];
watch.Start(); //start to calculate time
k = Convert.ToDouble(strike_price.Text); //get strike
s = Convert.ToDouble(underlying.Text); //input underlying
sigma = Convert.ToDouble(volatility.Text); //input volatility
r = Convert.ToDouble(risk_free_rate.Text); //input rate
t = Convert.ToDouble(tenor.Text); //input time to maturity
M = Convert.ToInt32(num_of_trials.Text); //input # of trials
simulation = Convert.ToInt16(step.Text); // input steps
c = Convert.ToInt16(cores.Text); // input cores
progressBar1.Maximum = 70;
progressBar1.Value = 0;
check1 = 0;
if (checkBox1.Checked == true)//check the antithetic variance reduction method
{
check1 = 1;
}
check2 = 0;
if (deltacv.Checked == true)//check the control variate variance reduction method
{
check2 = 1;
}
check3 = 0;
if (multithreading.Checked == true)//check the multithreading
{
check3 = 1;
}
if (barrier.Text == "Down and Out")//Inputs from Barrier option
{
downandout = 1;
}
else if (barrier.Text == "Up and Out")
{
upandout = 1;
}
else if (barrier.Text == "Down and In")
{
downandin = 1;
}
else if (barrier.Text == "Up and In")
{
upandin = 1;
}
if (comboBox1.Text == "Barrier")//error handling
{
try
{
checkbarrier = Convert.ToDouble(barrierline.Text);
}
catch
{
MessageBox.Show("Please enter a numeric value for barrier!", "Input Error!", MessageBoxButtons.AbortRetryIgnore, MessageBoxIcon.Stop);
return;
}
if ((s < checkbarrier && (downandin == 1 || downandout == 1) || (s > checkbarrier && (upandin == 1 || upandout == 1))))
{
MessageBox.Show("Please check your input of underlying, barrier and the type of barrier option, the barrier option doesn't make sense !", "Input Error!", MessageBoxButtons.AbortRetryIgnore, MessageBoxIcon.Stop);
return;
}
}
else if (comboBox1.Text == "Digital")
{
try
{
checkrebate = Convert.ToDouble(Rbate.Text);
}
catch
{
MessageBox.Show("Please enter a numeric value for rebate!", "Input Error!", MessageBoxButtons.AbortRetryIgnore, MessageBoxIcon.Stop);
return;
}
}
Parameters GIP = new Parameters(k, s, sigma, t, r, simulation, M, check1, check2, check3, downandout, upandout, downandin, upandin, c);//input the data
simulator sims = new simulator(GIP);
getpayoff GPO = new getpayoff(GIP);
if (s > 0 && k > 0 && sigma > 0 && r > 0 && t > 0 && M > 0 && simulation > 2 && comboBox1.Text != "")
{
ep = new double[M, simulation]; //declare the matrix
path1 = new double[M, simulation + 1]; //declare paths
path2 = new double[M, simulation + 1];
payoff = new double[2 * M]; //declare payoff
double[] greeks = new double[10];
if (comboBox1.Text == "European")
{
European Euro = new European(GIP);
if (multithreading.Checked == true)
{
sims.multithread();//get the random matrix
progressBar1.Increment(+10);
}
else
{
ep = sims.Box_Muller();//get the random matrix
progressBar1.Increment(+10);
}
payoff = Euro.get_payoff();//calculate the payoff matrix
}
else if (comboBox1.Text == "Asian")
{
Asian Asian = new Asian(GIP);
if (multithreading.Checked == true)
{
sims.multithread();
progressBar1.Increment(+10);
}
else
{
ep = sims.Box_Muller();//get the random matrix
progressBar1.Increment(+10);
}
payoff = Asian.get_payoff();
}
else if (comboBox1.Text == "Digital")
{
Digital digital = new Digital(GIP);
digital.rebate = Convert.ToDouble(Rbate.Text);
