private void CalculateData()
{
//read data: S,K,r,Sigma,T,Trials,steps
label_bar.Text = "Reading data";
inprogress(10);
//S means underlying
double S = Convert.ToDouble(TextBox_S.Text);
//K means strike price
double K = Convert.ToDouble(TextBox_K.Text);
//r means the interest rate
double r = Convert.ToDouble(TextBox_r.Text);
//Sigma means volatility
double Sigma = Convert.ToDouble(TextBox_Sigma.Text);
//T means tenor
double T = Convert.ToDouble(TextBox_T.Text);
//Trials means the trials of Mento Carlo Simulations
int Trials = Convert.ToInt32(TextBox_Sims.Text);
//steps means the steps to calculate the option price
int steps = Convert.ToInt32(TextBox_Steps.Text);
bool Type = Convert.ToBoolean(Radio_Call.Checked);
bool AntVar = Convert.ToBoolean(checkbox_AntVar.Checked);
bool CV = Convert.ToBoolean(checkbox_CV.Checked);
bool Multithreading = Convert.ToBoolean(checkBox_MT.Checked);
//European
if (comboBox1.SelectedIndex == 0)
{
//store the data
Option Euroption = new European(S, K, r, Sigma, T, Trials, steps, Type, AntVar, CV, Multithreading, 0, 0, 0);
//option price
label_bar.Text = "Calculating Price";
inprogress(30);
TextBox_Price.Text = Convert.ToString(Euroption.OptionPrice()[0]);
//delta
label_bar.Text = "Calculating Delta";
inprogress(40);
TextBox_Delta.Text = Convert.ToString(Euroption.Delta());
//gamma
label_bar.Text = "Calculating Gamma";
inprogress(50);
TextBox_Gamma.Text = Convert.ToString(Euroption.Gamma());
//vega
label_bar.Text = "Calculating Vega";
inprogress(60);
TextBox_Vega.Text = Convert.ToString(Euroption.Vega());
//theta
label_bar.Text = "Calculating Theta";
inprogress(70);
TextBox_Theta.Text = Convert.ToString(Euroption.Theta());
//rho
label_bar.Text = "Calculating Rho";
inprogress(80);
TextBox_Rho.Text = Convert.ToString(Euroption.Rho());
//standard error
label_bar.Text = "Calculating Standard Error";
inprogress(90);
TextBox_Std.Text = Convert.ToString(Euroption.OptionPrice()[1]);
TextBox_Cores.Text = Convert.ToString(Euroption.core_num());
label_bar.Text = "Done.";
inprogress(100);
}
//Asian
if (comboBox1.SelectedIndex == 1)
{
//store the data
Option AsianOption = new Asian(S, K, r, Sigma, T, Trials, steps, Type, AntVar, CV, Multithreading, 0, 0, 0);
//option price
label_bar.Text = "Calculating Price";
inprogress(30);
TextBox_Price.Text = Convert.ToString(AsianOption.OptionPrice()[0]);
//delta
label_bar.Text = "Calculating Delta";
inprogress(40);
TextBox_Delta.Text = Convert.ToString(AsianOption.Delta());
//gamma
label_bar.Text = "Calculating Gamma";
inprogress(50);
TextBox_Gamma.Text = Convert.ToString(AsianOption.Gamma());
//vega
label_bar.Text = "Calculating Vega";
inprogress(60);
TextBox_Vega.Text = Convert.ToString(AsianOption.Vega());
//theta
label_bar.Text = "Calculating Theta";
inprogress(70);
TextBox_Theta.Text = Convert.ToString(AsianOption.Theta());
//rho
label_bar.Text = "Calculating Rho";
inprogress(80);
TextBox_Rho.Text = Convert.ToString(AsianOption.Rho());
//standard error
label_bar.Text = "Calculating Standard Error";
inprogress(90);
TextBox_Std.Text = Convert.ToString(AsianOption.OptionPrice()[1]);
TextBox_Cores.Text = Convert.ToString(AsianOption.core_num());
label_bar.Text = "Done.";
