public void BlackScholesRhoPutUsingValidData_ReturnsExpected()
{
var calculations = new Calculations();
Double expected = -17.21863;
var inputData = new BlackScholesInputData(58.6, 60.0, .5, .01, .3);
Double actual = Math.Round(calculations.BlackScholesRho(inputData, PutCallFlag.Put), 5);
Assert.AreEqual(expected, actual);
}
public void BlackScholesVegaUsingValidData_ReturnsExpected()
{
var calculations = new Calculations();
Double expected = 16.52798;
var inputData = new BlackScholesInputData(58.6, 60.0, .5, .01, .3);
Double actual = Math.Round(calculations.BlackScholesVega(inputData), 5);
Assert.AreEqual(expected, actual);
}
private void GoButton_Click(object sender, RoutedEventArgs e)
{
FileSystemStockProvider provider = new FileSystemStockProvider(@"C:\Data\TEST.txt");
var stockPrices = provider.GetData().Take(20);
this.StockPriceDataGrid.ItemsSource = stockPrices;
var adjustedClosePrices = from stockPrice in stockPrices
select stockPrice.Item7;
var dates = from stockPrice in stockPrices.Skip(2)
select new { stockPrice.Item1 };
var calculations = new Calculations();
var movingAverage = calculations.MovingAverage(adjustedClosePrices, 3);
var movingAverages = dates.Zip(movingAverage, (d, p) => new { date=d.Item1, price=p});
var bollingerBands = calculations.BollingerBands(adjustedClosePrices, 3);
var upperBandBands = dates.Zip(bollingerBands, (d, bb) => new { date = d.Item1, upperBand = bb.Item1 + (bb.Item2 * 2) });
var lowerBandBands = dates.Zip(bollingerBands, (d, bb) => new { date = d.Item1, lowerBand = bb.Item1 + (bb.Item2 * 2) * -1 });
this.stockPriceLineGraph.DependentValuePath = "price";
this.stockPriceLineGraph.IndependentValuePath = "date";
this.stockPriceLineGraph.ItemsSource = movingAverages;
this.stockPriceLineGraph2.DependentValuePath = "upperBand";
this.stockPriceLineGraph2.IndependentValuePath = "date";
this.stockPriceLineGraph2.ItemsSource = upperBandBands;
this.stockPriceLineGraph3.DependentValuePath = "lowerBand";
this.stockPriceLineGraph3.IndependentValuePath = "date";
this.stockPriceLineGraph3.ItemsSource = lowerBandBands;
var latestPrice = stockPrices.Last();
var adjustedClose = latestPrice.Item7;
var closestDollar = Math.Round(adjustedClose, 0);
var theGreeks = new List<GreekData>();
for (int i = 0; i < 5; i++)
{
var greekData = new GreekData();
greekData.StrikePrice = closestDollar - i;
theGreeks.Add(greekData);
greekData = new GreekData();
greekData.StrikePrice = closestDollar + i;
theGreeks.Add(greekData);
}
theGreeks.Sort((greek1,greek2)=>greek1.StrikePrice.CompareTo(greek2.StrikePrice));
foreach (var greekData in theGreeks)
{
var inputData =
new BlackScholesInputData(adjustedClose, greekData.StrikePrice, .5, .01, .3);
greekData.DeltaCall = calculations.BlackScholesDelta(inputData, PutCallFlag.Call);
greekData.DeltaPut = calculations.BlackScholesDelta(inputData, PutCallFlag.Put);
greekData.Gamma = calculations.BlackScholesGamma(inputData);
greekData.RhoCall = calculations.BlackScholesRho(inputData, PutCallFlag.Call);
greekData.RhoPut = calculations.BlackScholesRho(inputData, PutCallFlag.Put);
greekData.ThetaCall = calculations.BlackScholesTheta(inputData, PutCallFlag.Call);
greekData.ThetaPut = calculations.BlackScholesTheta(inputData, PutCallFlag.Put);
greekData.Vega = calculations.BlackScholesVega(inputData);
}
this.TheGreeksDataGrid.ItemsSource = theGreeks;
var blackScholes = new List<BlackScholesData>();
for (int i = 0; i < 5; i++)
{
var blackScholesData = new BlackScholesData();
blackScholesData.StrikePrice = closestDollar - i;
blackScholes.Add(blackScholesData);
blackScholesData = new BlackScholesData();
blackScholesData.StrikePrice = closestDollar + i;
blackScholes.Add(blackScholesData);
}
blackScholes.Sort((bsmc1, bsmc2) => bsmc1.StrikePrice.CompareTo(bsmc2.StrikePrice));
var random = new System.Random();
List<Double> randomData = new List<double>();
for (int i = 0; i < 1000; i++)
{
randomData.Add(random.NextDouble());
}
foreach (var blackScholesMonteCarlo in blackScholes)
{
var blackScholesInputData =
new BlackScholesInputData(adjustedClose, blackScholesMonteCarlo.StrikePrice, .5, .01, .3);
var monteCarloInputData =
new MonteCarloInputData(adjustedClose, blackScholesMonteCarlo.StrikePrice, .5, .01, .3);