if (multithreading.Checked == true)
{
sims.multithread();
progressBar1.Increment(+10);
}
else
{
ep = sims.Box_Muller();//get the random matrix
progressBar1.Increment(+10);
}
payoff = digital.get_payoff();
}
else if (comboBox1.Text == "Lookback")
{
Lookback lookback = new Lookback(GIP);
if (multithreading.Checked == true)
{
sims.multithread();
progressBar1.Increment(+10);
}
else
{
ep = sims.Box_Muller();//get the random matrix
progressBar1.Increment(+10);
}
payoff = lookback.get_payoff();
}
else if (comboBox1.Text == "Range")
{
Range range = new Range(GIP);
if (multithreading.Checked == true)
{
sims.multithread();
progressBar1.Increment(+10);
}
else
{
ep = sims.Box_Muller();//get the random matrix
progressBar1.Increment(+10);
}
payoff = range.get_payoff();
}
else if (comboBox1.Text == "Barrier")
{
Barrier barrier = new Barrier(GIP);
barrier.barrier = Convert.ToDouble(barrierline.Text);
if (multithreading.Checked == true)
{
sims.multithread();
progressBar1.Increment(+10);
}
else
{
ep = sims.Box_Muller();//get the random matrix
progressBar1.Increment(+10);
}
payoff = barrier.get_payoff();
}
progressBar1.Increment(+10);
P = get_option_price(payoff, GIP);//calculate the option price
call_option.Text = Convert.ToString(Math.Round(P[0], 4));
put_option.Text = Convert.ToString(Math.Round(P[1], 4));
progressBar1.Increment(+10);
standard_errorc.Text = Convert.ToString(Math.Round(P[2], 4));
standard_errorp.Text = Convert.ToString(Math.Round(P[3], 4));
progressBar1.Increment(+10);
greeks = getgreeks(P, GIP);//calculate Greeks
call_delta.Text = Convert.ToString(Math.Round(greeks[0], 4));
call_gamma.Text = Convert.ToString(Math.Round(greeks[2], 4));
put_gamma.Text = Convert.ToString(Math.Round(greeks[3], 4));
put_delta.Text = Convert.ToString(Math.Round(greeks[1], 4));
progressBar1.Increment(+10);
call_vega.Text = Convert.ToString(Math.Round(greeks[4], 4));//vega calculation
put_vega.Text = Convert.ToString(Math.Round(greeks[5], 4));
progressBar1.Increment(+10);
call_theta.Text = Convert.ToString(Math.Round(greeks[6], 4));
put_theta.Text = Convert.ToString(Math.Round(greeks[7], 4));
progressBar1.Increment(+10);
call_rho.Text = Convert.ToString(Math.Round(greeks[8], 4));//rho calculation
put_rho.Text = Convert.ToString(Math.Round(greeks[9], 4));
progressBar1.Increment(+10);
watch.Stop();//Stop the timer
lblTimer.Text = watch.Elapsed.Hours.ToString() + ":" + watch.Elapsed.Minutes.ToString() + ":" + watch.Elapsed.Seconds.ToString() + ":" + watch.Elapsed.Milliseconds.ToString();
watch.Reset();
}
else
{
MessageBox.Show("Please enter a positive numeric value, the steps most be larger than 2 and you must select an option type!", "Input Error!", MessageBoxButtons.AbortRetryIgnore, MessageBoxIcon.Stop);
}
}
public double[] getgreeks(double[] price, Parameters GIP)//get the greeks
{
Parameters deltau = new Parameters(GIP.K, GIP.S * 1.001, GIP.sigma, GIP.T, GIP.R, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
Parameters deltad = new Parameters(GIP.K, GIP.S * 0.999, GIP.sigma, GIP.T, GIP.R, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
Parameters vegau = new Parameters(GIP.K, GIP.S, GIP.sigma * 1.001, GIP.T, GIP.R, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
