//multithreading for monte carlo simulation, method 2
private void multithread2()
{
int n = System.Environment.ProcessorCount;//the number of cores for CUP
Form1 form1 = new Form1();
double e = Convert.ToDouble(form1.volatility1.Value), d = Convert.ToDouble(form1.dividend1.Value);
List<int> row = new List<int>();
var inst = from i in portfolio.Trades
select i.Id;
foreach (var i in inst)
{
row.Add(i);
}
List<Basicvalue> basicvalue = new List<Basicvalue>();
Basicvalue basic = new Basicvalue();
for (int i = 0; i < row.Count; i++)
{
int m = row[i];
var inst2 = (from i2 in portfolio.Trades
where i2.Id == m
select i2).First();
basic.tradeprice = inst2.Price;
basic.S = Convert.ToDouble(inst2.UnderlyingP);
basic.instrumentid = inst2.InstrumentId;
basic.timestamp = inst2.Timestamp.ToString();
basic.quantity = Convert.ToDouble(inst2.Quantity);
var inst3 = (from i3 in portfolio.Instruments
where i3.Id == basic.instrumentid
select i3).First();
basic.K = Convert.ToDouble(inst3.Strike);
basic.T = Convert.ToDouble(inst3.Tenor);
basic.iscall = Convert.ToInt16(inst3.IsCall);
basic.insttypeid = Convert.ToInt16(inst3.InstTypeId);
double ratetemp = new double();
List<double> rate = new List<double>();
var inst4 = from i4 in portfolio.InterestRates
select i4;
List<InterestRate> ir = new List<InterestRate>();
foreach (var g in inst4)
{
ir.Add(g);
}
int h = 0;
while (basic.T < ir[h].Tenor)
h++;
if (h == 0)
{
double r = Convert.ToDouble(ir[h].Rate);
double t = Convert.ToDouble(ir[h].Tenor);
ratetemp = basic.T / t * Convert.ToDouble(r);
}
else
{
double r1 = Convert.ToDouble(ir[h - 1].Rate), r2 = Convert.ToDouble(ir[h].Rate); ;
double t1 = Convert.ToDouble(ir[h - 1].Tenor), t2 = Convert.ToDouble(ir[h].Tenor);
ratetemp = r2 + (r2 - r1) / (t2 - t1) * (basic.T - t1);
}
basic.r = Convert.ToDouble(ratetemp);
var inst5 = (from i5 in portfolio.InstTypes
where i5.Id == basic.insttypeid
select i5).First();
basic.insttype = inst5.TypeName;
basic.underlying = inst5.Underlying;
if (basic.insttype == "BarrierOption")
{
var inst6 = (from i6 in portfolio.BarrierOptions
where i6.InstTypeId == basic.insttypeid
select i6).First();
basic.isup = Convert.ToBoolean(inst6.IsUp);
basic.isin = Convert.ToBoolean(inst6.IsIn);
basic.barrier = Convert.ToDouble(inst6.barrier);
}
else if (basic.insttype == "DigitalOption")
{
var inst7 = (from i7 in portfolio.DigitalOptions
where i7.InstTypeId == basic.insttypeid
select i7).First();
basic.rebate = Convert.ToDouble(inst7.rebate);
}
else if (basic.insttype == "LookBackOption")
{
var inst8 = (from i8 in portfolio.LookBackOptions
where i8.InstTypeId == basic.insttypeid
select i8).First();
basic.isfix = Convert.ToBoolean(inst8.IsFixed);
}
if (n != 1)//If the number of core is not 2,4,8, change it to appropriate number
{
if (n % 2 != 0 && n < 4 && n > 1)
{
n = 2;
}
else if (n % 4 != 0 && n < 8 && n > 3)
{
n = 4;
}
else if (n % 8 != 0 && n > 8)
{
n = 8;
}
}
string s, udio = null, lo;
if (basic.iscall == 0)
s = "call";
else if (basic.iscall == 1)
s = "put";
else
s = "call";
if (basic.isup == true && basic.isin == true)
udio = "up_in";
else if (basic.isup == false && basic.isin == false)
udio = "up_out";
else if (basic.isin == true && basic.isup == false)
udio = "down_in";
else if (basic.isup == false && basic.isin == false)
udio = "down_out";
if (basic.isfix == true)
lo = "fix";
else
lo = "floating";
if (n == 1)//no need to use multithread
{
MessageBox.Show("CPU only have one core", "Information");
}
else
{
double[] greeks = new double[5];
if (n == 2)//two cores
{
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
multithreading mul = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Thread t1 = new Thread(new ParameterizedThreadStart(calc2));//This thread is to calculate the path and price
Thread t2 = new Thread(new ParameterizedThreadStart(sim.multiregualr));//This thread is to generate random numbers
t1.Name = "Thread_1";
t2.Name = "Thread_2";
t1.Start(mul);
t2.Start(mul);
t1.Join();
t2.Join();
for (int ii = 0; ii < 5; ii++)
greeks[ii] = (mul.greeks[ii]);
basic.mprice = mul.price[0];
basic.greek = greeks;
}
else if (n == 4)
{
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
multithreading mul1 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul2 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Thread t21 = new Thread(new ParameterizedThreadStart(sim.multiregualr));//Generate random numbers
Thread t22 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t11 = new Thread(new ParameterizedThreadStart(calc2));//Calculate the path and price
