Exemple #1
0
 private void button_Click(object sender, RoutedEventArgs e)
 {
     try                                                                 //error handle
     {
         double       stockprice = Convert.ToDouble(textBox_S.Text);     //get stock price from textbox
         double       strike     = Convert.ToDouble(textBox_K.Text);     // get strike price from textbox
         double       time       = Convert.ToDouble(textBox_T.Text);     //get tenor from textbox
         double       sigma      = Convert.ToDouble(textBox_sigma.Text); //get volitality from textbox
         double       r          = Convert.ToDouble(textBox_r.Text);     //get interest rate from textbox
         int          step       = Convert.ToInt32(textBox_step.Text);   //get num of steps of one simulation
         int          trial      = Convert.ToInt32(textBox_trial.Text);  //get num of trials
         option       a          = new option();
         randomnumber b          = new randomnumber();
         a.Strike          = strike;
         a.Stockprice      = stockprice;
         a.Step            = step;
         a.Trial           = trial;
         a.Time            = time;
         a.Vol             = sigma;
         a.Rate            = r;
         double[,] rmatrix = b.randommatrixgenerator(step, trial); //get random matrix
         a.Randommatrix    = rmatrix;
         if (radioButton.IsChecked == true)                        //get the option type if option is a call
         {
             double[] list1 = a.callgreek();                       //get result
             //output result to GUI
             textBox_delta.Text = Convert.ToString(list1[0]);
             textBox_gamma.Text = Convert.ToString(list1[1]);
             textBox_vega.Text  = Convert.ToString(list1[2]);
             textBox_rho.Text   = Convert.ToString(list1[3]);
             textBox_theta.Text = Convert.ToString(list1[4]);
             textBox_Price.Text = Convert.ToString(list1[5]);
             textBox_std.Text   = Convert.ToString(list1[6]);
         }
         else if (radioButton1.IsChecked == true)  //if option is a put
         {
             double[] list1 = a.putgreek();
             //output result to GUI
             textBox_delta.Text = Convert.ToString(list1[0]);
             textBox_gamma.Text = Convert.ToString(list1[1]);
             textBox_vega.Text  = Convert.ToString(list1[2]);
             textBox_rho.Text   = Convert.ToString(list1[3]);
             textBox_theta.Text = Convert.ToString(list1[4]);
             textBox_Price.Text = Convert.ToString(list1[5]);
             textBox_std.Text   = Convert.ToString(list1[6]);
         }
         else  //if the optiontype is not determined
         {
             MessageBox.Show("optiontype can't be null");
         }
     }
     catch (Exception x)
     {
         MessageBox.Show("Error:" + x);
     }
 }
 private void button_Click(object sender, RoutedEventArgs e)
 {
     try     //error handle
     {
         progress = 0;
         watch.Reset();
         watch.Start();
         Thread t1         = new Thread(new ThreadStart(dowork)); t1.Start();
         double stockprice = Convert.ToDouble(textBox_S.Text);     //get stock price from textbox
         double strike     = Convert.ToDouble(textBox_K.Text);     // get strike price from textbox
         double time       = Convert.ToDouble(textBox_T.Text);     //get tenor from textbox
         double sigma      = Convert.ToDouble(textBox_sigma.Text); //get volitality from textbox
         double r          = Convert.ToDouble(textBox_r.Text);     //get interest rate from textbox
         int    step       = Convert.ToInt32(textBox_step.Text);   //get num of steps of one simulation
         int    trial      = Convert.ToInt32(textBox_trial.Text);  //get num of trials
         int    core       = System.Environment.ProcessorCount;    //get num of core
         textBox_time_core.Text = Convert.ToString(core);
         option       a = new option();
         randomnumber b = new randomnumber();
         a.Strike          = strike;
         a.Stockprice      = stockprice;
         a.Step            = step;
         a.Trial           = trial;
         a.Time            = time;
         a.Vol             = sigma;
         a.Rate            = r;
         double[,] rmatrix = new double[step, trial];
         if (mutiple.IsChecked == true) //use mutiple thread
         {
             mutiplethread thread = new mutiplethread();
             thread.Strike     = strike;
             thread.Stockprice = stockprice;
             thread.Step       = step;
             thread.Trial      = trial;
             thread.Time       = time;
             thread.Vol        = sigma;
             thread.Rate       = r;
             thread.getlength();
             bool boolantithetic = (antithetic.IsChecked == true);
             bool boolcvmethod   = (control_variate.IsChecked == true);
             bool boolcall       = true;
             if (callButton.IsChecked == true)
             {
                 boolcall = (callButton.IsChecked == true);
             }
             else if (putButton1.IsChecked == true)
             {
                 boolcall = (putButton1.IsChecked == false);
             }
             else
             {
                 MessageBox.Show("optiontype can't be null");
             }
             //create a list1 to save output
             double[] list1 = thread.threadpractice(strike, stockprice, r, sigma, step, trial, core, time, boolantithetic, boolcvmethod, boolcall);
             textBox_delta.Text = Convert.ToString(list1[0]);
             textBox_gamma.Text = Convert.ToString(list1[1]);
             textBox_vega.Text  = Convert.ToString(list1[2]);
