public override void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_interface serial_Excel_interface = serial_Class as FpmlSerializedCSharp.Excel_interface;
FpmlSerializedCSharp.Excel_compositeOption serial_Excel_compositeOption = serial_Excel_interface.Excel_compositeOption_;
FpmlSerializedCSharp.Excel_issueInfo serial_excel_issueInfo = serial_Excel_compositeOption.Excel_issueInfo_;
string excel_issueInfotype = serial_excel_issueInfo.Excel_type_.ValueStr;
this.excel_issueInfoViewModel_ = Excel_issueInfoViewModel.CreateExcel_issueInfo(excel_issueInfotype);
this.excel_issueInfoViewModel_.setFromSerial(serial_excel_issueInfo);
FpmlSerializedCSharp.Excel_underlyingCalcInfo serial_excel_underlyingCalcInfo = serial_Excel_compositeOption.Excel_underlyingCalcInfo_;
string excel_underlyingCalcInfotype = serial_excel_underlyingCalcInfo.Excel_type_.ValueStr;
this.excel_underlyingCalcInfoViewModel_ = Excel_underlyingCalcInfoViewModel.CreateExcel_underlyingCalcInfo(excel_underlyingCalcInfotype);
this.excel_underlyingCalcInfoViewModel_.setFromSerial(serial_excel_underlyingCalcInfo);
this.exerciseDate_ = StringConverter.xmlDateToDateTime(serial_Excel_compositeOption.ExerciseDate_.ValueStr);
this.payoffDate_ = StringConverter.xmlDateToDateTime(serial_Excel_compositeOption.PayoffDate_.ValueStr);
this.notionalMaturityPayment_ = serial_Excel_compositeOption.NotionalMaturityPayment_.ValueStr;
List <FpmlSerializedCSharp.Excel_compositeOption_subtype> serial_excel_compositeOption_subtype = serial_Excel_compositeOption.Excel_compositeOption_subtype_;
this.excel_compositeOption_subtypeViewModel_ = new ObservableCollection <Excel_compositeOption_subtypeViewModel>();
foreach (var item in serial_excel_compositeOption_subtype)
{
string type = item.Excel_type_.ValueStr;
Excel_compositeOption_subtypeViewModel viewModel = Excel_compositeOption_subtypeViewModel.CreateExcel_compositeOption_subtype(type);
viewModel.setFromSerial(item);
this.excel_compositeOption_subtypeViewModel_.Add(viewModel);
}
}
private void optionSubTypeListView_PreviewMouseDoubleClick(object sender, MouseButtonEventArgs e)
{
Window w = new Window();
w.Width = 500;
w.Height = 200;
;// = new Excel_compositeOptionLoaderView();
//e_colv.InterfaceViewModel_ = this.viewModel_;
Excel_compositeOption_subtypeViewModel selectedItem
= this.optionSubTypeListView_.SelectedItem as Excel_compositeOption_subtypeViewModel;
Excel_compositeOptionLoaderView e_colv = selectedItem.Clone().loaderView(this.viewModel_);
//e_colv.SelectedOptionTypeViewModel_ = selectedItem.Clone();
//e_colv.SelectedOptionTypeViewModel_.loaderView(this.viewModel_);
w.Content = e_colv;
int selectionIndex = this.optionSubTypeListView_.SelectedIndex;
if (w.ShowDialog() == true)
{
this.viewModel_.Excel_compositeOption_subtypeViewModelList_[selectionIndex]
= e_colv.SelectedOptionTypeViewModel_;
e_colv.SelectedOptionTypeViewModel_.descriptionUpdate();
}
else
{
}
}
private void ComboBox_SelectionChanged(object sender, SelectionChangedEventArgs e)
{
//ComboBoxItem item = this.optionTypeCombBox_.SelectedItem as ComboBoxItem;
compositeOption_subtypeEnum?item = this.optionTypeCombBox_.SelectedItem as compositeOption_subtypeEnum?;
string optionType = item.ToString();
if (optionType.ToUpper() == "VANILLA CALL/PUT" || optionType.ToUpper() == "VANILLA_CALL_PUT")
{
this.selectedOptionTypeViewModel_ = new Excel_vanillaCallPutViewModel();
}
else if (optionType.ToUpper() == "UP IN/OUT CALL" || optionType.ToUpper() == "UP_INOUT_CALL")
{
this.selectedOptionTypeViewModel_ = new Excel_upInOutCallViewModel();
}
else if (optionType.ToUpper() == "DOWN IN/OUT PUT" || optionType.ToUpper() == "DOWN_INOUT_PUT")
{
OutputLogViewModel.addResult("no exist optionType : " + optionType);
}
else if (optionType.ToUpper() == "DIGITAL CALL/PUT" || optionType.ToUpper() == "DIGITAL_CALL_PUT")
{
this.selectedOptionTypeViewModel_ = new Excel_digitalCallPutViewModel();
}
else
{
OutputLogViewModel.addResult("no exist optionType : " + optionType);
}
this.selectedOptionTypeViewModel_.setInterfaceViewModel(this.interfaceViewModel_);
this.selectedOptionTypeViewModel_.DefaultSetting(this.interfaceViewModel_);
this.selectedOptionGrid_.Children.Clear();
this.selectedOptionGrid_.Children.Add(this.selectedOptionTypeViewModel_.view());
}
public void initialize(Excel_compositeOption_subtypeViewModel e_cosvm)
{
this.optionTypeCombBox_.SelectedIndex = this.comboBoxNum(e_cosvm.Excel_Type_);
this.optionTypeCombBox_.SelectionChanged += new SelectionChangedEventHandler(ComboBox_SelectionChanged);
//view는 loaderView에서 적용했음. // 이건 submit했을때 적용할거 저장함.