Parameters vegad = new Parameters(GIP.K, GIP.S, GIP.sigma * 0.999, GIP.T, GIP.R, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
Parameters thetau = new Parameters(GIP.K, GIP.S, GIP.sigma, GIP.T * 1.001, GIP.R, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
Parameters rhou = new Parameters(GIP.K, GIP.S, GIP.sigma, GIP.T, GIP.R * 1.001, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
Parameters rhod = new Parameters(GIP.K, GIP.S, GIP.sigma, GIP.T, GIP.R * 0.999, GIP.simulation, GIP.M, GIP.check1, GIP.check2, GIP.check3, GIP.downandout, GIP.upandout, GIP.downandin, GIP.upandin, GIP.c);
double[] greek = new double[10];
double[] payoffdeltau = new double[2 * GIP.M];
double[] payoffdeltad = new double[2 * GIP.M];
double[] payoffvegau = new double[2 * GIP.M];
double[] payoffvegad = new double[2 * GIP.M];
double[] payoffthetau = new double[2 * GIP.M];
double[] payoffrhou = new double[2 * GIP.M];
double[] payoffrhod = new double[2 * GIP.M];
double[] Pdeltau = new double[4];
double[] Pdeltad = new double[4];
double[] Pvegau = new double[4];
double[] Pvegad = new double[4];
double[] Pthetau = new double[4];
double[] Prhou = new double[4];
double[] Prhod = new double[4];
if (comboBox1.Text == "European")
{
European Eurodeltau = new European(deltau);
European Eurodeltad = new European(deltad);
European Eurovegau = new European(vegau);
European Eurovegad = new European(vegad);
European Eurothetau = new European(thetau);
European Eurorhou = new European(rhou);
European Eurorhod = new European(rhod);
payoffdeltau = Eurodeltau.get_payoff();
payoffdeltad = Eurodeltad.get_payoff();
payoffvegau = Eurovegau.get_payoff();
payoffvegad = Eurovegad.get_payoff();
payoffthetau = Eurothetau.get_payoff();
payoffrhou = Eurorhou.get_payoff();
payoffrhod = Eurorhod.get_payoff();
}
else if (comboBox1.Text == "Asian")
{
Asian Eurodeltau = new Asian(deltau);
Asian Eurodeltad = new Asian(deltad);
Asian Eurovegau = new Asian(vegau);
Asian Eurovegad = new Asian(vegad);
Asian Eurothetau = new Asian(thetau);
Asian Eurorhou = new Asian(rhou);
Asian Eurorhod = new Asian(rhod);
payoffdeltau = Eurodeltau.get_payoff();
payoffdeltad = Eurodeltad.get_payoff();
payoffvegau = Eurovegau.get_payoff();
payoffvegad = Eurovegad.get_payoff();
payoffthetau = Eurothetau.get_payoff();
payoffrhou = Eurorhou.get_payoff();
payoffrhod = Eurorhod.get_payoff();
}
else if (comboBox1.Text == "Digital")
{
Digital Eurodeltau = new Digital(deltau);
Digital Eurodeltad = new Digital(deltad);
Digital Eurovegau = new Digital(vegau);
Digital Eurovegad = new Digital(vegad);
Digital Eurothetau = new Digital(thetau);
Digital Eurorhou = new Digital(rhou);
Digital Eurorhod = new Digital(rhod);
Eurodeltau.rebate = Convert.ToDouble(Rbate.Text);
Eurodeltad.rebate = Convert.ToDouble(Rbate.Text);
Eurovegau.rebate = Convert.ToDouble(Rbate.Text);
Eurovegad.rebate = Convert.ToDouble(Rbate.Text);
Eurothetau.rebate = Convert.ToDouble(Rbate.Text);
Eurorhou.rebate = Convert.ToDouble(Rbate.Text);
Eurorhod.rebate = Convert.ToDouble(Rbate.Text);
payoffdeltau = Eurodeltau.get_payoff();
payoffdeltad = Eurodeltad.get_payoff();
payoffvegau = Eurovegau.get_payoff();
payoffvegad = Eurovegad.get_payoff();
payoffthetau = Eurothetau.get_payoff();
payoffrhou = Eurorhou.get_payoff();
payoffrhod = Eurorhod.get_payoff();
}
