public static double MonteCarloPriceAndGreeks(this AsianOption option, Date valueDate, double spot, double vol, double rate, double div, OptionPriceandGreeks greek, int periods, int numOfSims = 100000)
{
var T = (double)(option._exerciseDate - valueDate) / 365;
var flag = (double)option._putOrCall;
double bump = 0.01;
var paths = GBMEquitySimulator.StockPathSimulator(spot, vol, div, rate, T, numOfSims, periods, bump);
var stockpaths = paths[0];
var stockpaths_up = paths[1];
var stockpaths_down = paths[2];
double value = Double.NaN;
// To do : create monte carlo vega, theta, and rho
if (greek == OptionPriceandGreeks.Price)
{
value = MonteCarloPrice(stockpaths, option._strike, flag, rate, T);
}
else if (greek == OptionPriceandGreeks.Delta)
{
value = (MonteCarloPrice(stockpaths_up, option._strike, flag, rate, T) - MonteCarloPrice(stockpaths, option._strike, flag, rate, T)) / bump;
}
else if (greek == OptionPriceandGreeks.Gamma)
{
value = (MonteCarloPrice(stockpaths_up, option._strike, flag, rate, T) - 2 * MonteCarloPrice(stockpaths, option._strike, flag, rate, T) + MonteCarloPrice(stockpaths_down, option._strike, flag, rate, T)) / (bump * bump);
}
return(value);
}
/// <summary>
/// Initializes a new instance of the EuropeanOptionMC class.
/// </summary>
/// <param name="parameters">Interface holding Heston Model params.</param>
/// <param name="monteCarloSimulationSettings">Interface holding Monte carlo simulation settings.</param>
/// <param name="asianOption">Interface holding asian option.</param>
public AsianOptionMC(HestonModelParameters parameters,
MonteCarloSettings monteCarloSimulationSettings,
AsianOption asianOption)
: base(parameters, monteCarloSimulationSettings, asianOption)
{
_MonitoringTimes = asianOption.MonitoringTimes;
}
private void AsianOptionGreekCalc(String ValuationDate = "2015-03-19", Double vol = 0.28, Double spot = 1.0, Double strike = 1.03,
string asianType = "ArithmeticAverage", Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344,
double expectedDelta = 0.431553260493781,
double expectedGamma = 4319.00095926793,
double expectedVega = 0.00146247323594882,
double expectedRho = -1.62432084616776E-06,
double expectedTheta = -0.000398443365606245
)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = new Term("176D").Next(valuationDate);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] { new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2) };
#region comment
//var fixings = File.ReadAllLines(@"./Data/HistoricalEquityPrices/hs300.csv")
// .Select(x =>
// {
// var splits = x.Split(',');
// return Tuple.Create(new Date(DateTime.Parse(splits[0])), Double.Parse(splits[1]));
// }).ToDictionary(x => x.Item1, x => x.Item2);
//var initialSpot = fixings[startDate];
//fixings = fixings.Select(x => Tuple.Create(x.Key, x.Value / initialSpot)).Where(x => x.Item1 < startDate).ToDictionary(x => x.Item1, x => x.Item2);
#endregion comment
var option = new AsianOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed:StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>()
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalAsianOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
//var engine = new GenericMonteCarloEngine(2, 30000);
//var result = engine.Calculate(option, market, PricingRequest.All);
//Console.WriteLine("Analytical: {0},{1},{2},{3},{4},{5}", analyticalResult.Pv, analyticalResult.Delta, analyticalResult.Gamma, analyticalResult.Vega, analyticalResult.Rho, analyticalResult.Theta);
//Console.WriteLine("Monte Carlo: {0},{1},{2},{3},{4},{5}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
Assert.AreEqual(analyticalResult.Pv, expectedPv, 1e-1);
Assert.AreEqual(analyticalResult.Delta, expectedDelta, 1e-1);
