public Excel_compositeOptionLoaderView defaultLoaderView() { Excel_compositeOptionLoaderView subTypeLoaderView;// = new Excel_compositeOptionLoaderView(); //default; Excel_vanillaCallPutViewModel e_vcpvm = new Excel_vanillaCallPutViewModel(); e_vcpvm.setInterfaceViewModel(this); e_vcpvm.DefaultSetting(this); subTypeLoaderView = e_vcpvm.loaderView(this); subTypeLoaderView.InterfaceViewModel_ = this; return(subTypeLoaderView); }
public override Excel_compositeOption_subtypeViewModel Clone() { Excel_vanillaCallPutViewModel clone = new Excel_vanillaCallPutViewModel(); clone.BaseCoupon_ = this.baseCoupon_; clone.BaseUnderlyingValue_ = this.baseUnderlyingValue_; clone.UnderlyingCode_ = this.underlyingCode_; clone.PartiRate_ = this.partiRate_; clone.Description_ = this.description_; clone.CallPut_ = this.callPut_; clone.ExerciseDate_ = this.exerciseDate_; clone.PayoffDate_ = this.payoffDate_; clone.Strike_ = this.strike_; clone.StrikeValue_ = this.strikeValue_; this.descriptionUpdate(); clone.Description_ = this.description_; return(clone); }
//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 override Excel_compositeOption_subtypeViewModel Clone() { Excel_vanillaCallPutViewModel clone = new Excel_vanillaCallPutViewModel(); clone.BaseCoupon_ = this.baseCoupon_; clone.BaseUnderlyingValue_ = this.baseUnderlyingValue_; clone.UnderlyingCode_ = this.underlyingCode_; clone.PartiRate_ = this.partiRate_; clone.Description_ = this.description_; clone.CallPut_ = this.callPut_; clone.ExerciseDate_ = this.exerciseDate_; clone.PayoffDate_= this.payoffDate_; clone.Strike_ = this.strike_; clone.StrikeValue_ = this.strikeValue_; this.descriptionUpdate(); clone.Description_ = this.description_; return clone; }
private void ViewModelChanged(object sender, DependencyPropertyChangedEventArgs e) { this.viewModel_ = this.DataContext as Excel_vanillaCallPutViewModel; this.bindPanel_.DataContext = this.viewModel_; }
public Excel_compositeOptionLoaderView defaultLoaderView() { Excel_compositeOptionLoaderView subTypeLoaderView;// = new Excel_compositeOptionLoaderView(); //default; Excel_vanillaCallPutViewModel e_vcpvm = new Excel_vanillaCallPutViewModel(); e_vcpvm.setInterfaceViewModel(this); e_vcpvm.DefaultSetting(this); subTypeLoaderView = e_vcpvm.loaderView(this); subTypeLoaderView.InterfaceViewModel_ = this; return subTypeLoaderView; }