public ComputeParam()
{
data = new AccesDB.AccesBD();
Assets = new String[4] { "FTSE", "S&P", "NIKKEI", "EUROSTOXX"};
AssetsChange = new String[3] { "Eur/JPY", "Eur/USD", "Eur/GBP" };
mean = new double[4];
meanChange = new double[3];
Volatility = new double[4];
VolatilityChange = new double[3];
corel = new double[4, 4];
CorelChange = new double[3, 3];
}
protected void Page_Load(object sender, EventArgs e)
{
AccesBD BD = new AccesBD();
Panel1.Controls.Clear();
Panel1.Controls.Add(new LiteralControl(DateTime.Now.Day.ToString() + "/" + DateTime.Now.Month.ToString() + "/" + DateTime.Now.Year.ToString()));
String nomPd= null;
int nbParts = 0, valNom = 0;
int info = BD.GetInfoProd(ref nomPd, ref nbParts,ref valNom);
if (info != 0)
{
Panel4.Controls.Clear();
Panel5.Controls.Clear();
Panel6.Controls.Clear();
Panel4.Controls.Add(new LiteralControl(nbParts.ToString()));
Panel5.Controls.Add(new LiteralControl((valNom).ToString() + "€"));
LiteralControl ok = (LiteralControl)Panel2.Controls[0];
Panel6.Controls.Add(new LiteralControl(Math.Round((100 * double.Parse(nbParts.ToString()) / double.Parse(ok.Text.ToString())), 2).ToString() + "%"));
}
}
protected void ChangePart(object sender, EventArgs e)
{
try
{
AccesBD BD = new AccesBD();
int.Parse(TextBox1.Text);
Panel4.Controls.Clear();
Panel5.Controls.Clear();
Panel6.Controls.Clear();
String parts = TextBox1.Text;
Panel4.Controls.Add(new LiteralControl(parts));
Panel5.Controls.Add(new LiteralControl((double.Parse(parts) * 150).ToString() + "€"));
LiteralControl ok = (LiteralControl)Panel2.Controls[0];
Panel6.Controls.Add(new LiteralControl(Math.Round((100*double.Parse(parts)/double.Parse(ok.Text.ToString())),2).ToString()+"%"));
BD.InsertInfoProd("Playlist 2", int.Parse(parts), int.Parse(parts) * 150);
}
catch
{
System.Console.Write("error");
}
}
protected void Hedge(object sender, EventArgs e)
{
//Affichage de la courbe associée au portefeuille
DateTime DateDeb = DateTime.Parse(datepicker.Text.ToString());
DateTime DateFin = DateTime.Parse(datepicker2.Text.ToString());
TimeSpan difference = DateFin.Date - DateDeb.Date ;
double rebalancement = double.Parse(estimate_time.Text.ToString());
WrapperClass wrap = new WrapperClass(4,60);
AccesBD acces = new AccesDB.AccesBD();
acces.DeleteCompo(new DateTime(2000, 1, 1), new DateTime(2010, 4, 28));
//acces.getAssetSpot("FTSE", DateDeb, DateDeb);
AfficheBD affiche = new AffichageBD.AfficheBD();
double[] spot = new double[4];
//On fait l'approximation que tout les spots commençent à la même date et on ne tient pas compte des paramètres pour le moment
ComputeParam cp = new ComputeParam();
cp.param(400,DateDeb.AddDays(-300));
double[] sigma = new double[4];
double[] rho = new double[16];
for (int i = 0; i<4; i++){
sigma[i] = cp.Volatility[i];
for (int j = 0 ; j < 4; j++){
rho[i*4+j] = cp.Corel[i,j];
}
}
double[] coeff = new double[4];
double[][] past = new double[4][];
for (int i = 0; i<4; i++){
coeff[i] = 0.25;
}
String Date = datepicker.Text.ToString();
DateTime Datee = DateDeb;
Chart1.Titles.Add("Composition du portefeuille de couverture");
Chart1.Legends.Add(new Legend("Valeur du portefeuille"));
Chart1.Legends.Add(new Legend("Valeur du produit"));
Chart1.Series[0].Name = "Valeur du portefeuille";
Chart1.Series[1].Name = "Valeur du produit";
DateTime previousDate = DateDeb;
int pas = (difference.Days) / (int)rebalancement+1;
DateTime DateFinBD = new DateTime(1,1,1);
spot = acces.getLastSpot(ref DateFinBD);
bool firstPas = true;
int taille = ((((DateFin.Date - DateDeb.Date).Days) / pas) + 1);
while ((DateFin.CompareTo(DateDeb) > 0 && acces.getCurrentValLiq(DateDeb)!=0) || firstPas)
{
firstPas = false;
past[0] = acces.getAssetSpot("FTSE", DateDeb, Datee,pas);
past[1] = acces.getAssetSpot("S&P", DateDeb, Datee,pas);
past[2] = acces.getAssetSpot("NIKKEI", DateDeb, Datee,pas);
past[3] = acces.getAssetSpot("EUROSTOXX", DateDeb, Datee,pas);
double[] realPast = new double[past[0].Length * 4];
for (int i = 0; i < 4; i++)
{
for (int j = 0; j < past[0].Length; j++)
{
realPast[i * past[0].Length + j] = past[i][j];
}
}
double risk = acces.getCurrentRisk(previousDate);
double riskfree = acces.getCurrentRiskFree(previousDate);
double[] tmpDelta = acces.getDelta(previousDate);
//Traitement du cas où la date de départ est celle de début du produit
//Changer le Past en tableaux bidimmensionnels !!