Thread t12 = new Thread(new ParameterizedThreadStart(calc2));
t11.Name = "Thread_11";
t12.Name = "Thread_12";
t21.Name = "Thread_21";
t22.Name = "Thread_22";
t21.Start(mul1);
t11.Start(mul1);
t21.Join();
t11.Join();
t22.Start(mul2);
t12.Start(mul2);
t22.Join();
t12.Join();
for (int ii = 0; ii < 5; ii++)
greeks[ii] = (mul1.greeks[ii] + mul2.greeks[ii]) * 0.5;
basic.mprice = mul1.price[0] + mul2.price[1];
basic.greek = greeks;
}
else if (n == 8)
{
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
multithreading mul1 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul2 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul3 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul4 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Thread t51 = new Thread(new ParameterizedThreadStart(sim.multiregualr));//Generate random numbers
Thread t52 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t31 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t32 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t21 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t22 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t11 = new Thread(new ParameterizedThreadStart(calc2));//Calculate path and price
Thread t12 = new Thread(new ParameterizedThreadStart(calc2));
Thread t41 = new Thread(new ParameterizedThreadStart(calc2));
Thread t42 = new Thread(new ParameterizedThreadStart(calc2));
Thread t61 = new Thread(new ParameterizedThreadStart(calc2));
Thread t62 = new Thread(new ParameterizedThreadStart(calc2));
t21.Start(mul1);
t11.Start(mul1);
t21.Join();
t11.Join();
t22.Start(mul2);
t12.Start(mul2);
t22.Join();
t12.Join();
t31.Start(mul3);
t41.Start(mul3);
t31.Join();
t41.Join();
t51.Start(mul4);
t61.Start(mul4);
t51.Join();
t61.Join();
for (int ii = 0; ii < 5; ii++)
greeks[ii] = (mul1.greeks[ii] + mul2.greeks[ii] + mul3.greeks[ii] + mul4.greeks[ii]) * 0.25;
basic.mprice = (mul1.price[0] + mul2.price[0] + mul3.price[0] + mul4.price[0]) * 0.25;
basic.greek = greeks;
}
}
basic.pl = (basic.tradeprice - basic.mprice) * basic.quantity;
var update = (from u in portfolio.Trades
where u.Id == n
select u).First();
update.PL = basic.pl;
update.MarketPrice = basic.mprice;
update.Delta = basic.greek[0];
update.Gamma = basic.greek[1];
update.Vega = basic.greek[2];
update.Theta = basic.greek[3];
update.Rho = basic.greek[4];
portfolio.SaveChanges();
basic = new Basicvalue();
}
MessageBox.Show("Done!", "Message", MessageBoxButtons.OK, MessageBoxIcon.Information);
}
//Monte Carlo Simulation
private void montecarlo()
{
try
{
Form1 form1 = new Form1();
double e = Convert.ToDouble(form1.volatility1.Value), d = Convert.ToDouble(form1.dividend1.Value);
List<int> row = new List<int>();
var inst = from i in portfolio.Trades
select i.Id;
foreach (var i in inst)
{
row.Add(i);
}
List<Basicvalue> basicvalue = new List<Basicvalue>();
Basicvalue basic = new Basicvalue();
for (int i = 0; i < row.Count; i++)//first find all the inputs I need from different table
{
int oo = row[i];
var type = (from q in portfolio.InstTypes
join j in portfolio.Instruments on q.Id equals j.InstTypeId
join k in portfolio.Trades on j.Id equals k.InstrumentId
where k.Id == oo
select q.TypeName).First();//find the insttype
if (type.ToUpper() == "STOCK")//stock do not need to do simulation
break;
int n = row[i];
var inst2 = (from i2 in portfolio.Trades
where i2.Id == n
select i2).First();//find the historical price for this trade
basic.tradeprice = inst2.Price;
basic.S = Convert.ToDouble(inst2.UnderlyingP);
basic.instrumentid = inst2.InstrumentId;
basic.timestamp = inst2.Timestamp.ToString();
basic.quantity = Convert.ToDouble(inst2.Quantity);
var inst3 = (from i3 in portfolio.Instruments
where i3.Id == basic.instrumentid
select i3).First();//find the strike tenor call or put for the trade
basic.K = Convert.ToDouble(inst3.Strike);
basic.T = Convert.ToDouble(inst3.Tenor);
basic.iscall = Convert.ToInt16(inst3.IsCall);
basic.insttypeid = Convert.ToInt16(inst3.InstTypeId);
double ratetemp = new double();//store the risk free rate
List<double> rate = new List<double>();
var inst4 = from i4 in portfolio.InterestRates
orderby i4.Tenor ascending
select i4;
List<InterestRate> ir = new List<InterestRate>();
foreach (var g in inst4)
{
ir.Add(g);
}
int h = 0;
while (basic.T < ir[h].Tenor)//find out the interval of the T, and compute the rate
h++;
if (h == 0)
{
double r = Convert.ToDouble(ir[h].Rate);
double t = Convert.ToDouble(ir[h].Tenor);
ratetemp = basic.T / t * Convert.ToDouble(r);
}
else
{
double r1 = Convert.ToDouble(ir[h - 1].Rate), r2 = Convert.ToDouble(ir[h].Rate); ;
