public void TestInit()
{
using (DAL dal = new DAL())
{
List <Indice> indices = dal.GetIndices();
Assert.IsNotNull(indices);
Assert.AreEqual(6, indices.Count);
Assert.AreEqual("estox", indices[0].Nom);
MultiMondeParam param = dal.GetParams();
Assert.AreEqual(1000, param.NbSamples);
}
}
public ActionResult UpdatePortefeuille()
{
using (DAL dal = new DAL())
{
DateTime currD = dal.GetParams().CurrDate;
double portValue = 0.0;
double optimumValue = 0.0;
MultiMondeParam param = dal.GetParams();
PortefeuilleIdeal IdealPort = dal.getPortOpti();
double currTDC;
double currP;
double currZC;
double Tmoinst = (param.EndDate - currD).TotalDays / 365.25;
List <Indice> indList = dal.GetIndices();
double tauxEuro = 0.0;
foreach (Indice ind in indList)
{
if (ind.Money == "eur")
{
tauxEuro = ind.InterestRateThisArea;
currTDC = 1.0;
}
else
{
currTDC = dal.getSingleChange(currD, "EUR" + ind.Money.ToUpper());
}
currP = dal.getSingleData(currD, ind.Nom.ToUpper()) / currTDC;
currZC = Math.Exp(-ind.InterestRateThisArea * Tmoinst) / currTDC;
portValue += dal.getPortefeuilleCouverture().GetDelta(ind.Nom) * currP;
portValue += dal.getPortefeuilleCouverture().GetDelta(ind.Money) * currZC;
optimumValue += IdealPort.GetDelta(ind.Nom) * currP;
optimumValue += IdealPort.GetDelta(ind.Money) * currZC;
dal.SetDelta(ind.Nom, IdealPort.GetDelta(ind.Nom));
dal.SetDelta(ind.Money, IdealPort.GetDelta(ind.Money));
}
double restant = portValue - optimumValue;
restant *= Math.Exp(tauxEuro * Tmoinst);
restant += IdealPort.GetDelta("eur");
dal.SetDelta("eur", restant);
return(PartialView("Couverture", dal.getPortefeuilleCouverture()));
}
}
public unsafe ActionResult SetDate(MultiMondeParam m)
{
using (DAL dal = new DAL())
{
if (!ModelState.IsValid)
{
ViewBag.MessageErreur = ModelState["CurrDate"].Errors[0].ErrorMessage;
return(PartialView("MultiMondeParam", dal.GetParams()));
}
dal.ChangeDate(m.CurrDate);
MultiMondeParam param = dal.GetParams();
double t = (param.CurrDate - param.Origin).TotalDays / 365.25;
double currTDC;
double currP;
DateTime currD = param.CurrDate;
List <Indice> indList = dal.GetIndices();
int i = 0;
double[] currentPrices = new double[11];
double[] volatilities = new double[11];
double[] interestRates = new double[6];
double[] correlations = new double[11 * 11];
double[] tmpcorr;
foreach (Indice ind in indList)
{
if (ind.Money != "eur")
{
currTDC = dal.getSingleChange(currD, "EUR" + ind.Money.ToUpper());
currentPrices[i + 5] = currTDC;
volatilities[i + 5] = ind.MoneyVol;
correlations[(i + 5) * (i + 5)] = 1.0;
tmpcorr = ind.getCorrTDC();
for (int j = 0; j < 11; ++j)
{
correlations[(i + 5) * 11 + j] = tmpcorr[j];
}
}
currP = dal.getSingleData(currD, ind.Nom.ToUpper());
currentPrices[i] = currP;
volatilities[i] = ind.Vol;
interestRates[i] = ind.InterestRateThisArea;
tmpcorr = ind.getCorrI();
for (int j = 0; j < 11; ++j)
{
correlations[i * 11 + j] = tmpcorr[j];
}
i++;
}
int nbRows = 1;
foreach (DateTime constat in param.Constatations)
{
if (DateTime.Compare(constat, currD) <= 0)
{
nbRows += 1;
}
}
double[] past = new double[11 * nbRows];
int row = 0;
i = 0;
foreach (Indice ind in indList)
{
if (ind.Money != "eur")
{
currTDC = dal.getSingleChange(param.Origin, "EUR" + ind.Money.ToUpper());
past[11 * row + i + 5] = currTDC;
}
currP = dal.getSingleData(param.Origin, ind.Nom.ToUpper());
past[11 * row + i] = currP;
i++;
}
foreach (DateTime constat in param.Constatations)
{
row += 1;
if (DateTime.Compare(constat, currD) <= 0)
{
i = 0;
foreach (Indice ind in indList)
{
if (ind.Money != "eur")
{
currTDC = dal.getSingleChange(constat, "EUR" + ind.Money.ToUpper());
past[11 * row + i + 5] = currTDC;
}
currP = dal.getSingleData(constat, ind.Nom.ToUpper());
past[11 * row + i] = currP;
i++;
}
}
}
double price;
double ic;
PriceMultimonde2021Quanto(param.NbSamples, past, nbRows, t, currentPrices, volatilities, interestRates, correlations, &price, &ic);
dal.setPrice(price);
double tauxEuro;
double currZC;
double portValue = 0;
double Tmoinst = (param.EndDate - currD).TotalDays / 365.25;
foreach (Indice ind in indList)
{
if (ind.Money == "eur")
