private void optionTypeComboBox_SelectedIndexChanted(object sender, EventArgs e)
{
int index = optionTypeComboBox.SelectedIndex;
switch (index)
{
case 2:
amountLabel.Text = "Barrier Price";
amountTextBox.Visible = true;
outputDataGridView.AutoSizeColumnsMode = DataGridViewAutoSizeColumnsMode.AllCells;
outputDataGridView.DataSource = BarrierOption.SetDataTable();
break;
case 3:
amountLabel.Text = "Rebate Price";
amountTextBox.Visible = true;
outputDataGridView.DataSource = DigitalOption.SetDataTable();
break;
case 5:
outputDataGridView.DataSource = RangeOption.SetDataTable();
break;
default:
amountLabel.Text = "";
amountTextBox.Visible = false;
outputDataGridView.DataSource = EuropeanOption.SetDataTable();
break;
}
}
private static DigitalOption GetOption(bool isCall,
bool isAssetSettled,
double strike = 105)
{
var expiryDate = new DateTime(2018, 5, 31);
var option = new DigitalOption("testAsset", expiryDate, strike, isCall, "testCurve", isAssetSettled);
return(option);
}
private void add2_Click(object sender, EventArgs e)
{
try
{
InstType inst = new InstType();
if (insttype2.Text != "" && underlying2.Text != "")
{
inst.TypeName = insttype2.Text.ToString();
inst.Underlying = underlying2.Text.ToString();
portfolio.InstTypes.Add(inst);
portfolio.SaveChanges();
IQueryable<InstType> var = from p in portfolio.InstTypes
orderby p.Id descending
select p;
inst.Id = var.First().Id;//find the latest insttype you add
if (inst.TypeName.ToUpper() == "BARRIEROPION")//if you add barrieroption, you should also add wheather it is in out up down and its barrierprice
{
barrier2.ReadOnly = false;
up_in2.Enabled = true;
up_out2.Enabled = true;
down_in2.Enabled = true;
down_out2.Enabled = true;
BarrierOption bar = new BarrierOption();
bar.barrier = Convert.ToDouble(barrier2.Value);
bar.InstTypeId = inst.Id;
if (up_in2.Checked == true)
{
bar.IsIn = true;
bar.IsUp = true;
}
else if (down_in2.Checked == true)
{
bar.IsIn = true;
bar.IsUp = false;
}
else if (up_out2.Checked == true)
{
bar.IsIn = false;
bar.IsUp = true;
}
else if (down_out2.Checked == true)
{
bar.IsIn = false;
bar.IsUp = false;
}
portfolio.BarrierOptions.Add(bar);
portfolio.SaveChanges();
}
else if (insttype2.Text.ToUpper() == "DIGITALOPTION")//if you add digitaloption, you should also add its rebate price
{
rebate2.ReadOnly = false;
DigitalOption dig = new DigitalOption();
dig.rebate = Convert.ToDouble(rebate2.Value);
dig.InstTypeId = inst.Id;
portfolio.DigitalOptions.Add(dig);
portfolio.SaveChanges();
}
else if (insttype2.Text.ToUpper() == "LOOKBACKOPTION")//if you add lookbackoption, you should choose fixing or floating for payoff function
{
fix2.Enabled = true;
floating2.Enabled = true;
LookBackOption look = new LookBackOption();
if (fix2.Checked == true)
look.IsFixed = true;
else
look.IsFixed = false;
look.InstTypeId = inst.Id;
portfolio.LookBackOptions.Add(look);
portfolio.SaveChanges();
}
MessageBox.Show("Data added successfully", "Notice");
this.Close();
}
else
MessageBox.Show("Please input the TypeName and Underlying", "Notice");
}
catch { MessageBox.Show("Something wrong, please check wheather the inputs are correct."); }
}
private void calculate_Click(object sender, RoutedEventArgs e)
{
this.sw.Reset(); this.sw.Start();
graphPlot = new GraphPlotting();
this.DataContext = graphPlot;
this.graphs.IsEnabled = true;
if (this.simulationNumber > 500 && this.steps > 500)
{
this.graphs.ToolTip = "Graph may take time to load ";
}
else
{
this.graphs.ToolTip = "";
}
ISecurity underlying = new Stock(this.underlyingPrice);
Options option = null;
switch (this.kind)
{
case OptionKind.ASIAN:
option = new AsianOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.BARRIER:
option = new BarrierOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate, this.barrierOptiont);
break;
case OptionKind.DIGITAL:
option = new DigitalOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate);
break;
case OptionKind.EUROPEAN:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.LOOKBACK:
option = new LookbackOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.RANGE:
option = new RangeOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
default:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
}
try
{
Task work = Task.Factory.StartNew(() =>
{
this.Dispatcher.Invoke(() => this.progress.IsActive = true);
option.calulateOptionPriceAndGreeks(this.simulationNumber, this.rate, this.steps, this.anitheticReductionEnabled, this.controlVariateEnabled, this.multithreadingEnabled, plot: this.graphPlot);
this.sw.Stop();
this.Dispatcher.Invoke(() => { display(option); this.progress.IsActive = false; });
});
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
private void bPriceOptionBook_Click(object sender, RoutedEventArgs e)
{
graphPlot = new GraphPlotting();
graphs.DataContext = graphPlot;
Task work = Task.Factory.StartNew(() =>
{
var orderBook = model.OrderBookDBs.ToList();
foreach (var trade in orderBook)
{
if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Stocks"))
{
var instrument = model.StockDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
trade.FairPrice = trade.Price;
trade.Delta = trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity;
trade.ProfitLoss = 0;
trade.Theta = 0;
trade.Gamma = 0;
trade.Vega = 0;
trade.Rho = 0;
lock (lck)
{
model.SaveChanges();
}
}
