/*** Test for data simulation ***/
/* Print all loaded values
* for one share between two dates */
public void TestLoadedDataBasket()
{
DateTime date = DateTime.Now;
PricingLibrary.FinancialProducts.Share Action1 = new PricingLibrary.FinancialProducts.Share("JJ", "ALO FP");
PricingLibrary.FinancialProducts.Share Action2 = new PricingLibrary.FinancialProducts.Share("JJ", "BNP FP");
PricingLibrary.FinancialProducts.Share[] tabAction = { Action1, Action2};
double[] poids = new double[2] {0.4, 0.6};
PricingLibrary.FinancialProducts.BasketOption Call = new PricingLibrary.FinancialProducts.BasketOption("JJ", tabAction, poids, date, 30.0);
DateTime date1 = new DateTime(2015, 6, 1, 0, 0, 0);
ShareHisto myShareHisto = new ShareHisto(date1, date, Call);
myShareHisto.loadingSQL();
foreach (PricingLibrary.Utilities.MarketDataFeed.DataFeed d in myShareHisto.Data)
{
foreach (KeyValuePair<string, decimal> t in d.PriceList)
{
Console.WriteLine("Date : " + d.Date);
Console.WriteLine("" + t.Key + " " + t.Value);
}
}
}
public void TestVolatilitiesAndSpotPrices()
{
DateTime date = new DateTime(2014, 6, 1, 0, 0, 0);
DateTime date1 = new DateTime(2014, 1, 1, 0, 0, 0);
PricingLibrary.FinancialProducts.Share Action = new PricingLibrary.FinancialProducts.Share("test", "ALO FP");
PricingLibrary.FinancialProducts.Share Action2 = new PricingLibrary.FinancialProducts.Share("test2", "BNP FP");
PricingLibrary.FinancialProducts.Share[] mesActions = new PricingLibrary.FinancialProducts.Share[2];
mesActions[0] = Action;
mesActions[1] = Action2;
double[] weight = { 0.1, 0.9 };
PricingLibrary.FinancialProducts.BasketOption myBasketOption = new PricingLibrary.FinancialProducts.BasketOption("test", mesActions, weight, date, 30.0);
OptionManager myOptionManager = new OptionManager(myBasketOption, date1, date, 20, false);
Console.WriteLine(" Premiers resultats : ");
myOptionManager.HedgingPortfolioValue.ForEach(data => Console.WriteLine(data));
Console.WriteLine(" \n ");
myOptionManager.Payoff.ForEach(data => Console.WriteLine(data));
Console.WriteLine(" \n ");
ComputeResults.computeResults(myOptionManager);
Console.WriteLine(" Fin : \n");
Console.WriteLine("\n");
myOptionManager.HedgingPortfolioValue.ForEach(data => Console.WriteLine(data));
Console.WriteLine("\n");
//myResults.OptionPrice.ForEach(data => Console.WriteLine(data));
Console.WriteLine(" Option price \n");
myOptionManager.OptionPrice.ForEach(data => Console.WriteLine(data));
Console.WriteLine(" \n ");
Console.WriteLine(" \n ");
myOptionManager.dateTime.ForEach(data => Console.WriteLine(data));
}
private void ExtractComponents()
{
// On test les différents paramètres, si ils ne sont pas bons on fait apparaitre un pop-up
double sommePoids = 0.0;
int nbAction = 0;
foreach (var comp in ComponentInfoList)
{
if (comp.IsSelected)
{
if (comp.Poids < 0.0)
{
System.Windows.Forms.MessageBox.Show("ERREUR : Les poids doivent être positif");
return;
}
sommePoids += comp.Poids;
nbAction += 1;
}
}
if (sommePoids != 1.0)
{
System.Windows.Forms.MessageBox.Show("ERREUR : La somme des poids doit être égale à 1 ");
return;
}
PricingLibrary.FinancialProducts.Share[] tabShare = new PricingLibrary.FinancialProducts.Share[nbAction];
double[] tabWeight = new double[nbAction];
if (tailleFenetre < 0)
{
System.Windows.Forms.MessageBox.Show("ERREUR : La taille de la fenetre doit être superieure à 0 ");
return;
}
if (maturite.Subtract(dateDebut).Days < tailleFenetre)
{
System.Windows.Forms.MessageBox.Show("ERREUR : La taille de la fenetre ne doit pas être plus grande que l'écart entre la maturite et la date de début ");
return;
}
if (tailleFenetre < nbAction)
{
System.Windows.Forms.MessageBox.Show("ERREUR : La taille de la fenetre doit être un entier au minimum égale au nombre de sous jacent ");
return;
}
if ((1 < nbAction)&&(typeOption.Equals("Vanilla Call")))
{
System.Windows.Forms.MessageBox.Show("ERREUR : Un Vanilla Call ne peut avoir qu'un sous-jacent ");
return;
}
// On utilise maintenant nb action comme index
nbAction = 0;
foreach (var comp in ComponentInfoList)
{
if (comp.IsSelected)
{
PricingLibrary.FinancialProducts.Share share = new PricingLibrary.FinancialProducts.Share(comp.Name, comp.Name);
tabShare[nbAction] = share;
tabWeight[nbAction] = comp.Poids;
nbAction += 1;
}
}
if (strikePrice < 0)
{
System.Windows.Forms.MessageBox.Show("ERREUR : Le strike doit être positif");
return;
}
TimeSpan diff = maturite.Subtract(dateDebut);