Assert.AreEqual(analyticalResult.Gamma, expectedGamma, 1e4);
Assert.AreEqual(analyticalResult.Vega, expectedVega, 1e-1);
Assert.AreEqual(analyticalResult.Rho, expectedRho, 1e-1);
Assert.AreEqual(analyticalResult.Theta, expectedTheta, 1e-1);
}
public void AsianOptionFact()
{
var orgin = new DateTime(2019, 06, 12);
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var fixDates = new[] { orgin };
var x = new AsianOption()
{
AssetId = "QS",
CallPut = OptionType.C,
DiscountCurve = "X",
FixingDates = fixDates,
FxConversionType = FxConversionType.None,
Notional = 1,
PaymentCurrency = usd,
AverageStartDate = orgin,
AverageEndDate = orgin,
SpotLag = 0.Bd(),
SpotLagRollType = RollType.F,
Strike = 1000
};
var fakeModel = new Mock <IAssetFxModel>();
var c = new ConstantPriceCurve(100, orgin, TestProviderHelper.CurrencyProvider)
{
Currency = usd
};
fakeModel.Setup(xx => xx.GetPriceCurve(It.IsAny <string>(), null)).Returns(c);
fakeModel.Setup(xx => xx.BuildDate).Returns(orgin);
Assert.Equal(usd, x.Currency);
Assert.Equal(usd, x.PaymentCurrency);
var a = x.AssetIds;
Assert.Contains("QS", a);
Assert.Single(x.IrCurves(fakeModel.Object));
Assert.Equal(FxConversionType.None, x.FxType(fakeModel.Object));
Assert.Equal(orgin, x.LastSensitivityDate);
var pf = x.PastFixingDates(orgin.AddDays(1));
Assert.Contains("QS", pf.Keys);
Assert.True(x.Equals(x));
var y = (AsianOption)x.Clone();
y.TradeId = "xxx";
Assert.False(x.Equals(y));
var z = (AsianOption)x.SetStrike(0);
Assert.Equal(0, z.Strike);
var sd = z.SupervisoryDelta(fakeModel.Object);
Assert.Equal(1.0, sd);
}
public static string[,] AsianOptionPrice([QuantSAExcelArgument(Description = "The European Option.")] AsianOption option,
[QuantSAExcelArgument(Description = "The valuation date of the option.")] Date valueDate,
[QuantSAExcelArgument(Description = "The spot price of the underlying at the value date.")] double spot,
[QuantSAExcelArgument(Description = "Annualized volatility.")] double vol,
[QuantSAExcelArgument(Description = "Continuously compounded risk free rate.")] double rate,
[QuantSAExcelArgument(Description = "Continuously compounded dividend yield.", Default = "0.0")] double div,
[QuantSAExcelArgument(Description = "The number of averaging periods.")] int periods)
{
string[,] price = { { "price", option.MonteCarloPriceAndGreeks(valueDate, spot, vol, rate, div, AsianOptionEx.OptionPriceandGreeks.Price, periods).ToString() } };
return(price);
}
private void AsianOptionGTJACalc(String ValuationDate = "2018-06-29", Double vol = 0.12, Double spot = 1820, Double strike = 1850, string asianType = "ArithmeticAverage", Boolean isCall = true, Boolean isFixed = true,
double expectedPv = 0.03368701153344)
{
var valuationDate = DateFromStr(ValuationDate);
var maturityDate = DateFromStr("2018-11-01");
var calendar = CalendarImpl.Get("chn");
var obsStartDate = DateFromStr("2018-10-01");
var obsDates = calendar.BizDaysBetweenDatesInclEndDay(obsStartDate, maturityDate).ToArray();
#region comment
//var fixings = File.ReadAllLines(@"./Data/HistoricalEquityPrices/hs300.csv")
// .Select(x =>
// {
// var splits = x.Split(',');
// return Tuple.Create(new Date(DateTime.Parse(splits[0])), Double.Parse(splits[1]));
// }).ToDictionary(x => x.Item1, x => x.Item2);
//var initialSpot = fixings[startDate];
//fixings = fixings.Select(x => Tuple.Create(x.Key, x.Value / initialSpot)).Where(x => x.Item1 < startDate).ToDictionary(x => x.Item1, x => x.Item2);
#endregion comment
var option = new AsianOption(
valuationDate,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.CommodityFutures,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>(),
notional: 30000
);
var market = TestMarket(referenceDate: ValuationDate, vol: vol, spot: spot);
var analyticalEngine = new AnalyticalAsianOptionEngine();