double t1 = Convert.ToDouble(ir[h - 1].Tenor), t2 = Convert.ToDouble(ir[h].Tenor);
ratetemp = r2 + (r2 - r1) / (t2 - t1) * (basic.T - t1);
}
basic.r = Convert.ToDouble(ratetemp);
var inst5 = (from i5 in portfolio.InstTypes
where i5.Id == basic.insttypeid
select i5).First();
basic.insttype = inst5.TypeName;
basic.underlying = inst5.Underlying;
if (basic.insttype == "BarrierOption")
{
var inst6 = (from i6 in portfolio.BarrierOptions
where i6.InstTypeId == basic.insttypeid
select i6).First();
basic.isup = Convert.ToBoolean(inst6.IsUp);
basic.isin = Convert.ToBoolean(inst6.IsIn);
basic.barrier = Convert.ToDouble(inst6.barrier);
}
else if (basic.insttype == "DigitalOption")
{
var inst7 = (from i7 in portfolio.DigitalOptions
where i7.InstTypeId == basic.insttypeid
select i7).First();
basic.rebate = Convert.ToDouble(inst7.rebate);
}
else if (basic.insttype == "LookBackOption")
{
var inst8 = (from i8 in portfolio.LookBackOptions
where i8.InstTypeId == basic.insttypeid
select i8).First();
basic.isfix = Convert.ToBoolean(inst8.IsFixed);
}
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Option opt = new Option(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Greeks gre = new Greeks(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
bool isant = true;
string s = null; ;//store the choice call or put option
string s3 = null;//up,down,in,out
string s4 = null;//fixed, floating
double[,] randmatrix = new double[temp.trial, temp.step];// store the random matrix
double[] origin_price = new double[2];//store the price and standard deviation
double[] greeks;//store the greeks
if (antithetic.Checked == true)
isant = true;
else
isant = false;
randmatrix = sim.generateregular();//generate the random matrix
if (basic.iscall == 0)
s = "call";
else if (basic.iscall == 1)
s = "put";
else
s = "neither";
if (basic.isup == true && basic.isin == true)
s3 = "up_in";
else if (basic.isup == false && basic.isin == false)
s3 = "up_out";
else if (basic.isin == true && basic.isup == false)
s3 = "down_in";
else if (basic.isup == false && basic.isin == false)
s3 = "down_out";
if (basic.isfix == true)
s4 = "fix";
else
s4 = "floating";
switch (basic.insttype)
{
case "EuropeanOption":
European eur = new European(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, dcv.Checked);
origin_price = eur.Payoff(temp, randmatrix, isant, s);//calculate the option price
greeks = gre.calculate(temp, randmatrix, s, isant, eur.Payoff);//calculate the greeks
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "AsianOption":
Asian asi = new Asian(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, dcv.Checked);
origin_price = asi.Payoff(temp, randmatrix, isant, s);//calculate the option price
greeks = gre.calculate(temp, randmatrix, s, isant, asi.Payoff);//calculate the greeks
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "BarrierOption":
Barrier bar = new Barrier(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, basic.barrier, s3, dcv.Checked);
origin_price = bar.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, bar.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "DigitalOption":
Digital dig = new Digital(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, basic.rebate, dcv.Checked);
origin_price = dig.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, dig.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "LookbackOption":
LookBack look = new LookBack(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, s4, dcv.Checked);
origin_price = look.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, look.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "RangeOption":
Range rang = new Range(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
origin_price = rang.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, rang.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
}
basic.pl = (basic.tradeprice - basic.mprice) * basic.quantity;
var update = (from u in portfolio.Trades
where u.Id == n
select u).First();//update the price and greeks in trade
update.MarketPrice = basic.mprice;
update.PL = basic.pl;
update.Delta = basic.greek[0];
update.Gamma = basic.greek[1];
update.Vega = basic.greek[2];
update.Theta = basic.greek[3];
update.Rho = basic.greek[4];
portfolio.SaveChanges();
basic = new Basicvalue();
}
this.Close();
MessageBox.Show("Done! Please refresh the database again", "Notice", MessageBoxButtons.OK, MessageBoxIcon.Information);
}
catch { MessageBox.Show("Something wrong, please check wheather the inputs are correct."); }
}