             textBox_rho.Text   = Convert.ToString(list1[3]);
             textBox_theta.Text = Convert.ToString(list1[4]);
             textBox_Price.Text = Convert.ToString(list1[5]);
             textBox_se.Text    = Convert.ToString(list1[6]);
         }
         else //not use mutiple thread
         {
             if (antithetic.IsChecked == true)
             {
                 rmatrix = b.antitheticgenerator(step, trial);
             }                                                //use antithetic method to get random matrix
             else
             {
                 rmatrix = b.randommatrixgenerator(step, trial);
             }                                           //get random matrix
             a.Randommatrix = rmatrix;
             if (callButton.IsChecked == true)           //get the option type if option is a call
             {
                 if (control_variate.IsChecked == false) //if not use cv method
                 {
                     double[] list1 = a.callgreek();     //get result
                                                         //output result to GUI
                     textBox_delta.Text = Convert.ToString(list1[0]);
                     textBox_gamma.Text = Convert.ToString(list1[1]);
                     textBox_vega.Text  = Convert.ToString(list1[2]);
                     textBox_rho.Text   = Convert.ToString(list1[3]);
                     textBox_theta.Text = Convert.ToString(list1[4]);
                     textBox_Price.Text = Convert.ToString(list1[5]);
                     if (antithetic.IsChecked == true) //if use antithetic variance reduction
                     {
                         textBox_se.Text = Convert.ToString(list1[7]);
                     }
                     else
                     {
                         textBox_se.Text = Convert.ToString(list1[6]);//if use traditional way to produce random number
                     }
                 }
                 else //use the cv method
                 {
                     double[] list1 = a.CVcallgreek();  //get result
                                                        //output result to GUI
                     textBox_delta.Text = Convert.ToString(list1[0]);
                     textBox_gamma.Text = Convert.ToString(list1[1]);
                     textBox_vega.Text  = Convert.ToString(list1[2]);
                     textBox_rho.Text   = Convert.ToString(list1[3]);
                     textBox_theta.Text = Convert.ToString(list1[4]);
                     textBox_Price.Text = Convert.ToString(list1[5]);
                     if (antithetic.IsChecked == true) //if use antithetic variance reduction
                     {
                         textBox_se.Text = Convert.ToString(list1[7]);
                     }
                     else
                     {
                         textBox_se.Text = Convert.ToString(list1[6]);//if use traditional way to produce random number
                     }
                 }
             }
             else if (putButton1.IsChecked == true)      //if option is a put
             {
                 if (control_variate.IsChecked == false) //if not use the cv method
                 {
                     double[] list1 = a.putgreek();
                     //output result to GUI
                     textBox_delta.Text = Convert.ToString(list1[0]);
                     textBox_gamma.Text = Convert.ToString(list1[1]);
                     textBox_vega.Text  = Convert.ToString(list1[2]);
                     textBox_rho.Text   = Convert.ToString(list1[3]);
                     textBox_theta.Text = Convert.ToString(list1[4]);
                     textBox_Price.Text = Convert.ToString(list1[5]);
                     if (antithetic.IsChecked == true)
                     {
                         textBox_se.Text = Convert.ToString(list1[7]);
                     }
                     else
                     {
                         textBox_se.Text = Convert.ToString(list1[6]);
                     }
                 }
                 else  //if use the cv method
                 {
                     double[] list1 = a.CVputgreek();
                     //output result to GUI
                     textBox_delta.Text = Convert.ToString(list1[0]);
                     textBox_gamma.Text = Convert.ToString(list1[1]);
                     textBox_vega.Text  = Convert.ToString(list1[2]);
                     textBox_rho.Text   = Convert.ToString(list1[3]);
                     textBox_theta.Text = Convert.ToString(list1[4]);
                     textBox_Price.Text = Convert.ToString(list1[5]);
                     if (antithetic.IsChecked == true)
                     {
                         textBox_se.Text = Convert.ToString(list1[7]);
                     }
                     else
                     {
                         textBox_se.Text = Convert.ToString(list1[6]);
                     }
                 }
             }
             else  //if the optiontype is not determined
             {
                 MessageBox.Show("optiontype can't be null");
             }
         }
     }
     catch (Exception x)
     {
         MessageBox.Show("Error:" + x);
     }
     watch.Stop(); //add timer
     textBox_time.Text = watch.Elapsed.Hours.ToString() + ":" + watch.Elapsed.Minutes.ToString() + ":" + watch.Elapsed.Seconds.ToString() + ":" + watch.Elapsed.Milliseconds.ToString();
 }
 private void button_Click(object sender, RoutedEventArgs e)
 {
     try     //error handle
     {
         watch.Reset();
         watch.Start();
         double       stockprice = Convert.ToDouble(textBox_S.Text);     //get stock price from textbox
