public ActionResult DeltaEnt()
{
if (ind != 0)
{
return(View(eurost));
}
else
{
ind++;
//ViewBag.Message = "Your contact page.";
DateTime date = DateTime.Today;
DateTime debutProduit = new DateTime(2014, 12, 18);
DateTime finProduit = new DateTime(2022, 12, 08);
RecupData recup = new RecupData(new DateTime(2005, 12, 18), date);
eurost.t = recup.DateToDouble(debutProduit, eurost.DateCourante, finProduit);
List <String> Symbols = new List <String>();
Symbols.Add("^STOXX50E");
Symbols.Add("^GSPC");
Symbols.Add("^AXJO");
eurost.dataPoints_GSPC = new List <DataPoint>();
eurost.dataPoints_STOXX50E = new List <DataPoint>();
eurost.dataPoints_AXJO = new List <DataPoint>();
Symbols.Add("USDEUR=X");
Symbols.Add("AUDEUR=X");
eurost.dataPoints_EURUSD = new List <DataPoint>();
eurost.dataPoints_EURAUD = new List <DataPoint>();
eurost.dataPoints_trackingError = new List <DataPoint>();
eurost.dataPoints_PfC = new List <DataPoint>();
eurost.dataPoints_prix = new List <DataPoint>();
DateTime debut = new DateTime(2014, 12, 18);
DateTime fin = DateTime.Today;
recup.Fetch();
List <double> values = recup.getData("^GSPC").Values.ToList();
List <DateTime> dates = recup.getData("^GSPC").Keys.ToList();
List <double> values2 = recup.getData("^STOXX50E").Values.ToList();
List <DateTime> dates2 = recup.getData("^STOXX50E").Keys.ToList();
List <double> values3 = recup.getData("^AXJO").Values.ToList();
List <DateTime> dates3 = recup.getData("^AXJO").Keys.ToList();
List <double> values4 = recup.getData("USDEUR=X").Values.ToList();
List <DateTime> dates4 = recup.getData("USDEUR=X").Keys.ToList();
List <double> values5 = recup.getData("AUDEUR=X").Values.ToList();
List <DateTime> dates5 = recup.getData("AUDEUR=X").Keys.ToList();
for (int i = 0; i < values.Count; i++)
{
eurost.dataPoints_GSPC.Add(new DataPoint(recup.DateToDouble(debutProduit, dates[i], finProduit) + 2014, values[i]));
}
for (int i = 0; i < values2.Count; i++)
{
eurost.dataPoints_STOXX50E.Add(new DataPoint(recup.DateToDouble(debutProduit, dates2[i], finProduit) + 2014, values2[i]));
}
for (int i = 0; i < values3.Count; i++)
{
eurost.dataPoints_AXJO.Add(new DataPoint(recup.DateToDouble(debutProduit, dates3[i], finProduit) + 2014, values3[i]));
}
for (int i = 0; i < values4.Count; i++)
{
eurost.dataPoints_EURUSD.Add(new DataPoint(recup.DateToDouble(debutProduit, dates4[i], finProduit) + 2014, values4[i]));
}
for (int i = 0; i < values5.Count; i++)
{
eurost.dataPoints_EURAUD.Add(new DataPoint(recup.DateToDouble(debutProduit, dates5[i], finProduit) + 2014, values5[i]));
}
List <string> symbols = recup.getSymbols();
Dictionary <DateTime, double> dico = recup.getData(symbols[0]);
eurost.covLogR = recup.exportCov(new DateTime(2004, 12, 18), debutProduit);
eurost.pastDelta = recup.exportPast(eurost.t, 7, debutProduit, finProduit);
//eurost.pastPrice = recup.exportPast(eurost.t, 182, debutProduit, finProduit);
eurost.pastPrice = recup.exportPastSemestre(eurost.t, debutProduit, finProduit);
