public static List<Instrument> ReadInstruments(List<RiskFactor> RFactors)
{
// Reading instrument contracts for our portfolio
List<Instrument> instruments = new List<Instrument>();
DataSet Instrument_Data = ReadRange("Instruments");
DataColumnCollection Column = Instrument_Data.Tables["Instruments"].Columns;
DataRowCollection Rows = Instrument_Data.Tables["Instruments"].Rows;
foreach (DataRow Row in Rows)
{
EquityRiskFactor RF = RFactors.Find(p => p.Equals(Convert.ToString(Row[0]))) as EquityRiskFactor;
InstrumentContract contract = new InstrumentContract(Convert.ToString(Row[0]),
Convert.ToString(Row[1]),
Convert.ToDouble(Row[2]),
Convert.ToDouble(Row[3]),
Convert.ToDouble(Row[4]),
RF.vol,
RF.riskFreeRate);
PricerFunction pricer = PricerFactory.CreatePricer(Convert.ToString(Row[1]));
instruments.Add(new Instrument(pricer, contract));
}
return instruments;
}
public static double pricePut(double date, int path, InstrumentContract instrumentContract, IScenario scenario)
{ //Put Black-Scholes
InstrumentContract Contract = instrumentContract as InstrumentContract;
double dcf = (Contract.optionDate - date) / 365.25;
if (dcf <= 0) return 0.0;
double spot = scenario.getValue(Contract.underlyingID, date, path);
double tmp = Contract.vol * Math.Sqrt(dcf);
double d1 = (Math.Log(spot / Contract.strike) + (Contract.riskFreeRate + (Contract.vol * Contract.vol) * 0.5) * dcf) / tmp;
double d2 = d1 - tmp;
return (Contract.strike * Math.Exp(-Contract.riskFreeRate * dcf) * Functions.N(-d2)) -
(spot * Functions.N(-d1));
}
public static double priceForward(double date, int path, InstrumentContract instrumentContract, IScenario scenario)
{
InstrumentContract Contract = instrumentContract as InstrumentContract;
double dcf = (Contract.optionDate - date) / 365.25;
if (dcf <= 0) return 0.0;
double Kdisc = Contract.strike * Math.Exp(-Contract.riskFreeRate * dcf);
double spot = scenario.getValue(Contract.underlyingID, date, path);
return spot - Kdisc;
}
// Constructor
public Instrument(PricerFunction pricer, InstrumentContract instrumentContract)
{
_pricer = pricer;
_instrumentContract = instrumentContract;
}