blackScholesMonteCarlo.Call = calculations.BlackScholes(blackScholesInputData, PutCallFlag.Call);
blackScholesMonteCarlo.Put = calculations.BlackScholes(blackScholesInputData, PutCallFlag.Put);
blackScholesMonteCarlo.MonteCarlo = calculations.MonteCarlo(monteCarloInputData, randomData);
}
this.BlackScholesDataGrid.ItemsSource = blackScholes;
}
private void GoButton_Click(object sender, RoutedEventArgs e)
{
FileSystemStockProvider provider = new FileSystemStockProvider(@"C:\Data\TEST.txt");
var stockPrices = provider.GetData().Take(20);
this.StockPriceDataGrid.ItemsSource = stockPrices;
var adjustedClosePrices = from stockPrice in stockPrices
select stockPrice.Item7;
var dates = from stockPrice in stockPrices.Skip(2)
select new { stockPrice.Item1 };
var calculations = new Calculations();
var movingAverage = calculations.MovingAverage(adjustedClosePrices, 3);
var movingAverages = dates.Zip(movingAverage, (d, p) => new { date = d.Item1, price = p });
var bollingerBands = calculations.BollingerBands(adjustedClosePrices, 3);
var upperBandBands = dates.Zip(bollingerBands, (d, bb) => new { date = d.Item1, upperBand = bb.Item1 + (bb.Item2 * 2) });
var lowerBandBands = dates.Zip(bollingerBands, (d, bb) => new { date = d.Item1, lowerBand = bb.Item1 + (bb.Item2 * 2) * -1 });
this.stockPriceLineGraph.DependentValuePath = "price";
this.stockPriceLineGraph.IndependentValuePath = "date";
this.stockPriceLineGraph.ItemsSource = movingAverages;
this.stockPriceLineGraph2.DependentValuePath = "upperBand";
this.stockPriceLineGraph2.IndependentValuePath = "date";
this.stockPriceLineGraph2.ItemsSource = upperBandBands;
this.stockPriceLineGraph3.DependentValuePath = "lowerBand";
this.stockPriceLineGraph3.IndependentValuePath = "date";
this.stockPriceLineGraph3.ItemsSource = lowerBandBands;
var latestPrice = stockPrices.Last();
var adjustedClose = latestPrice.Item7;
var closestDollar = Math.Round(adjustedClose, 0);
var theGreeks = new List <GreekData>();
for (int i = 0; i < 5; i++)
{
var greekData = new GreekData();
greekData.StrikePrice = closestDollar - i;
theGreeks.Add(greekData);
greekData = new GreekData();
greekData.StrikePrice = closestDollar + i;
theGreeks.Add(greekData);
}
theGreeks.Sort((greek1, greek2) => greek1.StrikePrice.CompareTo(greek2.StrikePrice));
foreach (var greekData in theGreeks)
{
var inputData =
new BlackScholesInputData(adjustedClose, greekData.StrikePrice, .5, .01, .3);
greekData.DeltaCall = calculations.BlackScholesDelta(inputData, PutCallFlag.Call);
greekData.DeltaPut = calculations.BlackScholesDelta(inputData, PutCallFlag.Put);
greekData.Gamma = calculations.BlackScholesGamma(inputData);
greekData.RhoCall = calculations.BlackScholesRho(inputData, PutCallFlag.Call);
greekData.RhoPut = calculations.BlackScholesRho(inputData, PutCallFlag.Put);
greekData.ThetaCall = calculations.BlackScholesTheta(inputData, PutCallFlag.Call);
greekData.ThetaPut = calculations.BlackScholesTheta(inputData, PutCallFlag.Put);
greekData.Vega = calculations.BlackScholesVega(inputData);
}
this.TheGreeksDataGrid.ItemsSource = theGreeks;
var blackScholes = new List <BlackScholesData>();
for (int i = 0; i < 5; i++)
{
var blackScholesData = new BlackScholesData();
blackScholesData.StrikePrice = closestDollar - i;
blackScholes.Add(blackScholesData);
blackScholesData = new BlackScholesData();
blackScholesData.StrikePrice = closestDollar + i;
blackScholes.Add(blackScholesData);
}
blackScholes.Sort((bsmc1, bsmc2) => bsmc1.StrikePrice.CompareTo(bsmc2.StrikePrice));
var random = new System.Random();
List <Double> randomData = new List <double>();
for (int i = 0; i < 1000; i++)
{
randomData.Add(random.NextDouble());
}
foreach (var blackScholesMonteCarlo in blackScholes)
{
var blackScholesInputData =
new BlackScholesInputData(adjustedClose, blackScholesMonteCarlo.StrikePrice, .5, .01, .3);
var monteCarloInputData =
new MonteCarloInputData(adjustedClose, blackScholesMonteCarlo.StrikePrice, .5, .01, .3);
blackScholesMonteCarlo.Call = calculations.BlackScholes(blackScholesInputData, PutCallFlag.Call);
blackScholesMonteCarlo.Put = calculations.BlackScholes(blackScholesInputData, PutCallFlag.Put);
blackScholesMonteCarlo.MonteCarlo = calculations.MonteCarlo(monteCarloInputData, randomData);
}
this.BlackScholesDataGrid.ItemsSource = blackScholes;
}
