public static void Example5()
{
// 1. Create the date schedule data
DateTime startDate = new Date(2009, 8, 3).DateValue;
DateTime endDate = new Date(2014, 10, 3).DateValue;
bool adjusted = true;
int paymentPerYear = 2;
bool arrears = false;
int fixingDays = -2;
bool shortPeriod = true;
// 2. My date scheduled.
DateSchedule myDL_1 = new DateSchedule(startDate, endDate,
paymentPerYear, shortPeriod, adjusted, arrears, fixingDays);
// 3. Init a NumericMatrix<double> Class from my dates.
NumericMatrix <double> myDates = (NumericMatrix <double>)
myDL_1.GetLongScheduleSerial();
// 4. Create an associative matrix AssocMatrix with "header" label
// for columns and "n_lines" for rows 4A. Label for columns.
Set <string> header = new Set <string>();
header.Insert("FixingDate");
header.Insert("StartDate");
header.Insert("EndDate");
header.Insert("PaymentDate");
// 4B. Label for rows
Set <string> n_line = new Set <string>();
for (int i = 0; i < myDates.MaxRowIndex + 1; i++)
{
n_line.Insert("# " + (i + 1));
}
// 5. Creating AssocMatrix.
AssocMatrix <string, string, double> OutMatrix =
new AssocMatrix <string, string, double>(n_line, header, myDates);
// 6. Print associative matrices in Excel, to "My Date
// List" sheet, the output in Excel serial number format.
ExcelMechanisms exl = new ExcelMechanisms();
exl.printAssocMatrixInExcel <string, string, double>
(OutMatrix, "My Date List");
}
// Class ListedSTFutOption and AssocMatrix
public static void Example4()
{
// Stir (Short Term Interest Rate ) Option example.
// (Please check details on www.euronext.com) Example is based on Black Formula
// I create my option
STFutOption opx1 = new STFutOption(1, 97.935, 98.25, 175, 0.4756);
// option deltas
Console.WriteLine("{0}, {1}", opx1.Price(), opx1.Delta());
opx1.SwitchCallPut();
Console.WriteLine("{0}, {1}", opx1.Price(), opx1.Delta());
// Call and put checking deltas and call put parity
double S = 97.935;
double K = 98.25;
double DaysToExpiry = 175;
STFutOption Call = new STFutOption(1, S, K, 175, 0.4756);
STFutOption Put = new STFutOption(-1, S, K, 175, 0.4756);
Console.WriteLine("{0},{1},{2}", Call.Delta(), Put.Delta(), Call.Delta() - Put.Delta()); // Call/Put delta are reversed
Console.WriteLine("{0}", Call.Price() - Put.Price() - S + K); // Call/Put parity
// I will crate a matrix showing deltas of a option, for different underlying price (rows) and passing the time (columns)
// header Row: different value of underlying. the center is the current one
// header column: passing the time, less days to maturity
// Time passing - column
int d_columns = 20; // how many days from and including today
double shift_c = 1.0; // interval in days between each columns
// Changing value of underlying
int d_rows = 15; // how many values plus or minus the value
double shift_h = 0.10; // interval in underlying
NumericMatrix <double> deltaMatrix = new NumericMatrix <double>(d_rows * 2 + 1, d_columns);
// Underlying value
double d_r = -d_rows;
Set <double> underlying = new Set <double>();
for (int i = 0; i < deltaMatrix.Rows; i++)
{
underlying.Insert(S + d_r * shift_h);
d_r++;
}
// Days to maturity
double d_c = 0;
Set <double> days = new Set <double>();
for (int i = 0; i < deltaMatrix.Columns; i++)
{
days.Insert(DaysToExpiry + d_c * shift_c);
d_c--;
}
// Populate DeltaMatrix
int my_r = 1;
int my_c = 1;
foreach (double valueS in underlying)
{
Call.new_S = valueS;
foreach (double valueDays in days)
{
Call.new_DaysToExpiry = valueDays;
deltaMatrix[my_r, my_c] = Call.Delta();
my_c++;
}
my_r++;
my_c = 1;
}
// Creating AssocMatrix
AssocMatrix <double, double, double> OutMatrix = new AssocMatrix <double, double, double>(underlying, days, deltaMatrix);
// Print associative matrices in Excel, to "StirDeltas" sheet
ExcelMechanisms exl = new ExcelMechanisms();
exl.printAssocMatrixInExcel <double, double, double>(OutMatrix, "StirDeltas");
}