inprogress(100);
}
//Digital
if (comboBox1.SelectedIndex == 2)
{
//store the data
if (TextBox_Rebate.Text == string.Empty)
{
label_bar.Text = "Missing some inputs";
}
else
{
double Rebate = Convert.ToDouble(TextBox_Rebate.Text);
Option DigitalOption = new Digital(S, K, r, Sigma, T, Trials, steps, Type, AntVar, CV, Multithreading, Rebate, 0, 0);
//option price
label_bar.Text = "Calculating Price";
inprogress(30);
TextBox_Price.Text = Convert.ToString(DigitalOption.OptionPrice()[0]);
//delta
label_bar.Text = "Calculating Delta";
inprogress(40);
TextBox_Delta.Text = Convert.ToString(DigitalOption.Delta());
//gamma
label_bar.Text = "Calculating Gamma";
inprogress(50);
TextBox_Gamma.Text = Convert.ToString(DigitalOption.Gamma());
//vega
label_bar.Text = "Calculating Vega";
inprogress(60);
TextBox_Vega.Text = Convert.ToString(DigitalOption.Vega());
//theta
label_bar.Text = "Calculating Theta";
inprogress(70);
TextBox_Theta.Text = Convert.ToString(DigitalOption.Theta());
//rho
label_bar.Text = "Calculating Rho";
inprogress(80);
TextBox_Rho.Text = Convert.ToString(DigitalOption.Rho());
//standard error
label_bar.Text = "Calculating Standard Error";
inprogress(90);
TextBox_Std.Text = Convert.ToString(DigitalOption.OptionPrice()[1]);
TextBox_Cores.Text = Convert.ToString(DigitalOption.core_num());
label_bar.Text = "Done.";
inprogress(100);
}
}
//Barrier
if (comboBox1.SelectedIndex == 3)
{
//store the data
if (TextBox_Barrier.Text == string.Empty)
{
label_bar.Text = "Missing some inputs";
}
else
{
double Barrier = Convert.ToDouble(TextBox_Barrier.Text);
int barrtype = Convert.ToInt32(comboBox2.SelectedIndex);
Option BarrierOption = new Barrier(S, K, r, Sigma, T, Trials, steps, Type, AntVar, CV, Multithreading, 0, Barrier, barrtype);
//option price
label_bar.Text = "Calculating Price";
inprogress(30);
TextBox_Price.Text = Convert.ToString(BarrierOption.OptionPrice()[0]);
//delta
label_bar.Text = "Calculating Delta";
inprogress(40);
TextBox_Delta.Text = Convert.ToString(BarrierOption.Delta());
//gamma
label_bar.Text = "Calculating Gamma";
inprogress(50);
TextBox_Gamma.Text = Convert.ToString(BarrierOption.Gamma());
//vega
label_bar.Text = "Calculating Vega";
inprogress(60);
TextBox_Vega.Text = Convert.ToString(BarrierOption.Vega());
//theta
label_bar.Text = "Calculating Theta";
inprogress(70);
TextBox_Theta.Text = Convert.ToString(BarrierOption.Theta());
//rho
label_bar.Text = "Calculating Rho";
inprogress(80);
TextBox_Rho.Text = Convert.ToString(BarrierOption.Rho());
//standard error
label_bar.Text = "Calculating Standard Error";
inprogress(90);
TextBox_Std.Text = Convert.ToString(BarrierOption.OptionPrice()[1]);
TextBox_Cores.Text = Convert.ToString(BarrierOption.core_num());
label_bar.Text = "Done.";
inprogress(100);
}
}
//Lookback
if (comboBox1.SelectedIndex == 4)
{
//store the data
Option LookbackOption = new Lookback(S, K, r, Sigma, T, Trials, steps, Type, AntVar, CV, Multithreading, 0, 0, 0);
//option price
label_bar.Text = "Calculating Price";
inprogress(30);
TextBox_Price.Text = Convert.ToString(LookbackOption.OptionPrice()[0]);
//delta
label_bar.Text = "Calculating Delta";
inprogress(40);
