private void button4_Click(object sender, EventArgs e) //search a selected rate
{
try
{
int id = Convert.ToInt32(textBox_rateID.Text);
using (var db = new MyEntityModelContainer())
{
var data = (from tt in db.Entity_rate
where tt.Id == id
select new
{
id = tt.Id,
tenor = tt.Tenor,
insterest_rate = tt.Interest_rate
}).ToList();
if (data.FirstOrDefault() == null)
{
MessageBox.Show("Selected ID does not exist!"); //if not return result
}
else
{
foreach (var item in data)
{
textBox_rateID.Text = item.id.ToString();
textBox_tenor.Text = item.tenor.ToString();
textBox_rate.Text = item.insterest_rate.ToString();
}
}
}
}
catch (Exception x)
{
MessageBox.Show("Error:" + x);
}
}
private void button_search_Click(object sender, EventArgs e)
{
try
{
int id = Convert.ToInt32(textBox_id.Text);
using (var db = new MyEntityModelContainer())
{
var data = (from instrument in db.Entity_instrument
where instrument.Id == id
select new
{
id = instrument.Id,
ticker = instrument.Ticker,
exchange = instrument.Exchange,
companyname = instrument.CompanyName,
underlying = instrument.Underlying,
rateid = instrument.Entity_rateId,
strike = instrument.Strike,
tenor = instrument.Tenor,
rebate = instrument.Rebate,
barrier = instrument.Barrier,
type = instrument.Type,
instype = instrument.Instype
}).ToList();
if (data.FirstOrDefault() == null)
{
MessageBox.Show("Selected ID does not exist!"); //if not return result
}
else
{
foreach (var q in data)
{
textBox_exchange.Text = q.exchange.ToString();
textBox_companyname.Text = q.companyname.ToString();
textBox_Ticker.Text = q.ticker.ToString();
textBox_strike.Text = q.strike.ToString();
textBox_barrier.Text = q.barrier.ToString();
textBox_rateid.Text = q.rateid.ToString();
textBox_tenor.Text = q.tenor.ToString();
textBox_Underlying.Text = q.underlying.ToString();
textBox_rebate.Text = q.rebate.ToString();
comboBox_istype.SelectedItem = q.instype.ToString();
comboBox_type.SelectedItem = q.type.ToString();
}
}
}
}
catch (Exception x)
{
MessageBox.Show("Error:" + x);
}
}
} //edit history price
private void refreshTradesFromDatabaseToolStripMenuItem_Click(object sender, EventArgs e) //display all trades in database
{
try
{
using (var db = new MyEntityModelContainer())
{
var data = (from trade in db.Entity_Trade
join inst in db.Entity_instrument on trade.Entity_instrumentId equals inst.Id
select new
{
id = trade.Id,
direction = trade.Direction,
quantity = trade.Quantity,
instrumentid = inst.Id,
type = inst.Type,
instrumenttype = inst.Instype,
tradeprice = trade.Tradeprice
}).ToList();
Listview_Alltrades.Items.Clear(); //clear listview
foreach (var q in data) //display listview in listview_alltrades
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
if (q.type == null)
{
lv.SubItems.Add("Neither call nor put");
}
else
{
lv.SubItems.Add(q.type.ToString());
}
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
Listview_Alltrades.Items.Add(lv);
}
MessageBox.Show("Refresh successfully!");
}
}
catch (Exception x)
{
MessageBox.Show("Error:" + x);
}
}
private void button4_Click(object sender, EventArgs e) //search selected trade
{
try
{
int id = Convert.ToInt32(textBox_tradeID.Text);
using (var db = new MyEntityModelContainer())
{
var data = (from tt in db.Entity_Trade //search trade with selected id
where tt.Id == id
select new
{
id = tt.Id,
direction = tt.Direction,
quantity = tt.Quantity,
instrumentid = tt.Entity_instrumentId,
tradeprice = tt.Tradeprice
}).ToList();
if (data.FirstOrDefault() == null)
{
MessageBox.Show("Selected ID does not exist!"); //if not return result
}
else
{
foreach (var item in data) //display data
{
textBox_quantity.Text = item.quantity.ToString();
textBox_instid.Text = item.instrumentid.ToString();
textBox_tradeprice.Text = item.tradeprice.ToString();
if (item.direction == 0)
{
textBox_direction.Text = "Sell";
}
else
{
textBox_direction.Text = "Buy";
}
}
}
}
}
catch (Exception x)
{
MessageBox.Show("Error:" + x);
}
}