var analyticalResult = analyticalEngine.Calculate(option, market, PricingRequest.All);
//var engine = new GenericMonteCarloEngine(2, 30000);
//var result = engine.Calculate(option, market, PricingRequest.All);
//Console.WriteLine("Analytical: {0},{1},{2},{3},{4},{5}", analyticalResult.Pv, analyticalResult.Delta, analyticalResult.Gamma, analyticalResult.Vega, analyticalResult.Rho, analyticalResult.Theta);
//Console.WriteLine("Monte Carlo: {0},{1},{2},{3},{4},{5}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho, result.Theta);
Assert.AreEqual(analyticalResult.Pv, expectedPv, 1e-1);
}
public void Task_2_7_1()
{
// Variance Process Values
double Kappa = 2;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double Maturity = 1;
List <double> MonitoringTimes = new List <double>
{
0.75,
1.00
};
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity);
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
AsianOption asianOption =
new AsianOption(StrikePrice, Type, Maturity, MonitoringTimes);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
AsianOptionMC asianOptionMC =
new AsianOptionMC(hestonModel, monteCarloSettings, asianOption);
Assert.AreEqual(13.6299, asianOptionMC.Price(1), 1e-1);
}
public void TestAsianOptionPvAgainistHaugerExcel()
{
var startDate = new Date(2015, 03, 19);
var maturityDate = new Term("183D").Next(startDate);
var calendar = CalendarImpl.Get("chn");
var oneWeek = new Term("7D");
var dates = new List <Date>()
{
new Date(2015, 03, 20)
};
for (int i = 1; i < 27; i++)
{
dates.Add(oneWeek.Next(dates[i - 1]));
}
var option = new AsianOption(
startDate,
maturityDate,
OptionExercise.European,
OptionType.Call,
AsianType.DiscreteArithmeticAverage,
StrikeStyle.Fixed,
100,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
dates.ToArray(),
new Dictionary <Date, double>()
);
var market = TestMarket2();
var analyticalEngine = new AnalyticalAsianOptionEngineLegacy();
var result = analyticalEngine.Calculate(option, market, PricingRequest.All);
Console.WriteLine("{0},{1},{2},{3},{4}", result.Pv, result.Delta, result.Gamma, result.Vega, result.Rho);
//Note: originally was 1.9622573116
Assert.AreEqual(2.91746104388858, result.Pv, 1e-8);
}
private void clearingButton_Click(object sender, EventArgs e)
{
sTextBox.Text = "";
kTextBox.Text = "";
tenorTextbox.Text = "";
sigTextBox.Text = "";
rTextBox.Text = "";
stepsTextBox.Text = "";
trialsTextBox.Text = "";
timerLabel.Text = "";
optionTypeComboBox.SelectedIndex = 0;
outputDataGridView.DataSource = AsianOption.SetDataTable();
//reset checkedbox
for (int i = 0; i < checkedListBox1.Items.Count; i++)
{
checkedListBox1.SetItemChecked(i, false);
}
}
private void calculate_Click(object sender, RoutedEventArgs e)
{
this.sw.Reset(); this.sw.Start();
graphPlot = new GraphPlotting();
this.DataContext = graphPlot;
this.graphs.IsEnabled = true;
if (this.simulationNumber > 500 && this.steps > 500)
{
this.graphs.ToolTip = "Graph may take time to load ";
}
else
{
this.graphs.ToolTip = "";
}
ISecurity underlying = new Stock(this.underlyingPrice);
Options option = null;
switch (this.kind)
{
case OptionKind.ASIAN:
option = new AsianOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.BARRIER:
option = new BarrierOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate, this.barrierOptiont);
break;
case OptionKind.DIGITAL:
option = new DigitalOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate);
break;
case OptionKind.EUROPEAN:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.LOOKBACK:
option = new LookbackOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.RANGE:
option = new RangeOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
default:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