TextBox_Delta.Text = Convert.ToString(LookbackOption.Delta());
//gamma
label_bar.Text = "Calculating Gamma";
inprogress(50);
TextBox_Gamma.Text = Convert.ToString(LookbackOption.Gamma());
//vega
label_bar.Text = "Calculating Vega";
inprogress(60);
TextBox_Vega.Text = Convert.ToString(LookbackOption.Vega());
//theta
label_bar.Text = "Calculating Theta";
inprogress(70);
TextBox_Theta.Text = Convert.ToString(LookbackOption.Theta());
//rho
label_bar.Text = "Calculating Rho";
inprogress(80);
TextBox_Rho.Text = Convert.ToString(LookbackOption.Rho());
//standard error
label_bar.Text = "Calculating Standard Error";
inprogress(90);
TextBox_Std.Text = Convert.ToString(LookbackOption.OptionPrice()[1]);
TextBox_Cores.Text = Convert.ToString(LookbackOption.core_num());
label_bar.Text = "Done.";
inprogress(100);
}
//Range
if (comboBox1.SelectedIndex == 5)
{
//store the data
Option RangeOption = new Range(S, K, r, Sigma, T, Trials, steps, Type, AntVar, CV, Multithreading, 0, 0, 0);
//option price
label_bar.Text = "Calculating Price";
inprogress(30);
TextBox_Price.Text = Convert.ToString(RangeOption.OptionPrice()[0]);
//delta
label_bar.Text = "Calculating Delta";
inprogress(40);
TextBox_Delta.Text = Convert.ToString(RangeOption.Delta());
//gamma
label_bar.Text = "Calculating Gamma";
inprogress(50);
TextBox_Gamma.Text = Convert.ToString(RangeOption.Gamma());
//vega
label_bar.Text = "Calculating Vega";
inprogress(60);
TextBox_Vega.Text = Convert.ToString(RangeOption.Vega());
//theta
label_bar.Text = "Calculating Theta";
inprogress(70);
TextBox_Theta.Text = Convert.ToString(RangeOption.Theta());
//rho
label_bar.Text = "Calculating Rho";
inprogress(80);
TextBox_Rho.Text = Convert.ToString(RangeOption.Rho());
//standard error
label_bar.Text = "Calculating Standard Error";
inprogress(90);
TextBox_Std.Text = Convert.ToString(RangeOption.OptionPrice()[1]);
TextBox_Cores.Text = Convert.ToString(RangeOption.core_num());
label_bar.Text = "Done.";
inprogress(100);
}
}
private void priceBookUsingSimulationToolStripMenuItem_Click(object sender, EventArgs e)
{
double vol = Convert.ToDouble(textBox_vol.Text) / 100;
var query1 = from i in Program.PMC.Prices select i;
//if just 2 rates
if ((from i in Program.PMC.InterestRates select i.Rate).Count() < 3)
{
MessageBox.Show("Please add more interest rate!");
}
else
{
// if the prices is not enough
if ((query1.Count() == 0) || (query1.Count() < (from i in Program.PMC.Instruments where i.InstType.TypeName == "Stock" select i).Count()))
{
MessageBox.Show("Please add more historical prices!");
}
else
{
listView_Alltrades.BeginUpdate();
foreach (ListViewItem i in listView_Alltrades.Items)
{
int id = Convert.ToInt32(i.SubItems[0].Text);
Trade trade = Program.PMC.Trades.SingleOrDefault(j => j.Id == id);
if (id > 0)
{
int direction;
if (i.SubItems[1].Text == "BUY")
{
direction = 1;
}
else
{
direction = -1;
}
int quantity = Convert.ToInt32(i.SubItems[2].Text);
string instrument = i.SubItems[3].Text;
string instrtype = i.SubItems[4].Text;
double marketprice = Convert.ToDouble(i.SubItems[5].Text);
//get the id of instrument
int Instid = GetData.InstrumentID(instrument);
Instrument instrument1 = GetData.instrument(Instid);
