public AssocMatrix(AssocMatrix <AI1, AI2, V> mat2)
{
mat = new NumericMatrix <V>(mat2.mat);
r = new AssocArray <AI1, int>(mat2.r);
c = new AssocArray <AI2, int>(mat2.c);
keyRows = new Set <AI1>(mat2.keyRows);
keyColumns = new Set <AI2>(mat2.keyColumns);
}
public static void Main()
{
AssocArray <int, double> assArr = new AssocArray <int, double> ();
assArr[0] = 2.0;
assArr[100] = 3.0;
assArr[10] = 43.0;
assArr[1000] = 34.0;
Console.WriteLine(assArr[100]);
foreach (KeyValuePair <int, double> kvp in assArr)
{
Console.WriteLine("{0}, {1}", kvp.Key, kvp.Value);
}
Set <string> RowNames = new Set <string>();
RowNames.Insert("A1");
RowNames.Insert("A2");
RowNames.Insert("A3");
RowNames.Insert("A4");
RowNames.Insert("B1");
Set <string> ColNames = new Set <string>();
ColNames.Insert("C1");
ColNames.Insert("C2");
ColNames.Insert("C3");
ColNames.Insert("C4");
ColNames.Insert("C5");
//double defaultValue = 10.0;
// Contents of associative matrix (numeric values)
NumericMatrix <double> mat1 = new NumericMatrix <double>(RowNames.Size(), ColNames.Size());
mat1.initCells(3.0);
AssocMatrix <string, string, double> myMat = new AssocMatrix <string, string, double>(RowNames, ColNames, mat1);
Factory fs = new DoubleFactory();
object b;
b = fs.create();
Set <double> s1 = (Set <double>)b;
Console.WriteLine(s1.Size());
}
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");
}
// Print a two-dimensional associative array (typically, one time level);
// Recall: row, column and value parameters
public void printAssocMatrixInExcel <R, C, T>(AssocMatrix <R, C, T> matrix, string SheetName)
{
List <string> rowlabels = new List <string>();
List <string> columnlabels = new List <string>();
/*foreach (KeyValuePair<Key, Value> kvp in str)
* {
* Console.WriteLine("{0}, {1}", kvp.Key, kvp.Value);
* }
*/
// Create the row and column annotations
foreach (KeyValuePair <R, int> value in matrix.r)
{
rowlabels.Add(value.Key.ToString());
}
foreach (KeyValuePair <C, int> value in matrix.c)
{
columnlabels.Add(value.Key.ToString());
}
excel.AddMatrix(SheetName, matrix.mat, rowlabels, columnlabels);
}
// 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");
}
public static void Main()
{
AssocArray <int, double> assArr = new AssocArray <int, double> ();
assArr[0] = 2.0;
assArr[100] = 3.0;
assArr[10] = 43.0;
assArr[1000] = 34.0;
Console.WriteLine(assArr[100]);
foreach (KeyValuePair <int, double> kvp in assArr)
{
Console.WriteLine("{0}, {1}", kvp.Key, kvp.Value);
}
Set <string> names = new Set <string>();
names.Insert("A1");
names.Insert("A2");
names.Insert("A3");
names.Insert("A4");
names.Insert("B1");
double defaultValue = 10.0;
AssocArray <string, double> myAssocArray = new AssocArray <string, double>(names, defaultValue);
myAssocArray.print();
myAssocArray["A4"] = 99.99;
myAssocArray.print();
// Test other functions
AssocArray <string, double> myAssocArray2 = new AssocArray <string, double> (myAssocArray);
myAssocArray2.print();
AssocMatrix <string, string, double> myMat = new AssocMatrix <string, string, double>();
myMat.print();
// Create an associative matrix with 2 sets and a numeric matrix
NumericMatrix <double> mat1 = new NumericMatrix <double>(names.Size(), names.Size());
AssocMatrix <string, string, double> myMat2 = new AssocMatrix <string, string, double>(names, names, mat1);
myMat2.print();
// Now work with ranges in this associative matrix
SpreadSheetVertex <long, string> ul = new SpreadSheetVertex <long, string> (); // Upper left
ul.first = 1;
ul.second = "B";
SpreadSheetVertex <long, string> lr = new SpreadSheetVertex <long, string> (); // Lower right
lr.first = 3;
lr.second = "D";
SpreadSheetRange <long, string> myRange = new SpreadSheetRange <long, string>();
myRange.upperLeft = ul;
myRange.lowerRight = lr;
// myMat22.modify(myRange, Modifier1);
//print (*(myMat2.Data()));
// print(myMat2.extract(myRange));
SpreadSheetVertex <string, string> ul2 = new SpreadSheetVertex <string, string>(); // Upper left
ul2.first = "A1";
ul2.second = "A1";
SpreadSheetVertex <string, string> lr2 = new SpreadSheetVertex <string, string>(); // Upper left
lr2.first = "A4";
lr2.second = "A4";
SpreadSheetRange <string, string> myRange2 = new SpreadSheetRange <string, string>();
myRange2.upperLeft = ul2;
myRange2.lowerRight = lr2;
// Now work with Dates; 101 example, later more extensive, eg. I/O witb Excel
Set <DateTime> dates = new Set <DateTime>();
dates.Insert(DateTime.Now);
dates.Insert(new DateTime(2009, 3, 17));
NumericMatrix <double> payments = new NumericMatrix <double>(dates.Size(), dates.Size());
AssocMatrix <DateTime, DateTime, double> Sheet = new AssocMatrix <DateTime, DateTime, double>(dates, dates, payments);
}