}
try
{
Task work = Task.Factory.StartNew(() =>
{
this.Dispatcher.Invoke(() => this.progress.IsActive = true);
option.calulateOptionPriceAndGreeks(this.simulationNumber, this.rate, this.steps, this.anitheticReductionEnabled, this.controlVariateEnabled, this.multithreadingEnabled, plot: this.graphPlot);
this.sw.Stop();
this.Dispatcher.Invoke(() => { display(option); this.progress.IsActive = false; });
});
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
private void bPriceOptionBook_Click(object sender, RoutedEventArgs e)
{
graphPlot = new GraphPlotting();
graphs.DataContext = graphPlot;
Task work = Task.Factory.StartNew(() =>
{
var orderBook = model.OrderBookDBs.ToList();
foreach (var trade in orderBook)
{
if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Stocks"))
{
var instrument = model.StockDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
trade.FairPrice = trade.Price;
trade.Delta = trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity;
trade.ProfitLoss = 0;
trade.Theta = 0;
trade.Gamma = 0;
trade.Vega = 0;
trade.Rho = 0;
lock (lck)
{
model.SaveChanges();
}
}
else if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Options"))
{
var instrument = model.OptionsDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
Options option = null;
ISecurity underlying = new Stock(instrument.StockDB.LastTradedPrice);
switch (instrument.OptionKindDB.OptionKindName)
{
case "Asian Option":
option = new AsianOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.ASIAN);
break;
case "Barrier Option":
option = new BarrierOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.BARRIER, (Double)instrument.Barrier, (instrument.BarrierOptionType == "downout" ? BarrierOptionType.DOWNOUT : (instrument.BarrierOptionType == "downin" ? BarrierOptionType.DOWNIN : (instrument.BarrierOptionType == "upout" ? BarrierOptionType.UPOUT : BarrierOptionType.UPIN))));
break;
case "Digital Option":
option = new DigitalOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.DIGITAL, (Double)instrument.Rebate);
break;
case "European Option":
option = new EuropeanOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.EUROPEAN);
break;
case "Lookback Option":
option = new LookbackOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.LOOKBACK);
break;
case "Range Option":
option = new RangeOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.RANGE);
break;
default:
break;
}
try
{
option.calulateOptionPriceAndGreeks(1000, 0.05, (option.ExpiryDate - DateTime.Now).Days, true, option.OptionKind == OptionKind.EUROPEAN ? true : false, true, plot: graphPlot);
trade.FairPrice = Math.Round(option.Price, 4);
trade.ProfitLoss = Math.Round((Double)trade.FairPrice - (Double)trade.Price, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Delta = Math.Round(option.Greeks.Delta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Theta = Math.Round(option.Greeks.Theta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Gamma = Math.Round(option.Greeks.Gamma, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Vega = Math.Round(option.Greeks.Vega, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Rho = Math.Round(option.Greeks.Rho, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
lock (lck)
{
model.SaveChanges();
}
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
}
this.Dispatcher.Invoke(() => {
dataGrid.DataContext = orderBook;
});
});
}
public static void Task7()
{
// Variance Process Values
Console.WriteLine("Task 7");
// Variance Process Values
double Kappa = 2.0;
double Theta = 0.06;
double Sigma = 0.4;
double V0 = 0.04;
double Rho = 0.5;
// Heston Model Params
double InitialStockPrice = 100;
double RiskFreeRate = 0.1;
// Option Params
double StrikePrice = 100;
PayoffType Type = PayoffType.Call;