double r_eu = 0.0026;
double r_aus = 0.025;
double r_us = 0.00025;
int size = 5;
double r = r_eu;
double[] spots = new double[5];
for (int i = 0; i < 5; i++)
{
spots[i] = eurost.pastPrice[0, i];
}
double[] trends = new double[5];
trends[0] = r_eu;
trends[1] = r_us - eurost.covLogR[1, 3];
trends[2] = r_aus - eurost.covLogR[2, 4];
trends[3] = r_eu - r_us;
trends[4] = r_eu - r_aus;
double[] lambdas = new double[5];
for (int i = 0; i < 5; i++)
{
lambdas[i] = 0.05;
}
WrapperClass wr1 = new WrapperClass(size, r, eurost.covLogR, spots, trends, 0.1, eurost.nb_iterations, 100, 8.0, 16, lambdas);
eurost.wc = wr1;
double H = 416;
eurost.deltaEnt = wr1.getDeltaEurostral(eurost.pastPrice, eurost.t, H);
//wr1.getPriceEurostral(eurost.t, pastPrice);
eurost.prixEnt = wr1.getPriceEurostral(eurost.t, eurost.pastPrice);
/*DateTime debutBackTest = new DateTime(2010, 03, 22);
* DateTime finBacktest = new DateTime(2018, 03, 22);
* double t0 = recup.DateToDouble(debutBackTest, finBacktest, finBacktest);
* double[,] donneesHistoriques = recup.exportPast(t0, 7, debutBackTest, finBacktest);
* eurost.PL=wr1.getPLEurostral(donneesHistoriques, H);*/
// eurost.pastPrice = recup.exportPast(eurost.t, 182, debutProduit, finProduit);
double[] track = new double[eurost.pastDelta.GetLength(0) - 1];
double[] pp = new double[eurost.pastDelta.GetLength(0)];
double[] pock = new double[eurost.pastDelta.GetLength(0)];
double[] v = new double[eurost.pastDelta.GetLength(0)];
wr1.trackingError(eurost.pastDelta, eurost.pastPrice, eurost.t, H, pp, pock, track, v, eurost.pastDelta.GetLength(0), eurost.pastPrice.GetLength(0));
eurost.PandL = track;
eurost.pock = pock;
eurost.pp = pp;
eurost.v = v[eurost.pastDelta.GetLength(0) - 1];
int m = eurost.pastDelta.GetLength(0);
eurost.stock = new Stock(recup);
eurost.stock.Add(0.0, wr1.getDeltaEurostral(recup.exportPast(0, 182, debutProduit, finProduit), 0.0, H), pp[0], 0.0, v[0]);
for (int i = 1; i < m - 1; i++)
{
eurost.stock.Add(i * 8.0 / H, wr1.getDeltaEurostral(recup.exportPast(i * 8.0 / H, 182, debutProduit, finProduit), i * 8.0 / H, H), pp[i], track[i - 1], v[i]);
}
eurost.stock.Add(eurost.t, wr1.getDeltaEurostral(recup.exportPast(eurost.t, 182, debutProduit, finProduit), eurost.t, H), pp[m - 1], track[m - 2], v[m - 1]);
eurost.stock.SaveToCSV();
eurost.deltaD = eurost.stock.getPreDelta(eurost.t);
//Ajout
for (int i = 0; i < 5; i++)
{
eurost.prixActifs[i] = eurost.pastPrice[(eurost.pastPrice.GetLength(0)) - 1, i];
}
eurost.prixActifs[1] = eurost.prixActifs[1] * eurost.prixActifs[3];
eurost.prixActifs[2] = eurost.prixActifs[2] * eurost.prixActifs[4];
eurost.prixActifs[3] = eurost.prixActifs[3] * Math.Exp(-r_us * (8.0 - eurost.t));
eurost.prixActifs[4] = eurost.prixActifs[4] * Math.Exp(-r_aus * (8.0 - eurost.t));
for (int i = 0; i < 5; i++)
{
eurost.pocketD += eurost.prixActifs[i] * eurost.deltaD[i];
}
eurost.pocketD += eurost.stock.getPreCash(eurost.t) * Math.Exp(eurost.t - eurost.stock.findPre(eurost.t));
