public static void Main(string[] args)
{
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2018, 09, 04);
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
string nameBasket = "Basket";
double strikeBasket = 9;
Share[] sharesBasket = { share1, share2 };
Double[] weights = { 0.3, 0.7 };
DateTime maturityBasket = new DateTime(2019, 09, 04);
BasketOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
PortfolioBasket portfolioBasket = new PortfolioBasket();
int totalDays = DayCount.CountBusinessDays(from, maturityBasket);
double[] volatility = new double[2];
volatility[0] = 0.4;
volatility[1] = 0.4;
double[,] correlationMatrix = new double[2, 2];
correlationMatrix[0, 0] = 1;
correlationMatrix[1, 1] = 0.1;
correlationMatrix[0, 1] = 1;
correlationMatrix[1, 0] = 0.1;
double valeur = portfolioBasket.PortfolioValue(optionBasket, sharesBasket, totalDays, volatility, correlationMatrix, from);
Console.WriteLine("Valeur Gain normalisée = " + valeur);
}
public Balancement(IDataFeedProvider dataFeedProvider, IOption option, DateTime dateTmpDebut, int plageEstimation, int periodeRebalancement)
{
var dateDebut = new DateTime(dateTmpDebut.Year, dateTmpDebut.Month, dateTmpDebut.Day);
var priceList = dataFeedProvider.GetDataFeed(option, dateDebut);
payoff = payOffaMaturite(option, priceList);
pricer = new Pricer();
hedge = new List <decimal>();
priceOption = new List <double>();
dates = new List <DateTime>();
Dictionary <string, double> compo = new Dictionary <string, double> {
};
volatilite = Estimateur.Volatilite(priceList, plageEstimation, dateDebut.AddDays(plageEstimation), option, dataFeedProvider);
matrixCorrelation = Estimateur.getCorrMatrix(priceList, plageEstimation, dateDebut.AddDays(plageEstimation));
Estimateur.dispMatrix(matrixCorrelation);
PricingResults priceDelta = PriceResults(option, priceList[0].PriceList, dateDebut, dataFeedProvider);
int i = 0;
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
DateTime oldBalancement = dateDebut;
portfolio = new Portfolio(Convert.ToDecimal(priceDelta.Price), compo, priceList[0].PriceList);
priceOption.Add(priceDelta.Price);
hedge.Add(portfolio.portfolioValue);
dates.Add(priceList[0].Date);
foreach (DataFeed priceAsset_t in priceList.Skip(1))
{
if (DayCount.CountBusinessDays(oldBalancement, priceAsset_t.Date) >= periodeRebalancement || priceAsset_t == priceList.Last())
{
priceDelta = PriceResults(option, priceAsset_t.PriceList, dateDebut, dataFeedProvider);
priceOption.Add(priceDelta.Price);
portfolio.UpdatePortfolioValue(priceAsset_t, dataFeedProvider.NumberOfDaysPerYear, oldBalancement);
i = 0;
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
hedge.Add(portfolio.portfolioValue);
dates.Add(priceAsset_t.Date);
portfolio.UpdateLiquidity(priceAsset_t);
portfolio.UpdateCompo(compo);
oldBalancement = priceAsset_t.Date;
}
}
}
public static void Main(string[] args)
{
int strike = 9;
double volatility = 0.4;
DateTime maturity = new DateTime(2019, 09, 04);
DateTime beginDate = new DateTime(2018, 09, 04);
int totalDays = DayCount.CountBusinessDays(beginDate, maturity);
Share[] share = { new Share("Sfr", "1254798") };
if (share.Length == 1)
{
VanillaCall callOption = new VanillaCall("Vanille", share[0], maturity, strike);
/* Simulated data feeds : */
SimulatedDataFeedProvider simulator = new SimulatedDataFeedProvider();
List <DataFeed> dataFeeds = simulator.GetDataFeed(callOption, beginDate);
int numberOfDaysPerYear = simulator.NumberOfDaysPerYear;
/* Portfolio initialisation : */
Portfolio portfolio = new Portfolio();
portfolio.PortfolioComposition = new Dictionary <String, double>();
Pricer pricer = new Pricer();
double spot = (double)dataFeeds[0].PriceList[share[0].Id];
PricingResults pricingResults = pricer.PriceCall(callOption, beginDate, totalDays, spot, volatility);
double callPrice = pricingResults.Price;
portfolio.FirstPortfolioValue = callPrice;
portfolio.CurrentPortfolioValue = callPrice;
portfolio.CurrentDate = beginDate;
double previousDelta = pricingResults.Deltas[0];
portfolio.PortfolioComposition.Add(share[0].Id, previousDelta);
double payoff = 0;
double[] optionValue = new Double[totalDays];
double[] portfolioValue = new Double[totalDays];
optionValue[0] = callPrice;
portfolioValue[0] = portfolio.CurrentPortfolioValue;
int indexArrays = 1;
/* Skip the first day : because it's already initialized*/
foreach (DataFeed data in dataFeeds.Skip(1))
{
if (data != dataFeeds.Last())
{
portfolio.updateValue(spot, data, pricer, callOption, volatility, numberOfDaysPerYear);
spot = updateSpot(data, share[0]);
double pricing = getPricingResult(data, callOption, pricer, volatility, numberOfDaysPerYear);
/* Fill arrays of optionValue and portfolioValue */
optionValue[indexArrays] = pricing;
portfolioValue[indexArrays] = portfolio.CurrentPortfolioValue;
Console.WriteLine("Valeur option = " + optionValue[indexArrays]);
Console.WriteLine("Valeur portefeuille = " + portfolioValue[indexArrays]);
}
/* For the last day : */
else
{
portfolio.CurrentDate = data.Date;
payoff = callOption.GetPayoff(data.PriceList);
}
indexArrays++;
}
/* Partie traçage de courbes */
using (System.IO.StreamWriter file =
new System.IO.StreamWriter(@"C:\Users\ensimag\Desktop\WriteLines.txt"))
{
for (int index = 0; index < totalDays; index++)
{
// If the line doesn't contain the word 'Second', write the line to the file.
file.WriteLine(optionValue[index]);
file.WriteLine(portfolioValue[index]);
}
}
//double valuePortfolio = (portfolio.currentPortfolioValue - payoff) / portfolio.firstPortfolioValue;
//Console.WriteLine("Valeur = " + valuePortfolio);
Portfolio portefolioTest = new Portfolio();
double finalportfolioValue = portfolio.updatePortfolio(pricer, callOption, dataFeeds, numberOfDaysPerYear, share[0], totalDays, volatility, beginDate);
Console.WriteLine("Valeur = " + finalportfolioValue);
}
}
public void UpdatePortfolioValue(DataFeed priceAsset_t, int nbJourParAn, DateTime oldBalancement)
{
this.portfolioValue = 0;
foreach (string id in priceAsset.Keys)
{
this.portfolioValue += Convert.ToDecimal(composition[id]) * priceAsset_t.PriceList[id];
}
this.portfolioValue += this.liquidity * Convert.ToDecimal(RiskFreeRateProvider.GetRiskFreeRateAccruedValue(DayCount.ConvertToDouble(
DayCount.CountBusinessDays(oldBalancement, priceAsset_t.Date) + 1, nbJourParAn)));
}