// Création et initialisation du portefeuille de couverture de l'option
public HedgingPortfolio createPortfolio(Option option, PricingResults pricingResults, List<DataFeed> dataFeedList, DateTime date)
{
System.Collections.Generic.Dictionary<string, double> sharesQuantities = new System.Collections.Generic.Dictionary<string, double>();
double[] shareSpots = Utilities.shareSpots(dataFeedList, date);
double portfolioSharesValue = 0;
for (int i = 0; i < pricingResults.Deltas.Length; i++)
{
sharesQuantities.Add(option.UnderlyingShareIds[i], pricingResults.Deltas[i]);
portfolioSharesValue += pricingResults.Deltas[i] * shareSpots[i];
}
double riskFreeRateInvestment = pricingResults.Price - portfolioSharesValue;
HedgingPortfolio portfolio = new HedgingPortfolio(sharesQuantities, riskFreeRateInvestment);
return portfolio;
}
private Dictionary<System.DateTime, ResultValue> computeResults(Option option, HedgingPortfolio portfolio, CompositionProvider compositionProvider, List<DataFeed> dataFeedList, int windowLength, int nbDaysYear, bool isSimulated)
{
Dictionary<System.DateTime, ResultValue> plotResults = new Dictionary<System.DateTime, ResultValue>();
// Rebalancement du portfeuille au cours du temps
double riskFreeRate = 0;
for (int i = windowLength; i < dataFeedList.Count() - 2; i++)
{
// Calcul du taux sans risque proratisé
riskFreeRate = Utilities.computeAccruedRiskFreeRate(dataFeedList[i].Date, dataFeedList[i + 1].Date, nbDaysYear, isSimulated);
// Rebalancement et actualisation de la valeur du portefeuille
PricingResults pricingResults = compositionProvider.getComposition(dataFeedList, dataFeedList[i].Date, windowLength, nbDaysYear);
portfolio.update(dataFeedList[i].PriceList, pricingResults.Deltas, riskFreeRate);
ResultValue curentValue = new ResultValue(pricingResults.Price, portfolio.Value);
plotResults.Add(dataFeedList[i].Date, curentValue);
}
// Calcul du taux sans risque proratisé
riskFreeRate = Utilities.computeAccruedRiskFreeRate(dataFeedList[dataFeedList.Count() - 2].Date, dataFeedList[dataFeedList.Count() - 1].Date, nbDaysYear, isSimulated);
// Valeur finale du portefeuille
portfolio.computeValue(dataFeedList[dataFeedList.Count() - 1].PriceList, riskFreeRate);
ResultValue finalValue = new ResultValue(option.GetPayoff(dataFeedList.Last().PriceList), portfolio.Value);
plotResults.Add(dataFeedList.Last().Date, finalValue);
return plotResults;
}
public PortfolioEstimator(HedgingPortfolio hedgingPortfolio)
{
HedgingPortfolio = hedgingPortfolio;
}