double S = GetData.S(id);
double K = GetData.strike(Instid);
double t = GetData.tenor(Instid);
double r = GetData.rate(t, Instid);
double rebate = Convert.ToDouble(instrument1.Rebate);
double barrier = Convert.ToDouble(instrument1.Barrier);
int barriertype = 0;
if (instrument1.BarrierType == "Down and out")
{
barriertype = 1;
}
if (instrument1.BarrierType == "Up and out")
{
barriertype = 2;
}
if (instrument1.BarrierType == "Down and in")
{
barriertype = 3;
}
if (instrument1.BarrierType == "Up and in")
{
barriertype = 4;
}
int optiontype = 0;
if (instrtype == "Stock")
{
optiontype = 0;
}
if (instrtype == "EuropeanOption")
{
optiontype = 1;
}
if (instrtype == "AsianOption")
{
optiontype = 2;
}
if (instrtype == "DigitalOption")
{
optiontype = 3;
}
if (instrtype == "BarrierOption")
{
optiontype = 4;
}
if (instrtype == "LookbackOption")
{
optiontype = 5;
}
if (instrtype == "RangeOption")
{
optiontype = 6;
}
bool Iscall;
if (instrument1.IsCall == true)
{
Iscall = true;
}
else
{
Iscall = false;
}
if (optiontype == 0)
{
//stock
//market price
i.SubItems.Add(Convert.ToString(S));
//P&L
i.SubItems.Add(((S - marketprice) * direction * quantity).ToString());
//delta
i.SubItems.Add(Convert.ToString(direction * quantity));
//gamma
i.SubItems.Add(Convert.ToString(0));
//vega
i.SubItems.Add(Convert.ToString(0));
//rho
i.SubItems.Add(Convert.ToString(0));
//theta
i.SubItems.Add(Convert.ToString(0));
}
//European
if (optiontype == 1)
{
//option
MonteCarloSim_ExoticOptions.Option European = new MonteCarloSim_ExoticOptions.European(S, K, r, vol, t, 10000, 50, Iscall, true, false, true, 0, 0, 0);
//market price
i.SubItems.Add(Convert.ToString(European.OptionPrice()[0]));
//P&L
i.SubItems.Add(Convert.ToString((European.OptionPrice()[0] - marketprice) * direction * quantity));
//delta
i.SubItems.Add(Convert.ToString(direction * quantity * European.Delta()));
//gamma
i.SubItems.Add(Convert.ToString(direction * quantity * European.Gamma()));
//vega
i.SubItems.Add(Convert.ToString(direction * quantity * European.Vega()));
//theta
i.SubItems.Add(Convert.ToString(direction * quantity * European.Theta()));
//rho
i.SubItems.Add(Convert.ToString(direction * quantity * European.Rho()));
}
//Asian
if (optiontype == 2)
{
//option
MonteCarloSim_ExoticOptions.Option AisanOption = new MonteCarloSim_ExoticOptions.Asian(S, K, r, vol, t, 10000, 50, Iscall, true, false, true, 0, 0, 0);
//market price
i.SubItems.Add(Convert.ToString(AisanOption.OptionPrice()[0]));
//P&L
i.SubItems.Add(Convert.ToString((AisanOption.OptionPrice()[0] - marketprice) * direction * quantity));
//delta
i.SubItems.Add(Convert.ToString(direction * quantity * AisanOption.Delta()));
//gamma
i.SubItems.Add(Convert.ToString(direction * quantity * AisanOption.Gamma()));
//vega
i.SubItems.Add(Convert.ToString(direction * quantity * AisanOption.Vega()));
//theta
i.SubItems.Add(Convert.ToString(direction * quantity * AisanOption.Theta()));
//rho
i.SubItems.Add(Convert.ToString(direction * quantity * AisanOption.Rho()));
}
//Digital
if (optiontype == 3)
{
//option
MonteCarloSim_ExoticOptions.Option DigitalOption = new MonteCarloSim_ExoticOptions.Digital(S, K, r, vol, t, 10000, 50, Iscall, true, false, true, rebate, 0, 0);