this.selectedOptionTypeViewModel_ = e_cosvm;
}
//public override void calculate(Excel_instrumentViewModel excel_inst)
//{
// //#region Setting
// //Excel_compositeOptionViewModel compOptionVM = excel_interface as Excel_compositeOptionViewModel;
// //if (compOptionVM == null)
// //{
// // //error
// //}
// //Calendar calendar = new TARGET();
// //Date todaysDate = todaysDate = ProgramVariable.ReferenceDate_;
// //Date settlementDate = todaysDate;
// //Settings.setEvaluationDate(todaysDate);
// //DayCounter dayCounter = new Actual365Fixed();
// //if (this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
// //{
// // //error
// //}
// //Excel_geometricBMViewModel gbm = this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_[0].Excel_underlyingModel_paraViewModel_ as Excel_geometricBMViewModel;
// //double currentValue = Convert.ToDouble(gbm.CurrentValue_);
// //SimpleQuote quote = new SimpleQuote(currentValue);
// //Handle<Quote> underlyingH = new Handle<Quote>(quote);
// //double drift = Convert.ToDouble(gbm.Drift_);
// //double dividendYield = Convert.ToDouble(gbm.Dividend_);
// //double volatility = Convert.ToDouble(gbm.Volatility_);
// //SimpleQuote volQuote = new SimpleQuote(volatility);
// //Handle<Quote> volH = new Handle<Quote>(volQuote);
// //var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, drift, dayCounter));
// //var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
// //Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volH, dayCounter));
// //BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// //double value = 0.0;
// //DateTime exDate = compOptionVM.ExerciseDate_;
// //List<QLNet.OneAssetOption> optionList = new List<QLNet.OneAssetOption>();
// //foreach (Excel_compositeOption_subtypeViewModel item in compOptionVM.Excel_compositeOption_subtypeViewModelList_)
// //{
// // optionList.Add(this.option(item, bsmProcess, exDate));
// //}
// ////------------------------------------------------
// //foreach (var item in optionList)
// //{
// // value = value + item.NPV();
// //}
// //if (this.Separable_)
// //{
// // double matrutiryPayAmt = 0.0;
// // Excel_yieldCurveViewModel e_ycvm
// // = this.Excel_discountCurve_paraViewModel_.discountYieldCurve("KRW");
// // QLNet.YieldTermStructure yts = e_ycvm.yieldCurve();
// // value += matrutiryPayAmt;
// //}
// //#endregion
// //#region Calculation
// //quote.setValue(currentValue*1.01);
// //double sup = optionList[0].NPV();
// //quote.setValue(currentValue * 0.99);
// //double sdown = optionList[0].NPV();
// //double delta = (sup - sdown) / (currentValue * 0.02);
// //double gamma = (sup * sup - 2 * value + sdown * sdown) / (currentValue * 0.01 * currentValue * 0.01);
// //quote.setValue(currentValue);
// //volQuote.setValue(volatility - 0.01);
// //double voldown = optionList[0].NPV();
// //volQuote.setValue(volatility + 0.01);
// //double volup = optionList[0].NPV();
// //double vega = (volup - voldown) / 2;
// //#endregion
// //#region Result
// //this.Excel_resultViewModel_.Price_ = value.ToString();
// //double baseUnderlyingValue = Convert.ToDouble(
// // excel_interface.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_[0].BasePrice_);
// //this.Excel_resultViewModel_.PercentPrice_ = (100 * value / baseUnderlyingValue).ToString();
// //double notional = Convert.ToDouble(excel_interface.Excel_issueInfoViewModel_.Notional_);
// //this.Excel_resultViewModel_.EvalAmount_ = ( notional * ( value / baseUnderlyingValue) ).ToString();
// //#endregion
// //double gamma = optionList[0].gamma();
// //double vega = optionList[0].vega();
//}
private QLNet.OneAssetOption option(Excel_compositeOption_subtypeViewModel compositeOptionVM,
BlackScholesMertonProcess bsmProcess,
DateTime exDate)
{
Date exerciseDate = new Date(exDate);
if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_VANILLACALLPUT")
{
Excel_vanillaCallPutViewModel e_vcpvm = compositeOptionVM as Excel_vanillaCallPutViewModel;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, e_vcpvm.StrikeValue_);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.VanillaOption vanillaOption = new VanillaOption(payoff, ex);