wrap.computePortfolio(past[0].Length, 4, 30, 1000, (int)rebalancement, ((DateFin.Date - Datee.Date).Days) / 365.0, (DateDeb-Datee).Days/365.0, 0.05, sigma, rho, coeff, realPast);
acces.Insert(DateDeb, wrap.getPrice(), wrap.getDelta(), wrap.getRiskFree(), wrap.getRisk());
//Affichage du portefeuille
if (wrap.getPrice() != 0)
{
Chart1.Series[0].Points.AddXY(DateDeb, wrap.getRisk() + wrap.getRiskFree());
Chart1.Series[1].Points.AddXY(DateDeb, wrap.getPrice());
}
//Chart1.Series[1].Points.AddXY(DateDeb, risk + riskfree);
previousDate = DateDeb;
DateDeb = DateDeb.AddDays(pas);
}
string[,] toolti = acces.extractData(DateTime.Parse(datepicker.Text.ToString()), DateTime.Parse(datepicker2.Text.ToString()));
for (int i = 0; i < Chart1.Series[0].Points.Count; i++)
{
Chart1.Series[0].Points[i].ToolTip = string.Format("Date = {0}, Valeur Portefeuille = {1}", toolti[2,i], Math.Round(double.Parse(toolti[1,i]),2));
Chart1.Series[1].Points[i].ToolTip = string.Format("Date = {0}, Valeur Liquidative = {1}", toolti[2, i], Math.Round(double.Parse(toolti[0, i]), 2));
}
Affichage.Style.Add(HtmlTextWriterStyle.Display, "inline");
}
protected void Page_Load(object sender, EventArgs e)
{
if (!IsPostBack)
{
//Initialisation manuelle de la base de données en ajoutant les cours des actifs
AccesBD acces = new AccesDB.AccesBD();
DateTime LastDat = new DateTime(1,1,1);
acces.getLastPepDate(ref LastDat);
List<HistoricalColumn> list = new List<HistoricalColumn>();
list.Add(HistoricalColumn.Close);
List<String> symbol = new List<String>();
symbol.Add("^FTSE");
symbol.Add("^GSPC");
symbol.Add("^N225");
symbol.Add("^STOXX50E");
DataActif actif = new DataActif(symbol, list, LastDat, DateTime.Now);
actif.ImportData(new ImportYahoo());
// actif.Export(new DBExporter());
//Initialisation des taux de changes
List<Currency> curr = new List<Currency>();
curr.Add(Currency.USD);
curr.Add(Currency.JPY);
curr.Add(Currency.GBP);
DateTime init = LastDat.Date;
DBExporter hello = new DBExporter();
DataFXTop xchange;
while (DateTime.Now.CompareTo(init) > 0)
{
if (init.AddYears(1).CompareTo(DateTime.Now) > 0)
{
xchange = new DataFXTop(Currency.EUR, curr, init, DateTime.Now, Frequency.Daily);
xchange.ImportData(new ParserFXTop());
hello.Export(actif, xchange, init, DateTime.Now);
init = DateTime.Now;
}
else
{
xchange = new DataFXTop(Currency.EUR, curr, init, init.AddYears(1), Frequency.Daily);
xchange.ImportData(new ParserFXTop());
hello.Export(actif, xchange, init, init.AddYears(1));
init = init.AddYears(1).AddDays(1);
}
}
hidden_estimate.Value = "300";
}
}