else if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Options"))
{
var instrument = model.OptionsDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
Options option = null;
ISecurity underlying = new Stock(instrument.StockDB.LastTradedPrice);
switch (instrument.OptionKindDB.OptionKindName)
{
case "Asian Option":
option = new AsianOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.ASIAN);
break;
case "Barrier Option":
option = new BarrierOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.BARRIER, (Double)instrument.Barrier, (instrument.BarrierOptionType == "downout" ? BarrierOptionType.DOWNOUT : (instrument.BarrierOptionType == "downin" ? BarrierOptionType.DOWNIN : (instrument.BarrierOptionType == "upout" ? BarrierOptionType.UPOUT : BarrierOptionType.UPIN))));
break;
case "Digital Option":
option = new DigitalOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.DIGITAL, (Double)instrument.Rebate);
break;
case "European Option":
option = new EuropeanOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.EUROPEAN);
break;
case "Lookback Option":
option = new LookbackOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.LOOKBACK);
break;
case "Range Option":
option = new RangeOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.RANGE);
break;
default:
break;
}
try
{
option.calulateOptionPriceAndGreeks(1000, 0.05, (option.ExpiryDate - DateTime.Now).Days, true, option.OptionKind == OptionKind.EUROPEAN ? true : false, true, plot: graphPlot);
trade.FairPrice = Math.Round(option.Price, 4);
trade.ProfitLoss = Math.Round((Double)trade.FairPrice - (Double)trade.Price, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Delta = Math.Round(option.Greeks.Delta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Theta = Math.Round(option.Greeks.Theta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Gamma = Math.Round(option.Greeks.Gamma, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Vega = Math.Round(option.Greeks.Vega, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Rho = Math.Round(option.Greeks.Rho, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
lock (lck)
{
model.SaveChanges();
}
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
}
this.Dispatcher.Invoke(() => {
dataGrid.DataContext = orderBook;
});
});
}
private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
{
BackgroundWorker worker = sender as BackgroundWorker;
object[] parameters = e.Argument as object[];
int steps = Convert.ToInt16(parameters[5]);
int trials = Convert.ToInt32(parameters[6]);
double s = Convert.ToDouble(parameters[0]);
double k = Convert.ToDouble(parameters[1]);
double t = Convert.ToDouble(parameters[2]);
double sig = Convert.ToDouble(parameters[3]);
double r = Convert.ToDouble(parameters[4]);
string type = parameters[7].ToString();
double exoticAmount = Convert.ToDouble(parameters[8]);
try
{
for (int i = 1; i <= 1; i++)
{
if (worker.CancellationPending == true)
{
e.Cancel = true;
break;
}
else
{
switch (type)
{
case "None":
e.Result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Asian":
e.Result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Barrier":
e.Result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Digital":
e.Result = DigitalOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Lookback":
e.Result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Range":
e.Result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
default:
break;
}
// Perform a time consuming operation and report progress.
Thread.Sleep(100);
worker.ReportProgress(i * 100);
}
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
private void testdata()
{
InstType eur = new InstType();
eur.TypeName = "EuropeanOption";
eur.Underlying = "MSFT";
portfolio.InstTypes.Add(eur);
portfolio.SaveChanges();
InstType asi = new InstType();
asi.TypeName = "AsianOption";
asi.Underlying = "GOOG";
portfolio.InstTypes.Add(asi);
portfolio.SaveChanges();
InstType bar = new InstType();
bar.TypeName = "BarrierOption";
bar.Underlying = "SINA";
portfolio.InstTypes.Add(bar);
portfolio.SaveChanges();
var v1 = (from i in portfolio.InstTypes
where i.TypeName == "BarrierOption"
select i.Id).First();
BarrierOption b = new BarrierOption();
b.InstTypeId = v1;
b.IsIn = true;
b.IsUp = true;
b.barrier = 60;
portfolio.BarrierOptions.Add(b);
portfolio.SaveChanges();
InstType dig = new InstType();
dig.TypeName = "DigitalOption";
dig.Underlying = "WEBO";
portfolio.InstTypes.Add(dig);
portfolio.SaveChanges();
var v2 = (from i in portfolio.InstTypes
where i.TypeName == "DigitalOption"
select i.Id).First();
DigitalOption d = new DigitalOption();
d.InstTypeId = v2;
d.rebate = 50;
portfolio.DigitalOptions.Add(d);
portfolio.SaveChanges();
InstType look = new InstType();
look.TypeName = "LookBackOption";
look.Underlying = "BAIDU";
portfolio.InstTypes.Add(look);
portfolio.SaveChanges();
var v3 = (from i in portfolio.InstTypes
where i.TypeName == "LookBackOption"
select i.Id).First();
LookBackOption l = new LookBackOption();
l.InstTypeId = v3;
l.IsFixed = true;
portfolio.LookBackOptions.Add(l);
portfolio.SaveChanges();
InstType ran = new InstType();
ran.TypeName = "RangeOption";
ran.Underlying = "SOHU";
portfolio.InstTypes.Add(ran);
portfolio.SaveChanges();
InstType sto = new InstType();
sto.TypeName = "Stock";
sto.Underlying = "MSFT";
portfolio.InstTypes.Add(sto);
portfolio.SaveChanges();
}