if (diff.Days < 0)
{
System.Windows.Forms.MessageBox.Show("ERREUR : La date de debut doit etre avant la maturite ");
return;
}
if (!typeDonnees.Equals("Simulées") && !typeDonnees.Equals("Historiques"))
{
System.Windows.Forms.MessageBox.Show("ERREUR Type de données : Choisir l'une des deux possibilités ");
return;
}
bool simule;
if (typeDonnees.Equals("Simulées")) {
simule = true;
} else {
simule = false;
}
PricingLibrary.FinancialProducts.IOption option;
if (typeOption.Equals("Vanilla Call"))
{
option = new PricingLibrary.FinancialProducts.VanillaCall("call", tabShare, maturite, strikePrice);
}
else
{
option = new PricingLibrary.FinancialProducts.BasketOption("basket", tabShare, tabWeight, maturite, strikePrice);
}
////////////////////////////////////////////////////////////////////////////
// On calcule le portefeuilles de couverture de l'option
OptionManager optionCompute = new OptionManager(option,dateDebut,maturite,tailleFenetre,simule);
ComputeResults.computeResults(optionCompute);
// On trace les graphes
LineSeries courbe = tabToSeries(optionCompute.OptionPrice, optionCompute.dateTime);
LineSeries courbe2 = tabToSeries(optionCompute.HedgingPortfolioValue, optionCompute.dateTime);
this.MyModel.Series.Clear();
this.MyModel.Axes.Clear();
double min = Math.Min(optionCompute.OptionPrice.Min(),optionCompute.HedgingPortfolioValue.Min())-0.1;
double max = Math.Max(optionCompute.OptionPrice.Max(), optionCompute.HedgingPortfolioValue.Max())+0.1;
SetUpModel(min, max, optionCompute.dateTime.Min());
courbe.Title = "Prix de l'option";
courbe2.Title = "Valeur Portefeuille de Couverture";
this.MyModel.Series.Add(courbe);
this.MyModel.Series.Add(courbe2);
// On met à jour les graphes
this.MyModel.InvalidatePlot(true);
this.MyModel.PlotView.InvalidatePlot(true);
}
public void RebalancementBasket1SJ_S8()
{
double ratio = 0;
double compteur = 0;
for (int i = 0; i < 200; i++)
{
DateTime date = DateTime.Now;
PricingLibrary.FinancialProducts.Share Action = new PricingLibrary.FinancialProducts.Share("ALO FP", "ALO FP");
PricingLibrary.FinancialProducts.Share[] tabAction = { Action };
double[] weightTab = new double[] {1.0};
PricingLibrary.FinancialProducts.BasketOption Basket = new PricingLibrary.FinancialProducts.BasketOption("BASKET", tabAction, weightTab, date, 9.0);
DateTime dateStart = new DateTime(2014, 10, 9, 0, 0, 0);
OptionManager optionCompute = new OptionManager(Basket, dateStart, date, 30, true);
ComputeResults.computeResults(optionCompute);
double firstValue = optionCompute.HedgingPortfolioValue[0];
double lastValue = optionCompute.HedgingPortfolioValue[optionCompute.HedgingPortfolioValue.Count - 1];
double payoff = optionCompute.Payoff[optionCompute.Payoff.Count - 1];
double ratioTmp = Math.Abs(payoff - lastValue) / firstValue;
ratio += ratioTmp;
compteur += 1;
}
ratio = ratio / compteur;
Console.WriteLine(ratio);
}
public void RebalancementBasket5Sj()
{
double ratio = 0;
double compteur = 0;
for (int i = 0; i < 200; i++)
{
DateTime date = DateTime.Now;
PricingLibrary.FinancialProducts.Share Action = new PricingLibrary.FinancialProducts.Share("test", "01");
PricingLibrary.FinancialProducts.Share Action1 = new PricingLibrary.FinancialProducts.Share("test1", "02");
PricingLibrary.FinancialProducts.Share Action2 = new PricingLibrary.FinancialProducts.Share("test1", "03");
PricingLibrary.FinancialProducts.Share Action3 = new PricingLibrary.FinancialProducts.Share("test1", "04");
PricingLibrary.FinancialProducts.Share Action4 = new PricingLibrary.FinancialProducts.Share("test1", "05");
PricingLibrary.FinancialProducts.Share[] tabAction = { Action, Action1, Action2, Action3,Action4 };
double[] weightTab = new double[] {0.2,0.2,0.2,0.2,0.2};
PricingLibrary.FinancialProducts.BasketOption Basket = new PricingLibrary.FinancialProducts.BasketOption("basket", tabAction, weightTab, date, 8);
DateTime dateStart = new DateTime(2015, 2, 10, 0, 0, 0);
OptionManager optionCompute = new OptionManager(Basket, dateStart, date, 30, true);
ComputeResults.computeResults(optionCompute);
double firstValue = optionCompute.HedgingPortfolioValue[0];
double lastValue = optionCompute.HedgingPortfolioValue[optionCompute.HedgingPortfolioValue.Count - 1];
double payoff = optionCompute.Payoff[optionCompute.Payoff.Count - 1];
double ratioTmp = Math.Abs(payoff - lastValue) / firstValue;
ratio += ratioTmp;
compteur += 1;
}
ratio = ratio / compteur;
Console.WriteLine(ratio);
}