private void calculate_Click(object sender, RoutedEventArgs e)
{
this.sw.Reset(); this.sw.Start();
graphPlot = new GraphPlotting();
this.DataContext = graphPlot;
this.graphs.IsEnabled = true;
if (this.simulationNumber > 500 && this.steps > 500)
{
this.graphs.ToolTip = "Graph may take time to load ";
}
else
{
this.graphs.ToolTip = "";
}
ISecurity underlying = new Stock(this.underlyingPrice);
Options option = null;
switch (this.kind)
{
case OptionKind.ASIAN:
option = new AsianOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.BARRIER:
option = new BarrierOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate, this.barrierOptiont);
break;
case OptionKind.DIGITAL:
option = new DigitalOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate);
break;
case OptionKind.EUROPEAN:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.LOOKBACK:
option = new LookbackOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.RANGE:
option = new RangeOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
default:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
}
try
{
Task work = Task.Factory.StartNew(() =>
{
this.Dispatcher.Invoke(() => this.progress.IsActive = true);
option.calulateOptionPriceAndGreeks(this.simulationNumber, this.rate, this.steps, this.anitheticReductionEnabled, this.controlVariateEnabled, this.multithreadingEnabled, plot: this.graphPlot);
this.sw.Stop();
this.Dispatcher.Invoke(() => { display(option); this.progress.IsActive = false; });
});
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
private void bPriceOptionBook_Click(object sender, RoutedEventArgs e)
{
graphPlot = new GraphPlotting();
graphs.DataContext = graphPlot;
Task work = Task.Factory.StartNew(() =>
{
var orderBook = model.OrderBookDBs.ToList();
foreach (var trade in orderBook)
{
if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Stocks"))
{
var instrument = model.StockDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
trade.FairPrice = trade.Price;
trade.Delta = trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity;
trade.ProfitLoss = 0;
trade.Theta = 0;
trade.Gamma = 0;
trade.Vega = 0;
trade.Rho = 0;
lock (lck)
{
model.SaveChanges();
}
}
else if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Options"))
{
var instrument = model.OptionsDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
Options option = null;
ISecurity underlying = new Stock(instrument.StockDB.LastTradedPrice);
switch (instrument.OptionKindDB.OptionKindName)
{
case "Asian Option":
option = new AsianOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.ASIAN);
break;
case "Barrier Option":
option = new BarrierOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.BARRIER, (Double)instrument.Barrier, (instrument.BarrierOptionType == "downout" ? BarrierOptionType.DOWNOUT : (instrument.BarrierOptionType == "downin" ? BarrierOptionType.DOWNIN : (instrument.BarrierOptionType == "upout" ? BarrierOptionType.UPOUT : BarrierOptionType.UPIN))));
break;
case "Digital Option":
option = new DigitalOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.DIGITAL, (Double)instrument.Rebate);
break;
case "European Option":
option = new EuropeanOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.EUROPEAN);
break;
case "Lookback Option":
option = new LookbackOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.LOOKBACK);
break;
case "Range Option":
option = new RangeOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.RANGE);
break;
default:
break;
}
try
{
option.calulateOptionPriceAndGreeks(1000, 0.05, (option.ExpiryDate - DateTime.Now).Days, true, option.OptionKind == OptionKind.EUROPEAN ? true : false, true, plot: graphPlot);
trade.FairPrice = Math.Round(option.Price, 4);
trade.ProfitLoss = Math.Round((Double)trade.FairPrice - (Double)trade.Price, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Delta = Math.Round(option.Greeks.Delta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Theta = Math.Round(option.Greeks.Theta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Gamma = Math.Round(option.Greeks.Gamma, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Vega = Math.Round(option.Greeks.Vega, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Rho = Math.Round(option.Greeks.Rho, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
lock (lck)
{
model.SaveChanges();
}
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
}
this.Dispatcher.Invoke(() => {
dataGrid.DataContext = orderBook;
});
});
}