private void button4_Click(object sender, EventArgs e) //search selected history price
{
try
{
int id = Convert.ToInt32(textBox_id.Text);
using (var db = new MyEntityModelContainer())
{
var data = (from tt in db.Entity_Historyprice
where tt.Id == id
select new
{
id = tt.Id,
companyname = tt.CompanyName,
ticker = tt.Ticker,
closeprice = tt.ClosePrice,
date = tt.Date
}).ToList();
if (data.FirstOrDefault() == null)
{
MessageBox.Show("Selected ID does not exist!"); //if not return result
}
else
{
foreach (var item in data)
{
textBox_name.Text = item.companyname.ToString();
textBox_companyticker.Text = item.ticker.ToString();
textBox_date.Text = item.date.ToString();
textBox_histprice.Text = item.closeprice.ToString();
}
}
}
}
catch (Exception x)
{
MessageBox.Show("Error:" + x);
}
}
//compute greek and mark price in very trade
private void priceBookUsingSimulationToolStripMenuItem_Click(object sender, EventArgs e)
{
try
{
if (textBox_vol.Text == "")
{
MessageBox.Show("You need input a volatility!");
}
using (var db = new MyEntityModelContainer())
{
double vol = Convert.ToDouble(textBox_vol.Text); //get vol
int core = System.Environment.ProcessorCount; //get num of core
var data = (from trade in db.Entity_Trade //get data from database
join inst in db.Entity_instrument on trade.Entity_instrumentId equals inst.Id
join r in db.Entity_rate on inst.Entity_rateId equals r.Id
join price in db.Entity_Historyprice on inst.Ticker equals price.Ticker
select new //get enough parameter to compute greek and simulation price
{
id = trade.Id,
direction = trade.Direction,
quantity = trade.Quantity,
instrumentid = trade.Entity_instrumentId,
type = inst.Type,
instrumenttype = inst.Instype,
tradeprice = trade.Tradeprice,
underlying = inst.Underlying,
strike = inst.Strike,
tenor = inst.Tenor,
rate = r.Interest_rate,
rebate = inst.Rebate,
barrier = inst.Barrier,
histprice = price.ClosePrice
}).ToList();
Listview_Alltrades.Items.Clear();
Listview_totals.Items.Clear();
foreach (var q in data) //output data in listview
{
string instrumentype = q.instrumenttype; double delta; double rho; double gamma;
double vega; double theta; double PL;
if (instrumentype == "Stock") //if instrument is stock
{
ListViewItem lv = new ListViewItem(q.id.ToString()); //get an instrument line
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add("neither call nor put");
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
lv.SubItems.Add(q.histprice.ToString()); //close price as mark price
PL = (q.histprice - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity; //compute p&l
delta = (q.direction - 0.5) * 2 * q.quantity;
vega = 0; rho = 0; theta = 0; gamma = 0;
lv.SubItems.Add(PL.ToString());
lv.SubItems.Add(delta.ToString());
lv.SubItems.Add(gamma.ToString());
lv.SubItems.Add(vega.ToString());
lv.SubItems.Add(theta.ToString());
lv.SubItems.Add(rho.ToString());
Listview_Alltrades.Items.Add(lv);
}
else if (instrumentype == "European") //if instrument type is european option
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add(q.type.ToString());
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
multiplethread thread = new multiplethread();
double strike = Convert.ToDouble(q.strike);
bool iscall = q.type == "Call";
double tenor = Convert.ToDouble(q.tenor);
thread.Strike = strike; thread.Stockprice = q.underlying; thread.Time = 1; thread.Step = 200; thread.Trial = 10000; thread.Vol = vol; thread.Rate = q.rate;
thread.getlength();
double[] list1 = thread.threadpractice(strike, q.underlying, q.rate, vol, 200, 10000, core, tenor, false, false, iscall);
PL = (list1[5] - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity;
delta = (q.direction - 0.5) * 2 * q.quantity * list1[0];
vega = list1[2] * (q.direction - 0.5) * 2 * q.quantity;
rho = list1[3] * (q.direction - 0.5) * 2 * q.quantity;
theta = list1[4] * (q.direction - 0.5) * 2 * q.quantity;
gamma = list1[1] * (q.direction - 0.5) * 2 * q.quantity;
lv.SubItems.Add(list1[5].ToString()); //simulation price