else if (comboBox1.Text == "Lookback")
{
Lookback Eurodeltau = new Lookback(deltau);
Lookback Eurodeltad = new Lookback(deltad);
Lookback Eurovegau = new Lookback(vegau);
Lookback Eurovegad = new Lookback(vegad);
Lookback Eurothetau = new Lookback(thetau);
Lookback Eurorhou = new Lookback(rhou);
Lookback Eurorhod = new Lookback(rhod);
payoffdeltau = Eurodeltau.get_payoff();
payoffdeltad = Eurodeltad.get_payoff();
payoffvegau = Eurovegau.get_payoff();
payoffvegad = Eurovegad.get_payoff();
payoffthetau = Eurothetau.get_payoff();
payoffrhou = Eurorhou.get_payoff();
payoffrhod = Eurorhod.get_payoff();
}
else if (comboBox1.Text == "Range")
{
Range Eurodeltau = new Range(deltau);
Range Eurodeltad = new Range(deltad);
Range Eurovegau = new Range(vegau);
Range Eurovegad = new Range(vegad);
Range Eurothetau = new Range(thetau);
Range Eurorhou = new Range(rhou);
Range Eurorhod = new Range(rhod);
payoffdeltau = Eurodeltau.get_payoff();
payoffdeltad = Eurodeltad.get_payoff();
payoffvegau = Eurovegau.get_payoff();
payoffvegad = Eurovegad.get_payoff();
payoffthetau = Eurothetau.get_payoff();
payoffrhou = Eurorhou.get_payoff();
payoffrhod = Eurorhod.get_payoff();
}
else
{
Barrier Eurodeltau = new Barrier(deltau);
Barrier Eurodeltad = new Barrier(deltad);
Barrier Eurovegau = new Barrier(vegau);
Barrier Eurovegad = new Barrier(vegad);
Barrier Eurothetau = new Barrier(thetau);
Barrier Eurorhou = new Barrier(rhou);
Barrier Eurorhod = new Barrier(rhod);
Eurodeltau.barrier = Convert.ToDouble(barrierline.Text);
Eurodeltad.barrier = Convert.ToDouble(barrierline.Text);
Eurovegau.barrier = Convert.ToDouble(barrierline.Text);
Eurovegad.barrier = Convert.ToDouble(barrierline.Text);
Eurothetau.barrier = Convert.ToDouble(barrierline.Text);
Eurorhou.barrier = Convert.ToDouble(barrierline.Text);
Eurorhod.barrier = Convert.ToDouble(barrierline.Text);
payoffdeltau = Eurodeltau.get_payoff();
payoffdeltad = Eurodeltad.get_payoff();
payoffvegau = Eurovegau.get_payoff();
payoffvegad = Eurovegad.get_payoff();
payoffthetau = Eurothetau.get_payoff();
payoffrhou = Eurorhou.get_payoff();
payoffrhod = Eurorhod.get_payoff();
}
Pdeltau = get_option_price(payoffdeltau, deltau);//[0] is the call price, [1] is the put price
Pdeltad = get_option_price(payoffdeltad, deltad);
Pvegau = get_option_price(payoffvegau, vegau);
Pvegad = get_option_price(payoffvegad, vegad);
Pthetau = get_option_price(payoffthetau, thetau);
Prhou = get_option_price(payoffrhou, rhou);
Prhod = get_option_price(payoffrhod, rhod);
greek[0] = (Pdeltau[0] - Pdeltad[0]) / (2 * 0.001 * GIP.S); //call delta
greek[1] = (Pdeltau[1] - Pdeltad[1]) / (2 * 0.001 * GIP.S); //put delta
greek[2] = (Pdeltau[0] + Pdeltad[0] - 2 * price[0]) / Math.Pow((0.001 * GIP.S), 2); //call gamma
greek[3] = (Pdeltau[1] + Pdeltad[1] - 2 * price[1]) / Math.Pow((0.001 * GIP.S), 2); //put gamma
greek[4] = (Pvegau[0] - Pvegad[0]) / (2 * 0.001 * GIP.sigma); //call vega
greek[5] = (Pvegau[1] - Pvegad[1]) / (2 * 0.001 * GIP.sigma); //put vega
greek[6] = -(Pthetau[0] - price[0]) / (0.001 * GIP.T); //call theta
greek[7] = -(Pthetau[1] - price[1]) / (0.001 * GIP.T); //put theta
greek[8] = (Prhou[0] - Prhod[0]) / (2 * 0.001 * GIP.R); //call rho
greek[9] = (Prhou[1] - Prhod[1]) / (2 * 0.001 * GIP.R); //put rho
return(greek);
}