eurost.dataPoints_trackingError.Add(new DataPoint(0, 0));
for (int j = 1; j < track.Count <double>(); j++)
{
eurost.dataPoints_trackingError.Add(new DataPoint(j, 100 * track[j - 1] / pp[j - 1]));
}
for (int k = 0; k < pock.Count <double>(); k++)
{
eurost.dataPoints_PfC.Add(new DataPoint(k, eurost.pock[k]));
}
for (int k = 0; k < pp.Count <double>(); k++)
{
eurost.dataPoints_prix.Add(new DataPoint(k, eurost.pp[k]));
}
ViewData["price"] = eurost.prixEnt;
//return RedirectToAction("PrixEnt");
return(View(eurost));
}
}
public double displayPrice()
{
DateTime date = new DateTime(2015, 03, 27);
DateTime debutProduit = new DateTime(2014, 12, 18);
DateTime finProduit = new DateTime(2022, 12, 08);
Data.RecupData recup = new RecupData(new DateTime(2000, 1, 1), date);
//Data.RecupData recup1 = new RecupData(new DateTime(2000, 1, 1), debutProduit);
recup.Fetch();
//recup1.Fetch();
double t = recup.DateToDouble(debutProduit, date, finProduit);
double[,] covLogR = recup.exportCov(new DateTime(2004, 01, 01), new DateTime(2014, 01, 01));
double[,] pastDelta = recup.exportPast(t, 7, debutProduit, finProduit);
double[,] pastPrice = recup.exportPast(t, 182, debutProduit, finProduit);
DateTime debutBackTest = new DateTime(2010, 03, 22);
DateTime finBacktest = new DateTime(2018, 03, 22);
double t0 = recup.DateToDouble(debutBackTest, finBacktest, finBacktest);
double[,] donneesHistoriques = recup.exportPast(t0, 7, debutBackTest, finBacktest);
//int size, double r, double* VarHis, double* spot, double* trend, double fdStep, int nbSamples, double strike, double T1, int nbTimeSteps1, double* lambdas1
double r_eu = 0.002;
double r_aus = 0.025;
double r_us = 0.00025;
int size = 5;
double r = r_eu;
double[] spots = new double[5];
for (int i = 0; i < 5; i++)
{
spots[i] = pastPrice[0, i];
}
double[] trends = new double[5];
trends[0] = r_eu;
trends[1] = r_us - covLogR[1, 3];
trends[2] = r_aus - covLogR[2, 4];
trends[3] = r_eu - r_us;
trends[4] = r_eu - r_aus;
double[] lambdas = new double[5];
for (int i = 0; i < 5; i++)
{
lambdas[i] = 0.05;
}
WrapperClass wc = new WrapperClass(size, r, covLogR, spots, trends, 0.1, 500, 10, 8.0, 16, lambdas);
double[] delta = new double[5];
double H = 416;
int m = pastDelta.GetLength(0);
double[] price = new double[m];
double[] pocket = new double[m];
double[] tracking = new double[m - 1];
wc.trackingError(pastDelta, pastPrice, t, H, price, pocket, tracking, m, pastPrice.GetLength(0));
Stock stock = new Stock(recup);
stock.Add(0.0, wc.getDeltaEurostral(recup.exportPast(0, 182, debutProduit, finProduit), 0.0, H), price[0], 0.0);
for (int i = 1; i < m - 1; i++)
{
stock.Add(i * 8.0 / H, wc.getDeltaEurostral(recup.exportPast(i * 8.0 / H, 182, debutProduit, finProduit), i * 8.0 / H, H), price[i], tracking[i - 1]);
}
stock.Add(t, wc.getDeltaEurostral(recup.exportPast(t, 182, debutProduit, finProduit), t, H), price[m - 1], tracking[m - 2]);
stock.SaveToCSV();
return(wc.getPriceEurostral(t, pastPrice));
}