return(vanillaOption);
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_UPINOUTCALL" ||
compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_DOWNINOUTCALL")
{
Excel_upInOutCallViewModel e_uiocvm = compositeOptionVM as Excel_upInOutCallViewModel;
Barrier.Type type = Barrier.Type.UpOut;
if (e_uiocvm.InOut_.ToString() == "IN")
{
type = Barrier.Type.UpIn;
}
double strikeValue = e_uiocvm.StrikeValue_;
double barrierValue = e_uiocvm.BarrierValue_;
double partiRate = Convert.ToDouble(e_uiocvm.PartiRate_) / 100.0;
double rebateValue = Convert.ToDouble(e_uiocvm.RebateCouponValue_);
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, strikeValue);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, barrierValue, partiRate, rebateValue, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return(barrierOption);
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "")
{
Barrier.Type type = Barrier.Type.DownOut;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 261.4);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, 313.68, 0.32, 0.0, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return(barrierOption);
}
else
{
throw new Exception("unknown compositeOptionType");
}
}
public void initialize(Excel_compositeOption_subtypeViewModel e_cosvm)
{
this.optionTypeCombBox_.SelectedIndex = this.comboBoxNum(e_cosvm.Excel_Type_);
this.optionTypeCombBox_.SelectionChanged += new SelectionChangedEventHandler(ComboBox_SelectionChanged);
//view는 loaderView에서 적용했음. // 이건 submit했을때 적용할거 저장함.
this.selectedOptionTypeViewModel_ = e_cosvm;
}
private void ComboBox_SelectionChanged(object sender, SelectionChangedEventArgs e)
{
//ComboBoxItem item = this.optionTypeCombBox_.SelectedItem as ComboBoxItem;
compositeOption_subtypeEnum? item = this.optionTypeCombBox_.SelectedItem as compositeOption_subtypeEnum?;
string optionType = item.ToString();
if (optionType.ToUpper() == "VANILLA CALL/PUT" || optionType.ToUpper() == "VANILLA_CALL_PUT")
{
this.selectedOptionTypeViewModel_ = new Excel_vanillaCallPutViewModel();
}
else if (optionType.ToUpper() == "UP IN/OUT CALL" || optionType.ToUpper() == "UP_INOUT_CALL")
{
this.selectedOptionTypeViewModel_ = new Excel_upInOutCallViewModel();
}
else if (optionType.ToUpper() == "DOWN IN/OUT PUT" || optionType.ToUpper() == "DOWN_INOUT_PUT")
{
OutputLogViewModel.addResult("no exist optionType : " + optionType);
}
else if (optionType.ToUpper() == "DIGITAL CALL/PUT" || optionType.ToUpper() == "DIGITAL_CALL_PUT")
{
this.selectedOptionTypeViewModel_ = new Excel_digitalCallPutViewModel();
}
else
{
OutputLogViewModel.addResult("no exist optionType : " + optionType);
}
this.selectedOptionTypeViewModel_.setInterfaceViewModel(this.interfaceViewModel_);
this.selectedOptionTypeViewModel_.DefaultSetting(this.interfaceViewModel_);
this.selectedOptionGrid_.Children.Clear();
this.selectedOptionGrid_.Children.Add(this.selectedOptionTypeViewModel_.view());
}
//public override void calculate(Excel_instrumentViewModel excel_inst)
//{
// //#region Setting
// //Excel_compositeOptionViewModel compOptionVM = excel_interface as Excel_compositeOptionViewModel;
// //if (compOptionVM == null)
// //{
// // //error
// //}
// //Calendar calendar = new TARGET();
// //Date todaysDate = todaysDate = ProgramVariable.ReferenceDate_;
// //Date settlementDate = todaysDate;
// //Settings.setEvaluationDate(todaysDate);
// //DayCounter dayCounter = new Actual365Fixed();
// //if (this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
// //{
// // //error
// //}
// //Excel_geometricBMViewModel gbm = this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_[0].Excel_underlyingModel_paraViewModel_ as Excel_geometricBMViewModel;
// //double currentValue = Convert.ToDouble(gbm.CurrentValue_);
// //SimpleQuote quote = new SimpleQuote(currentValue);
// //Handle<Quote> underlyingH = new Handle<Quote>(quote);
// //double drift = Convert.ToDouble(gbm.Drift_);
// //double dividendYield = Convert.ToDouble(gbm.Dividend_);
// //double volatility = Convert.ToDouble(gbm.Volatility_);
// //SimpleQuote volQuote = new SimpleQuote(volatility);