lv.SubItems.Add(PL.ToString()); //P and L
lv.SubItems.Add(delta.ToString()); //delta
lv.SubItems.Add(gamma.ToString()); //gamma
lv.SubItems.Add(vega.ToString()); //vega
lv.SubItems.Add(theta.ToString()); //theta
lv.SubItems.Add(rho.ToString()); //rho
Listview_Alltrades.Items.Add(lv);
}
else if (instrumentype == "Asian") //if instrument type is asian option
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add(q.type.ToString());
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
multiplethread_asian thread = new multiplethread_asian();
double strike = Convert.ToDouble(q.strike);
bool iscall = q.type == "Call";
double tenor = Convert.ToDouble(q.tenor);
thread.Strike = strike; thread.Stockprice = q.underlying; thread.Time = tenor; thread.Step = 200; thread.Trial = 10000; thread.Vol = vol; thread.Rate = q.rate;
thread.getlength();
double[] list1 = thread.threadpractice(strike, q.underlying, q.rate, vol, 200, 10000, core, tenor, false, false, iscall);
PL = (list1[5] - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity;
delta = (q.direction - 0.5) * 2 * q.quantity * list1[0];
vega = list1[2] * (q.direction - 0.5) * 2 * q.quantity;
rho = list1[3] * (q.direction - 0.5) * 2 * q.quantity;
theta = list1[4] * (q.direction - 0.5) * 2 * q.quantity;
gamma = list1[1] * (q.direction - 0.5) * 2 * q.quantity;
lv.SubItems.Add(list1[5].ToString()); //simulation price
lv.SubItems.Add(PL.ToString()); //P and L
lv.SubItems.Add(delta.ToString()); //delta
lv.SubItems.Add(gamma.ToString()); //gamma
lv.SubItems.Add(vega.ToString()); //vega
lv.SubItems.Add(theta.ToString()); //theta
lv.SubItems.Add(rho.ToString()); //rho
Listview_Alltrades.Items.Add(lv);
}
else if (instrumentype == "Lookback")//if instrument type is lookback option
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add(q.type.ToString());
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
multiplethread_lookback thread = new multiplethread_lookback();
double strike = Convert.ToDouble(q.strike);
bool iscall = q.type == "Call";
double tenor = Convert.ToDouble(q.tenor);
thread.Strike = strike; thread.Stockprice = q.underlying; thread.Time = tenor; thread.Step = 200; thread.Trial = 10000; thread.Vol = vol; thread.Rate = q.rate;
thread.getlength();
double[] list1 = thread.threadpractice(strike, q.underlying, q.rate, vol, 200, 10000, core, tenor, false, false, iscall);
PL = (list1[5] - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity;
delta = (q.direction - 0.5) * 2 * q.quantity * list1[0];
vega = list1[2] * (q.direction - 0.5) * 2 * q.quantity;
rho = list1[3] * (q.direction - 0.5) * 2 * q.quantity;
theta = list1[4] * (q.direction - 0.5) * 2 * q.quantity;
gamma = list1[1] * (q.direction - 0.5) * 2 * q.quantity;
lv.SubItems.Add(list1[5].ToString()); //simulation price
lv.SubItems.Add(PL.ToString()); //P and L
lv.SubItems.Add(delta.ToString()); //delta
lv.SubItems.Add(gamma.ToString()); //gamma
lv.SubItems.Add(vega.ToString()); //vega
lv.SubItems.Add(theta.ToString()); //theta
lv.SubItems.Add(rho.ToString()); //rho
Listview_Alltrades.Items.Add(lv);
}
else if (instrumentype == "Digital")//if instrument type is digital option
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add(q.type.ToString());
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
multiplethread_digital thread = new multiplethread_digital();
double strike = Convert.ToDouble(q.strike);
double rebate = Convert.ToDouble(q.rebate);
thread.Rebate = rebate;
bool iscall = q.type == "Call";
double tenor = Convert.ToDouble(q.tenor);
thread.Strike = strike; thread.Stockprice = q.underlying; thread.Time = tenor; thread.Step = 200; thread.Trial = 10000; thread.Vol = vol; thread.Rate = q.rate;
thread.getlength();
double[] list1 = thread.threadpractice(strike, q.underlying, q.rate, vol, 200, 10000, core, tenor, false, false, iscall);
PL = (list1[5] - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity;
delta = (q.direction - 0.5) * 2 * q.quantity * list1[0];
