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 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;
}
}
}