public SimulationModel(IOption option, IDataFeedProvider dataFeedProvider, DateTime dateDebut, int plageEstimation)
{
this.option = option ?? throw new ArgumentNullException("Option should not be null");
this.dataFeedProvider = dataFeedProvider ?? throw new ArgumentNullException("dataFeed should not be null");
if (dateDebut == null)
{
throw new ArgumentNullException("Beginning date should not be null");
}
this.dateDebut = new DateTime(2012, 9, 10);
if (plageEstimation < 2)
{
throw new ArgumentOutOfRangeException("Estimation duration should be upper than 2 days");
}
this.plageEstimation = plageEstimation;
Estimateur.dispMatrix(Estimateur.getCovMatrix(dataFeedProvider.GetDataFeed(option, this.dateDebut), plageEstimation, this.dateDebut.AddDays(14)));
if (option.GetType().ToString().EndsWith("VanillaCall"))
{
Console.WriteLine("Volatilité: " + Estimateur.Volatilite(dataFeedProvider.GetDataFeed(option, this.dateDebut), plageEstimation, this.dateDebut.AddDays(14), new double[] { 1 }, dataFeedProvider));
}
else if (option.GetType().ToString().EndsWith("BasketOption"))
{
Console.WriteLine("Volatilité: " + Estimateur.Volatilite(dataFeedProvider.GetDataFeed(option, this.dateDebut), plageEstimation, this.dateDebut.AddDays(14), ((BasketOption)option).Weights, dataFeedProvider));
}
Estimateur.dispMatrix(Estimateur.getCorrMatrix(dataFeedProvider.GetDataFeed(option, this.dateDebut), plageEstimation, this.dateDebut.AddDays(14)));
Console.WriteLine("Correlation moyenne: " + Estimateur.Correlation(dataFeedProvider.GetDataFeed(option, this.dateDebut), plageEstimation, this.dateDebut.AddDays(14)));
}
public List <decimal> GetPayOff()
{
List <decimal> payoffs = new List <decimal>();
int periodeRebalancement = 1;
var priceList = dataFeedProvider.GetDataFeed(option, dateDebut);
for (var i = 1; i < priceList.Count; i += periodeRebalancement)
{
var element = priceList[i];
decimal spotPrice = element.PriceList["1"];
payoffs.Add(Math.Max(spotPrice - Convert.ToDecimal(Strike), 0));
}
return(payoffs);
}
// Crée une liste de resultats (l'évolution du portefeuille de l'option sur la durée demandée)
public List <TrackedResults> computePortfolioEvolution(DateTime testStart, DateTime testEnd,
int rebalancingPeriod, int estimationPeriod)
{
List <TrackedResults> res = new List <TrackedResults>();
List <DataFeed> data = dataFeedProvider.GetDataFeed(optionPricer.Opt.UnderlyingShareIds, testStart,
optionPricer.Opt.Maturity); // Données totales
/* Calcul des portefeuilles sur toute la période */
int i = 0;
List <DataFeed> pricingData = data.GetRange(i * rebalancingPeriod, estimationPeriod);
while (DateTime.Compare(pricingData.Last().Date, testEnd) < 0 && ((i + 1) * rebalancingPeriod + estimationPeriod) < data.Count)
{
int nRebalacingDays = 0;
if (i != 0)
{
nRebalacingDays = (pricingData.Last().Date - data[(i - 1) * rebalancingPeriod + estimationPeriod].Date).Days;
}
updateResults(pricingData, i, nRebalacingDays);
res.Add(new TrackedResults(results));
i++;
pricingData = data.GetRange(i * rebalancingPeriod, estimationPeriod);
}
return(res);
}
private void GetSpots(DateTime beginningTest, IDataFeedProvider simulateMarket)
{//Get all the spots of the underlying asset from the debTest date to the maturity date
Spots.Clear();
var firstDateMarket = simulateMarket.GetMinDate();
if (beginningTest.Date < firstDateMarket.Date)
{
throw new Exception("No Market data before the " + firstDateMarket.ToShortDateString());
}
if (beginningTest.Date > Option.Maturity.Date)
{
throw new Exception("No Market data after the Maturity date (" + Option.Maturity.ToShortDateString() + ")");
}
var dataFeed = simulateMarket.GetDataFeed(Option, beginningTest);
if (dataFeed.Count() == 0)
{
throw new Exception("No Market data");