vega = list1[2] * (q.direction - 0.5) * 2 * q.quantity;
rho = list1[3] * (q.direction - 0.5) * 2 * q.quantity;
theta = list1[4] * (q.direction - 0.5) * 2 * q.quantity;
gamma = list1[1] * (q.direction - 0.5) * 2 * q.quantity;
lv.SubItems.Add(list1[5].ToString()); //simulation price
lv.SubItems.Add(PL.ToString()); //P and L
lv.SubItems.Add(delta.ToString()); //delta
lv.SubItems.Add(gamma.ToString()); //gamma
lv.SubItems.Add(vega.ToString()); //vega
lv.SubItems.Add(theta.ToString()); //theta
lv.SubItems.Add(rho.ToString()); //rho
Listview_Alltrades.Items.Add(lv);
}
else if (instrumentype == "Range")//if instrument type is range option
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add(q.type.ToString());
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
multiplethread_range thread = new multiplethread_range();
double strike = 0;
double rebate = Convert.ToDouble(q.rebate);
bool iscall = q.type == "Call";
double tenor = Convert.ToDouble(q.tenor);
thread.Strike = strike; thread.Stockprice = q.underlying; thread.Time = tenor; thread.Step = 200; thread.Trial = 10000; thread.Vol = vol; thread.Rate = q.rate;
thread.getlength();
double[] list1 = thread.threadpractice(strike, q.underlying, q.rate, vol, 200, 10000, core, tenor, false, false, iscall);
PL = (list1[5] - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity;
delta = (q.direction - 0.5) * 2 * q.quantity * list1[0];
vega = list1[2] * (q.direction - 0.5) * 2 * q.quantity;
rho = list1[3] * (q.direction - 0.5) * 2 * q.quantity;
theta = list1[4] * (q.direction - 0.5) * 2 * q.quantity;
gamma = list1[1] * (q.direction - 0.5) * 2 * q.quantity;
lv.SubItems.Add(list1[5].ToString()); //simulation price
lv.SubItems.Add(PL.ToString()); //P and L
lv.SubItems.Add(delta.ToString()); //delta
lv.SubItems.Add(gamma.ToString()); //gamma
lv.SubItems.Add(vega.ToString()); //vega
lv.SubItems.Add(theta.ToString()); //theta
lv.SubItems.Add(rho.ToString()); //rho
Listview_Alltrades.Items.Add(lv);
}
else //if instrument type is barrier option
{
ListViewItem lv = new ListViewItem(q.id.ToString());
if (q.direction == 0)
{
lv.SubItems.Add("Sell");
}
else
{
lv.SubItems.Add("Buy");
}
lv.SubItems.Add(q.quantity.ToString());
lv.SubItems.Add(q.instrumentid.ToString());
lv.SubItems.Add(q.type.ToString());
lv.SubItems.Add(q.instrumenttype.ToString());
lv.SubItems.Add(q.tradeprice.ToString());
multiplethread_barrier thread = new multiplethread_barrier();
double strike = 0;
double rebate = Convert.ToDouble(q.rebate);
bool iscall = q.type == "Call";
double barrier = Convert.ToDouble(q.barrier);
thread.Bar = barrier;//input barrier
thread.IsOut = q.instrumenttype == "Barrier(Down out)" || q.instrumenttype == "Barrier(Up out)";
thread.IsDown = q.instrumenttype == "Barrier(Down out)" || q.instrumenttype == "Barrier(Down in)";
double tenor = Convert.ToDouble(q.tenor);
thread.Strike = strike; thread.Stockprice = q.underlying; thread.Time = tenor; thread.Step = 200; thread.Trial = 10000; thread.Vol = vol; thread.Rate = q.rate;
thread.getlength();
double[] list1 = thread.threadpractice(strike, q.underlying, q.rate, vol, 200, 10000, core, tenor, false, false, iscall);
PL = (list1[5] - q.tradeprice) * (q.direction - 0.5) * 2 * q.quantity;
delta = (q.direction - 0.5) * 2 * q.quantity * list1[0];
vega = list1[2] * (q.direction - 0.5) * 2 * q.quantity;
rho = list1[3] * (q.direction - 0.5) * 2 * q.quantity;
theta = list1[4] * (q.direction - 0.5) * 2 * q.quantity;
gamma = list1[1] * (q.direction - 0.5) * 2 * q.quantity;
lv.SubItems.Add(list1[5].ToString()); //simulation price
lv.SubItems.Add(PL.ToString()); //P and L
lv.SubItems.Add(delta.ToString()); //delta
lv.SubItems.Add(gamma.ToString()); //gamma
lv.SubItems.Add(vega.ToString()); //vega
lv.SubItems.Add(theta.ToString()); //theta
lv.SubItems.Add(rho.ToString()); //rho
Listview_Alltrades.Items.Add(lv);
}
}
} MessageBox.Show("Simulation has been done!");//finish simulation
}
catch (Exception x)
{
MessageBox.Show("Error:" + x);
}
}