// //Handle<Quote> volH = new Handle<Quote>(volQuote);
// //var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, drift, dayCounter));
// //var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
// //Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volH, dayCounter));
// //BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// //double value = 0.0;
// //DateTime exDate = compOptionVM.ExerciseDate_;
// //List<QLNet.OneAssetOption> optionList = new List<QLNet.OneAssetOption>();
// //foreach (Excel_compositeOption_subtypeViewModel item in compOptionVM.Excel_compositeOption_subtypeViewModelList_)
// //{
// // optionList.Add(this.option(item, bsmProcess, exDate));
// //}
// ////------------------------------------------------
// //foreach (var item in optionList)
// //{
// // value = value + item.NPV();
// //}
// //if (this.Separable_)
// //{
// // double matrutiryPayAmt = 0.0;
// // Excel_yieldCurveViewModel e_ycvm
// // = this.Excel_discountCurve_paraViewModel_.discountYieldCurve("KRW");
// // QLNet.YieldTermStructure yts = e_ycvm.yieldCurve();
// // value += matrutiryPayAmt;
// //}
// //#endregion
// //#region Calculation
// //quote.setValue(currentValue*1.01);
// //double sup = optionList[0].NPV();
// //quote.setValue(currentValue * 0.99);
// //double sdown = optionList[0].NPV();
// //double delta = (sup - sdown) / (currentValue * 0.02);
// //double gamma = (sup * sup - 2 * value + sdown * sdown) / (currentValue * 0.01 * currentValue * 0.01);
// //quote.setValue(currentValue);
// //volQuote.setValue(volatility - 0.01);
// //double voldown = optionList[0].NPV();
// //volQuote.setValue(volatility + 0.01);
// //double volup = optionList[0].NPV();
// //double vega = (volup - voldown) / 2;
// //#endregion
// //#region Result
// //this.Excel_resultViewModel_.Price_ = value.ToString();
// //double baseUnderlyingValue = Convert.ToDouble(
// // excel_interface.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_[0].BasePrice_);
// //this.Excel_resultViewModel_.PercentPrice_ = (100 * value / baseUnderlyingValue).ToString();
// //double notional = Convert.ToDouble(excel_interface.Excel_issueInfoViewModel_.Notional_);
// //this.Excel_resultViewModel_.EvalAmount_ = ( notional * ( value / baseUnderlyingValue) ).ToString();
// //#endregion
// //double gamma = optionList[0].gamma();
// //double vega = optionList[0].vega();
//}
private QLNet.OneAssetOption option(Excel_compositeOption_subtypeViewModel compositeOptionVM,
BlackScholesMertonProcess bsmProcess,
DateTime exDate)
{
Date exerciseDate = new Date(exDate);
if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_VANILLACALLPUT")
{
Excel_vanillaCallPutViewModel e_vcpvm = compositeOptionVM as Excel_vanillaCallPutViewModel;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, e_vcpvm.StrikeValue_);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.VanillaOption vanillaOption = new VanillaOption(payoff, ex);
return vanillaOption;
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_UPINOUTCALL" ||
compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_DOWNINOUTCALL" )
{
Excel_upInOutCallViewModel e_uiocvm = compositeOptionVM as Excel_upInOutCallViewModel;
Barrier.Type type = Barrier.Type.UpOut;
if (e_uiocvm.InOut_.ToString() == "IN")
{
type = Barrier.Type.UpIn;
}
double strikeValue = e_uiocvm.StrikeValue_;
double barrierValue = e_uiocvm.BarrierValue_;
double partiRate = Convert.ToDouble(e_uiocvm.PartiRate_)/100.0;
double rebateValue = Convert.ToDouble(e_uiocvm.RebateCouponValue_);
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, strikeValue);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, barrierValue, partiRate, rebateValue, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return barrierOption;
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "")
{
Barrier.Type type = Barrier.Type.DownOut;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 261.4);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, 313.68, 0.32, 0.0, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return barrierOption;
}
else
{
throw new Exception("unknown compositeOptionType");
}
}