}
foreach (DataFeed d in dataFeed)
{
var spotList = new List <double>();
foreach (string shareId in Option.UnderlyingShareIds)
{
spotList.Add((double)d.PriceList[shareId]);
}
Spots.Add(spotList.ToArray());
MarketDataDates.Add(d.Date);
}
PayOff = computePayOff();
}
public Balancement(IDataFeedProvider dataFeedProvider, IOption option, DateTime dateTmpDebut, int plageEstimation, int periodeRebalancement)
{
var dateDebut = new DateTime(dateTmpDebut.Year, dateTmpDebut.Month, dateTmpDebut.Day);
var priceList = dataFeedProvider.GetDataFeed(option, dateDebut);
payoff = payOffaMaturite(option, priceList);
pricer = new Pricer();
hedge = new List <decimal>();
priceOption = new List <double>();
dates = new List <DateTime>();
Dictionary <string, double> compo = new Dictionary <string, double> {
};
volatilite = Estimateur.Volatilite(priceList, plageEstimation, dateDebut.AddDays(plageEstimation), option, dataFeedProvider);
matrixCorrelation = Estimateur.getCorrMatrix(priceList, plageEstimation, dateDebut.AddDays(plageEstimation));
Estimateur.dispMatrix(matrixCorrelation);
PricingResults priceDelta = PriceResults(option, priceList[0].PriceList, dateDebut, dataFeedProvider);
int i = 0;
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
DateTime oldBalancement = dateDebut;
portfolio = new Portfolio(Convert.ToDecimal(priceDelta.Price), compo, priceList[0].PriceList);
priceOption.Add(priceDelta.Price);
hedge.Add(portfolio.portfolioValue);
dates.Add(priceList[0].Date);
foreach (DataFeed priceAsset_t in priceList.Skip(1))
{
if (DayCount.CountBusinessDays(oldBalancement, priceAsset_t.Date) >= periodeRebalancement || priceAsset_t == priceList.Last())
{
priceDelta = PriceResults(option, priceAsset_t.PriceList, dateDebut, dataFeedProvider);
priceOption.Add(priceDelta.Price);
portfolio.UpdatePortfolioValue(priceAsset_t, dataFeedProvider.NumberOfDaysPerYear, oldBalancement);
i = 0;
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
hedge.Add(portfolio.portfolioValue);
dates.Add(priceAsset_t.Date);
portfolio.UpdateLiquidity(priceAsset_t);
portfolio.UpdateCompo(compo);
oldBalancement = priceAsset_t.Date;
}
}
}
public Balancement(DataFeed data)
{
DateTime dateDebut = DateTime.Now;
VanillaCall option = new VanillaCall("Vanilla Call", new Share("VanillaShare", "1"), new DateTime(2019, 12, 04), 8);
var priceList = dataFeedProvider.GetDataFeed(option, dateDebut);
//Je pense en fait que la fonction Pricer c'est la fonction doit être un fonction qui renvoit pricedelta et du
//coup c'est la bas qu'on differencie les baskets des vanilles
pricer = new Pricer();
PricingResults priceDelta = pricer.PriceCall(option, dateDebut, dataFeedProvider.NumberOfDaysPerYear, Convert.ToDouble(priceList[0].PriceList[option.UnderlyingShareIds[1]]), 0.25);
Dictionary <string, double> compo = new Dictionary <string, double> {
};
int i = 1;
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
// Le premier argument de portefeuille doit être le prix de l'option en 0;
//Le deuxième la compo
//le troisième le prix des actifs en 0
List <decimal> priceOption = new List <decimal> {
Convert.ToDecimal(priceDelta.Price)
};
Portfolio portfolio = new Portfolio(priceOption, compo, priceList[0].PriceList);
//Traitement des données
foreach (DataFeed priceAsset_t in priceList.Skip(1))
{
priceDelta = pricer.PriceCall(option, dateDebut, dataFeedProvider.NumberOfDaysPerYear, Convert.ToDouble(priceAsset_t.PriceList[option.UnderlyingShareIds[1]]), 0.25);
//updateCompo
foreach (string id in option.UnderlyingShareIds)
{
compo[id] = priceDelta.Deltas[i];
i += 1;
}
portfolio.UpdatePortfolioValue(priceAsset_t, dataFeedProvider.NumberOfDaysPerYear, periodeRebalancement);
portfolio.UpdateCompo(compo);
}
}