         double       strike     = Convert.ToDouble(textBox_K.Text);     // get strike price from textbox
         double       time       = Convert.ToDouble(textBox_T.Text);     //get tenor from textbox
         double       sigma      = Convert.ToDouble(textBox_sigma.Text); //get volitality from textbox
         double       r          = Convert.ToDouble(textBox_r.Text);     //get interest rate from textbox
         int          step       = Convert.ToInt32(textBox_step.Text);   //get num of steps of one simulation
         int          trial      = Convert.ToInt32(textBox_trial.Text);  //get num of trials
         option       a          = new option();
         randomnumber b          = new randomnumber();
         a.Strike          = strike;
         a.Stockprice      = stockprice;
         a.Step            = step;
         a.Trial           = trial;
         a.Time            = time;
         a.Vol             = sigma;
         a.Rate            = r;
         double[,] rmatrix = new double[step, trial];
         if (antithetic.IsChecked == true)
         {
             rmatrix = b.antitheticgenerator(step, trial);
         }                                                //use antithetic method to get random matrix
         else
         {
             rmatrix = b.randommatrixgenerator(step, trial);
         }                                           //get random matrix
         a.Randommatrix = rmatrix;
         if (callButton.IsChecked == true)           //get the option type if option is a call
         {
             if (control_variate.IsChecked == false) //if not use cv method
             {
                 double[] list1 = a.callgreek();     //get result
                                                     //output result to GUI
                 textBox_delta.Text = Convert.ToString(list1[0]);
                 textBox_gamma.Text = Convert.ToString(list1[1]);
                 textBox_vega.Text  = Convert.ToString(list1[2]);
                 textBox_rho.Text   = Convert.ToString(list1[3]);
                 textBox_theta.Text = Convert.ToString(list1[4]);
                 textBox_Price.Text = Convert.ToString(list1[5]);
                 if (antithetic.IsChecked == true) //if use antithetic variance reduction
                 {
                     textBox_se.Text = Convert.ToString(list1[7]);
                 }
                 else
                 {
                     textBox_se.Text = Convert.ToString(list1[6]);//if use traditional way to produce random number
                 }
             }
             else //use the cv method
             {
                 double[] list1 = a.CVcallgreek();  //get result
                                                    //output result to GUI
                 textBox_delta.Text = Convert.ToString(list1[0]);
                 textBox_gamma.Text = Convert.ToString(list1[1]);
                 textBox_vega.Text  = Convert.ToString(list1[2]);
                 textBox_rho.Text   = Convert.ToString(list1[3]);
                 textBox_theta.Text = Convert.ToString(list1[4]);
                 textBox_Price.Text = Convert.ToString(list1[5]);
                 if (antithetic.IsChecked == true) //if use antithetic variance reduction
                 {
                     textBox_se.Text = Convert.ToString(list1[7]);
                 }
                 else
                 {
                     textBox_se.Text = Convert.ToString(list1[6]);//if use traditional way to produce random number
                 }
             }
         }
         else if (putButton1.IsChecked == true)      //if option is a put
         {
             if (control_variate.IsChecked == false) //if not use the cv method
             {
                 double[] list1 = a.putgreek();
                 //output result to GUI
                 textBox_delta.Text = Convert.ToString(list1[0]);
                 textBox_gamma.Text = Convert.ToString(list1[1]);
                 textBox_vega.Text  = Convert.ToString(list1[2]);
                 textBox_rho.Text   = Convert.ToString(list1[3]);
                 textBox_theta.Text = Convert.ToString(list1[4]);
                 textBox_Price.Text = Convert.ToString(list1[5]);
                 if (antithetic.IsChecked == true)
                 {
                     textBox_se.Text = Convert.ToString(list1[7]);
                 }
                 else
                 {
                     textBox_se.Text = Convert.ToString(list1[6]);
                 }
             }
             else  //if use the cv method
             {
                 double[] list1 = a.CVputgreek();
                 //output result to GUI
                 textBox_delta.Text = Convert.ToString(list1[0]);
                 textBox_gamma.Text = Convert.ToString(list1[1]);
                 textBox_vega.Text  = Convert.ToString(list1[2]);
                 textBox_rho.Text   = Convert.ToString(list1[3]);
                 textBox_theta.Text = Convert.ToString(list1[4]);
                 textBox_Price.Text = Convert.ToString(list1[5]);
                 if (antithetic.IsChecked == true)
                 {
                     textBox_se.Text = Convert.ToString(list1[7]);
                 }
                 else
                 {
                     textBox_se.Text = Convert.ToString(list1[6]);
                 }
             }
         }
         else  //if the optiontype is not determined
         {
             MessageBox.Show("optiontype can't be null");
         }
     }
     catch (Exception x)
     {
         MessageBox.Show("Error:" + x);
     }
     watch.Stop(); //add timer
     textBox_time.Text = watch.Elapsed.Hours.ToString() + ":" + watch.Elapsed.Minutes.ToString() + ":" + watch.Elapsed.Seconds.ToString() + ":" + watch.Elapsed.Milliseconds.ToString();
 }