public PricingResults PriceResults(IOption option, Dictionary <string, decimal> priceMarket, DateTime dateDebut, IDataFeedProvider dataFeedProvider)
{
Pricer pricer = new Pricer();
int length = priceMarket.Count;
double[] spot = new double[length];
for (int i = 0; i < spot.Length; i++)
{
spot[i] = (double)priceMarket.ElementAt(i).Value;
}
if (option is VanillaCall)
{
VanillaCall optionVanilla = (VanillaCall)option;
PricingResults priceDelta = pricer.PriceCall(optionVanilla, dateDebut, dataFeedProvider.NumberOfDaysPerYear, spot[0], volatilite);
return(priceDelta);
}
else
{
BasketOption optionBasket = (BasketOption)option;
double[] volatilities = new double[optionBasket.Weights.Length];
for (int i = 0; i < optionBasket.Weights.Length; i++)
{
volatilities[i] = volatilite;
}
PricingResults priceDelta = pricer.PriceBasket(optionBasket, dateDebut, dataFeedProvider.NumberOfDaysPerYear, spot, volatilities, matrixCorrelation);
return(priceDelta);
}
}
public static double UpdatePortfolio(DateTime maturity, double risklessRate, DateTime date, SimulatedDataFeedProvider data, VanillaCall call, int nbDaysPerYear,
double volatility)
{
List <DataFeed> spotList = data.GetDataFeed(call, date); //
decimal spot = spotList[0].PriceList[call.UnderlyingShare.Id];
PricingResults price;
price = Pricer.PriceCall(call, date, nbDaysPerYear, (double)spot, volatility); //
double pricePortfolio = price.Price;
double delta = price.Deltas[0];
double riskyPosition = delta;
//Dictionary<string, decimal> price = datafeed.PriceList.TryGetValue(call.Name,out 0);
double riskFreePosition = pricePortfolio - delta * (double)spot;
while (date < maturity)
{
date.AddDays(1);
spotList = data.GetDataFeed(call, date); //
spot = spotList[0].PriceList[call.UnderlyingShare.Id];
pricePortfolio = riskyPosition * (double)spot + riskFreePosition * Math.Exp(risklessRate / 365);
price = Pricer.PriceCall(call, date, nbDaysPerYear, (double)spot, volatility); //
delta = price.Deltas[0];
riskyPosition = delta;
riskFreePosition = pricePortfolio - delta * (double)spot;
}
return(riskyPosition * (double)spot + riskFreePosition * Math.Exp(risklessRate / 365));
}
public override double CalculerPrix(int jour, AbstractData donnees, double[] spot, double[,] corr, double[] vol)
{
Pricer pricer = new Pricer();
DateTime dateAvancee = donnees.listeDate[jour];
double prix = pricer.PriceCall((VanillaCall)this.option, dateAvancee, 365, spot[0], vol[0]).Price;
return(prix);
}
public override double[] CalculerDeltas(int jour, AbstractData donnees, double[] vol, double[,] corr, double[] spot)
{
Pricer pricer = new Pricer();
DateTime dateAvancee = donnees.listeDate[jour];
double[] deltas = pricer.PriceCall((VanillaCall)this.option, dateAvancee, 365, spot[0], vol[0]).Deltas;
return(deltas);
}
public Balancement(DataFeed data)
{
DateTime dateDebut = DateTime.Now;
VanillaCall option = new VanillaCall("Vanilla Call", new Share("VanillaShare", "1"), new DateTime(2019, 12, 04), 8);
var priceList = dataFeedProvider.GetDataFeed(option, dateDebut);
//Je pense en fait que la fonction Pricer c'est la fonction doit être un fonction qui renvoit pricedelta et du
//coup c'est la bas qu'on differencie les baskets des vanilles
pricer = new Pricer();
PricingResults priceDelta = pricer.PriceCall(option, dateDebut, dataFeedProvider.NumberOfDaysPerYear, Convert.ToDouble(priceList[0].PriceList[option.UnderlyingShareIds[1]]), 0.25);
Dictionary <string, double> compo = new Dictionary <string, double> {
};
int i = 1;
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
// Le premier argument de portefeuille doit être le prix de l'option en 0;
//Le deuxième la compo
//le troisième le prix des actifs en 0
List <decimal> priceOption = new List <decimal> {
Convert.ToDecimal(priceDelta.Price)
};
Portfolio portfolio = new Portfolio(priceOption, compo, priceList[0].PriceList);
//Traitement des données
foreach (DataFeed priceAsset_t in priceList.Skip(1))
{
priceDelta = pricer.PriceCall(option, dateDebut, dataFeedProvider.NumberOfDaysPerYear, Convert.ToDouble(priceAsset_t.PriceList[option.UnderlyingShareIds[1]]), 0.25);
//updateCompo
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
portfolio.UpdatePortfolioValue(priceAsset_t, dataFeedProvider.NumberOfDaysPerYear, periodeRebalancement);
portfolio.UpdateCompo(compo);
}
}
/*
* Method to calculate all the pricings in between a certain date and the maturity.
*
* */
public List <PricingResults> pricingUntilMaturity(List <DataFeed> listDataFeed)
{
if (oName.Equals(null) || oShares.Equals(null) || oMaturity == null || oStrike.Equals(null) || listDataFeed.Count == 0)
{
throw new NullReferenceException();
}
List <PricingResults> listPrix = new List <PricingResults>();
List <DataFeed> listdf = new List <DataFeed>(listDataFeed);
VanillaCall vanny = new VanillaCall(oName, oShares, oMaturity, oStrike);
while (listdf.Count > oObservation)
{
calculVolatility(listdf);
double listPrice = (double)listdf[oObservation].PriceList[oShares[0].Id];
oSpot[0] = listPrice;
listPrix.Add(vanillaPricer.PriceCall(vanny, listdf[oObservation].Date, businessDays, oSpot[0], oVolatility[0]));
vanillaPricer.PriceCall(vanny, listdf[oObservation].Date, businessDays, oSpot[0], oVolatility[0]);
listdf.RemoveAt(0);
}
return(listPrix);
}
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);
}
}
override protected PricingResults ComputePricing(int dateIndex, double[] volatility, double[,] correlation)
{
var pricer = new Pricer();
return(pricer.PriceCall(Vanilla, MarketDataDates[dateIndex], 365, Spots[dateIndex][0], volatility[0]));
}
public PricingResults pricingResult()
{
Pricer pricer = new Pricer();
return(pricer.PriceCall((VanillaCall)option, date, nbJourParAn, spotPrice, 0.4));
}