double[] Maturity = new double[3] {
1, 2, 3
};
VarianceProcessParameters varParams =
new VarianceProcessParameters(Kappa, Theta, Sigma, V0, Rho);
HestonModelParameters hestonModel =
new HestonModelParameters(InitialStockPrice, RiskFreeRate, varParams);
// ************Task 7 Print****************
System.Console.WriteLine("*********************");
HestonModelParamPrint(varParams, hestonModel);
// Monitoring Times
List <double> monTimes1 = new List <double>
{
0.75,
1.00
};
List <double> monTimes2 = new List <double>
{
0.25, 0.5, 0.75, 1.00, 1.25, 1.5, 1.75
};
List <double> monTimes3 = new List <double>
{
1.00, 2.00, 3.00
};
List <List <double> > MonitoringTimes = new List <List <double> >
{
monTimes1, monTimes2, monTimes3
};
//Prepare csv
var csv = new StringBuilder();
String newLine = string.Format("K, T, Price");
csv.AppendLine(newLine);
for (int i = 0; i < 3; i++)
{
// MC Simulation Params
int NumberOfTrials = (int)1e5;
int NumberOfTimeSteps = (int)Math.Ceiling(365 * Maturity[i]);
AsianOption asianOption =
new AsianOption(StrikePrice, Type, Maturity[i], MonitoringTimes[i]);
MonteCarloSettings monteCarloSettings =
new MonteCarloSettings(NumberOfTrials, NumberOfTimeSteps);
double price = Heston.HestonAsianOptionPriceMC(hestonModel,
asianOption, monteCarloSettings);
System.Console.WriteLine("K={0}, T={1}, C_MC={2}", StrikePrice,
Maturity[i], price);
newLine = string.Format("{0}, {1}, {2}", StrikePrice, Maturity[i], price);
csv.AppendLine(newLine);
}
//Write to csv
File.WriteAllText(@"./task7.csv", csv.ToString());
System.Console.WriteLine("*********************");
System.Console.WriteLine("\n\n");
}
private void AsianOptionGreekTest(double vol = 0.28, double spot = 1.0, double strike = 1.03, Boolean isCall = true, string asianType = "ArithmeticAverage", Boolean isFixed = true,
string t0 = "2015-03-19", string t1 = "2015-03-20", double volMove = 0.10, double mktMove = 1e-4, double toleranceInPct = 2)
{
var T0 = DateFromStr(t0);
var T1 = DateFromStr(t1);
var spotNew = spot + spot * mktMove;
var volNew = vol + volMove;
var maturityDate = new Term("176D").Next(T0);
var calendar = CalendarImpl.Get("chn");
var obsDates = new[] {
new Date(2015, 4, 2), new Date(2015, 5, 4), new Date(2015, 6, 2), new Date(2015, 7, 2), new Date(2015, 8, 3), new Date(2015, 9, 2)
};
var valuationDay = t0;
var valuationDayNew = t1;
var option = new AsianOption(
T0,
maturityDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
ToAsianType(asianType),
isFixed ? StrikeStyle.Fixed : StrikeStyle.Floating,
strike,
InstrumentType.EquityIndex,
calendar,
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
obsDates,
new Dictionary <Date, double>()
);
var market = TestMarket(referenceDate: t0, vol: vol, spot: spot);
var marketNew = TestMarket(referenceDate: t1, vol: volNew, spot: spotNew);
var marketPI = TestMarket(referenceDate: t0, vol: vol, spot: spotNew);
var marketVI = TestMarket(referenceDate: t0, vol: volNew, spot: spot);
var marketPVC = TestMarket(referenceDate: t0, vol: volNew, spot: spotNew);
var engine = new AnalyticalAsianOptionEngine();
var result = engine.Calculate(option, market, PricingRequest.All);
var resultNew = engine.Calculate(option, marketNew, PricingRequest.All);
var resultPI = engine.Calculate(option, marketPI, PricingRequest.All);
var resultVI = engine.Calculate(option, marketVI, PricingRequest.All);
var resultPVC = engine.Calculate(option, marketPVC, PricingRequest.All);
var actualPL = resultNew.Pv - result.Pv;
//price Impact
//PI = PV(t-1, priceNew) - Pv(t-1)
var basePv = result.Pv;
var PI = resultPI.Pv - basePv;
var thetapl = result.Theta * (T1 - T0);
//vol impact
//VI = PV(t-1. volNew) - Pv (t-1)
var VI = resultVI.Pv - basePv;
//price vol cross impact
