public void UpdatePortfolio(DateTime lastUpdateDate, DateTime newUpdateDate)
{
int LastUpdateDateIndex = AppData.DaysFromStart(lastUpdateDate);
int NewUpdateDateIndex = AppData.DaysFromStart(newUpdateDate);
Price = Pricer.price(NewUpdateDateIndex, AppData.MarketData);
double riskyAsset;
int i, t;
for (t = LastUpdateDateIndex + 1; t <= NewUpdateDateIndex; t++)
{
PortfolioValue = 0;
riskyAsset = 0;
for (i = 0; i < AppData.NbShares; i++)
{
PortfolioValue += Deltas[i] * AppData.MarketData[t, i];
}
PortfolioValue += NonRiskyAsset * Math.Exp(AppData.R / 365.0); // car deltaTime = 1/365.0
Deltas = Pricer.deltas(t, AppData.MarketData);
for (i = 0; i < AppData.NbShares; i++)
{
riskyAsset += Deltas[i] * AppData.MarketData[t, i]; // nouveau delta calculés
}
NonRiskyAsset = PortfolioValue - riskyAsset;
}
}
public PortfolioManager()
{
Pricer = new Pricer(AppData.ChangeRates, AppData.ObservationDates, AppData.R, AppData.Rho,
AppData.Sigmas, AppData.InitialSpots, AppData.Trends);
Price = Pricer.price(0, AppData.MarketData);
PortfolioValue = Price;
Deltas = Pricer.deltas(0, AppData.MarketData);
double risky = 0;
int i;
for (i = 0; i < AppData.NbShares; i++)
{
risky += Deltas[i] * AppData.InitialSpots[i];
}
NonRiskyAsset = PortfolioValue - risky;
}