{
tauxEuro = ind.InterestRateThisArea;
currTDC = 1.0;
}
else
{
currTDC = dal.getSingleChange(currD, "EUR" + ind.Money.ToUpper());
}
currP = dal.getSingleData(currD, ind.Nom.ToUpper()) / currTDC;
currZC = Math.Exp(-ind.InterestRateThisArea * Tmoinst) / currTDC;
portValue += dal.getPortefeuilleCouverture().GetDelta(ind.Nom) * currP;
portValue += dal.getPortefeuilleCouverture().GetDelta(ind.Money) * currZC;
}
dal.setPnl(price - portValue);
return(PartialView("MultiMondeParam", dal.GetParams()));
}
}
public unsafe ActionResult CalculerDeltas()
{
using (DAL dal = new DAL())
{
CouvertureIdealeViewModel vm = new CouvertureIdealeViewModel();
vm.IdealPort = new PortefeuilleIdeal();
MultiMondeParam param = dal.GetParams();
double t = (param.CurrDate - param.Origin).TotalDays / 365.25;
double currTDC;
double currP;
DateTime currD = param.CurrDate;
List <Indice> indList = dal.GetIndices();
int i = 0;
double[] currentPrices = new double[11];
double[] volatilities = new double[11];
double[] interestRates = new double[6];
double[] correlations = new double[11 * 11];
double[] tmpcorr;
foreach (Indice ind in indList)
{
if (ind.Money != "eur")
{
currTDC = dal.getSingleChange(currD, "EUR" + ind.Money.ToUpper());
currentPrices[i + 5] = currTDC;
volatilities[i + 5] = ind.MoneyVol;
correlations[(i + 5) * (i + 5)] = 1.0;
tmpcorr = ind.getCorrTDC();
for (int j = 0; j < 11; ++j)
{
correlations[(i + 5) * 11 + j] = tmpcorr[j];
}
}
currP = dal.getSingleData(currD, ind.Nom.ToUpper());
currentPrices[i] = currP;
volatilities[i] = ind.Vol;
interestRates[i] = ind.InterestRateThisArea;
tmpcorr = ind.getCorrI();
for (int j = 0; j < 11; ++j)
{
correlations[i * 11 + j] = tmpcorr[j];
}
i++;
}
int nbRows = 1;
foreach (DateTime constat in param.Constatations)
{
if (DateTime.Compare(constat, currD) <= 0)
{
nbRows += 1;
}
}
double[] past = new double[11 * nbRows];
int row = 0;
i = 0;
foreach (Indice ind in indList)
{
if (ind.Money != "eur")
{
currTDC = dal.getSingleChange(param.Origin, "EUR" + ind.Money.ToUpper());
past[11 * row + i + 5] = currTDC;
}
currP = dal.getSingleData(param.Origin, ind.Nom.ToUpper());
past[11 * row + i] = currP;
i++;
}
foreach (DateTime constat in param.Constatations)
{
row += 1;
if (DateTime.Compare(constat, currD) <= 0)
{
i = 0;
foreach (Indice ind in indList)
{
if (ind.Money != "eur")
{
currTDC = dal.getSingleChange(constat, "EUR" + ind.Money.ToUpper());
past[11 * row + i + 5] = currTDC;
}
currP = dal.getSingleData(constat, ind.Nom.ToUpper());
past[11 * row + i] = currP;
i++;
}
}
}
IntPtr deltasPtr;
DeltasMultimonde2021Quanto(param.NbSamples, past, nbRows, t, currentPrices, volatilities, interestRates, correlations, out deltasPtr);
double[] deltas = new double[11];
System.Runtime.InteropServices.Marshal.Copy(deltasPtr, deltas, 0, 11); //<- deltas contient maintenant les deltas
String[] names = new String[11] {
"estoxx",
"sp500",
"n225",
"hang",
"ftse",
"asx",
"usd",
"jpy",
"hkd",
"gbp",
"aud"
};
for (int k = 0; k < 11; ++k)
{
vm.IdealPort.SetDelta(names[k], deltas[k]);
}
double tauxEuro = 0;
double currZC;
double optimumValue = 0;
double Tmoinst = (param.EndDate - currD).TotalDays / 365.25;
foreach (Indice ind in indList)
{
if (ind.Money == "eur")
{
tauxEuro = ind.InterestRateThisArea;
currTDC = 1.0;
}
else
{
currTDC = dal.getSingleChange(currD, "EUR" + ind.Money.ToUpper());
//currTDC = 0.5;
}
currP = dal.getSingleData(currD, ind.Nom.ToUpper()) / currTDC;
//currP = 100/currTDC;
currZC = Math.Exp(-ind.InterestRateThisArea * Tmoinst) / currTDC;
optimumValue += vm.IdealPort.GetDelta(ind.Nom) * currP;
optimumValue += vm.IdealPort.GetDelta(ind.Money) * currZC;
}
double price;
double ic;
PriceMultimonde2021Quanto(param.NbSamples, past, nbRows, t, currentPrices, volatilities, interestRates, correlations, &price, &ic);
double restant = price - optimumValue;
restant *= Math.Exp(tauxEuro * Tmoinst);
restant += vm.IdealPort.GetDelta("eur");
vm.IdealPort.SetDelta("eur", restant);
dal.saveOpti(vm.IdealPort);
return(PartialView("CouvertureIdeale", vm));
//return Content("Deltas en cours d'implémentation");
}
}