//PVC = PV(t-1. volNew, PriceNew) - Pv (t-1) - (PI+VI)
var PVC = resultPVC.Pv - basePv - PI - VI;
var newEstimate = PI + VI + PVC + thetapl;
var newUnexplained = actualPL - newEstimate;
//Time impact
//TI = PV(t, all OldInfo) - Pv(t-1)
//TODO:
//Time/ price cross Impact
//TPC = PV(t, priceNew) - pv(t-1) - (TI +PI)
//Time/vol cross impact
//TVC = PV(t, volNew) - pv(t-1) -(TI+VI)
//TODO:
//in case of big move ( vol and spot), we need high order risk to explain pnl
//var diff = actualPL - esimstatedPL;
//Assert.AreEqual(true, Math.Abs(diff / actualPL) * 100.0 < toleranceInPct); //pnl well explained in not too extreme moves
Assert.AreEqual(true, Math.Abs(newUnexplained / actualPL) * 100.0 < toleranceInPct);
}
private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
{
BackgroundWorker worker = sender as BackgroundWorker;
object[] parameters = e.Argument as object[];
int steps = Convert.ToInt16(parameters[5]);
int trials = Convert.ToInt32(parameters[6]);
double s = Convert.ToDouble(parameters[0]);
double k = Convert.ToDouble(parameters[1]);
double t = Convert.ToDouble(parameters[2]);
double sig = Convert.ToDouble(parameters[3]);
double r = Convert.ToDouble(parameters[4]);
string type = parameters[7].ToString();
double exoticAmount = Convert.ToDouble(parameters[8]);
try
{
for (int i = 1; i <= 1; i++)
{
if (worker.CancellationPending == true)
{
e.Cancel = true;
break;
}
else
{
switch (type)
{
case "None":
e.Result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Asian":
e.Result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Barrier":
e.Result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Digital":
e.Result = DigitalOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Lookback":
e.Result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Range":
e.Result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
default:
break;
}
// Perform a time consuming operation and report progress.
Thread.Sleep(100);
worker.ReportProgress(i * 100);
}
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
private void priceTradeBookToolStripMenuItem_Click(object sender, EventArgs e)
{
foreach (ListViewItem i in ListTrade.Items)
{
Int32 tmp = Convert.ToInt32(i.Text);
Trade tt = (from q in AppEntities.Trades
where q.Id == tmp
select q).FirstOrDefault();
double s = getLatestPrice(tt.Instrument);
double k = Convert.ToDouble(tt.Instrument.Strike);
double t = (double)tt.Instrument.Tenor;
double r = getInterestRate(tt.Instrument);
double sig = Convert.ToDouble(textBoxVol.Text) / 100.0;
int instrumentTypeId = (Int32)tt.Instrument.InstrumentTypeId;
int barrierTypeId = (Int32)tt.Instrument.BarrierTypeId;
double barrier = (double)tt.Instrument.Barrier;
double rebate = (double)tt.Instrument.Rebate;
int steps = 100, trials = 10000;
DataSet result = new DataSet();
Dictionary <String, double> stockMetric = new Dictionary <string, double>();
stockMetric.Add("Delta", 1);
switch (instrumentTypeId)
{
case 1:
stockMetric.Add("Delta", 1);
break;
case 2:
result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case 3:
result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case 4:
result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, barrier);
break;
case 5:
result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, rebate);
break;
case 6:
result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, 0);
break;
default:
break;
}
ListViewItem i2;
i2 = new ListViewItem();
i2.Text = tt.Id.ToString();
i2.SubItems.Add(tt.Instrument.Ticker);
i2.SubItems.Add(tt.Instrument.InstrumentType.TypeName);
i2.SubItems.Add(tt.IsBuy ? "BUY" : "SELL");
i2.SubItems.Add(tt.Quantity.ToString());
i2.SubItems.Add(tt.Price.ToString());
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
ListTrade.Items.Add(i2);
}
}