//market price
i.SubItems.Add(Convert.ToString(DigitalOption.OptionPrice()[0]));
//P&L
i.SubItems.Add(Convert.ToString((DigitalOption.OptionPrice()[0] - marketprice) * direction * quantity));
//delta
i.SubItems.Add(Convert.ToString(direction * quantity * DigitalOption.Delta()));
//gamma
i.SubItems.Add(Convert.ToString(direction * quantity * DigitalOption.Gamma()));
//vega
i.SubItems.Add(Convert.ToString(direction * quantity * DigitalOption.Vega()));
//theta
i.SubItems.Add(Convert.ToString(direction * quantity * DigitalOption.Theta()));
//rho
i.SubItems.Add(Convert.ToString(direction * quantity * DigitalOption.Rho()));
}
//Barrier
if (optiontype == 4)
{
//option
MonteCarloSim_ExoticOptions.Option BarrierOption = new MonteCarloSim_ExoticOptions.Barrier(S, K, r, vol, t, 10000, 50, Iscall, true, false, true, 0, barrier, barriertype);
//market price
i.SubItems.Add(Convert.ToString(BarrierOption.OptionPrice()[0]));
//P&L
i.SubItems.Add(Convert.ToString((BarrierOption.OptionPrice()[0] - marketprice) * direction * quantity));
//delta
i.SubItems.Add(Convert.ToString(direction * quantity * BarrierOption.Delta()));
//gamma
i.SubItems.Add(Convert.ToString(direction * quantity * BarrierOption.Gamma()));
//vega
i.SubItems.Add(Convert.ToString(direction * quantity * BarrierOption.Vega()));
//theta
i.SubItems.Add(Convert.ToString(direction * quantity * BarrierOption.Theta()));
//rho
i.SubItems.Add(Convert.ToString(direction * quantity * BarrierOption.Rho()));
}
//Lookback
if (optiontype == 5)
{
//option
MonteCarloSim_ExoticOptions.Option LookbackOption = new MonteCarloSim_ExoticOptions.Lookback(S, K, r, vol, t, 10000, 50, Iscall, true, false, true, 0, 0, 0);
//market price
i.SubItems.Add(Convert.ToString(LookbackOption.OptionPrice()[0]));
//P&L
i.SubItems.Add(Convert.ToString((LookbackOption.OptionPrice()[0] - marketprice) * direction * quantity));
//delta
i.SubItems.Add(Convert.ToString(direction * quantity * LookbackOption.Delta()));
//gamma
i.SubItems.Add(Convert.ToString(direction * quantity * LookbackOption.Gamma()));
//vega
i.SubItems.Add(Convert.ToString(direction * quantity * LookbackOption.Vega()));
//theta
i.SubItems.Add(Convert.ToString(direction * quantity * LookbackOption.Theta()));
//rho
i.SubItems.Add(Convert.ToString(direction * quantity * LookbackOption.Rho()));
}
//Range
if (optiontype == 6)
{
//option
MonteCarloSim_ExoticOptions.Option RangeOption = new MonteCarloSim_ExoticOptions.Range(S, K, r, vol, t, 10000, 50, Iscall, true, false, true, 0, 0, 0);
//market price
i.SubItems.Add(Convert.ToString(RangeOption.OptionPrice()[0]));
//P&L
i.SubItems.Add(Convert.ToString((RangeOption.OptionPrice()[0] - marketprice) * direction * quantity));
//delta
i.SubItems.Add(Convert.ToString(direction * quantity * RangeOption.Delta()));
//gamma
i.SubItems.Add(Convert.ToString(direction * quantity * RangeOption.Gamma()));
//vega
i.SubItems.Add(Convert.ToString(direction * quantity * RangeOption.Vega()));
//theta
i.SubItems.Add(Convert.ToString(direction * quantity * RangeOption.Theta()));
//rho
i.SubItems.Add(Convert.ToString(direction * quantity * RangeOption.Rho()));
}
}
}
}
}
listView_Alltrades.EndUpdate();
}
