/**
* Create a simulated asset from a real one.
* It extract the name of real asset for "fake" one
* and the first price (at first date) and simulate
* at all dates from dates_simul.
*
* getPrice(t) with t from dates_simul will then return
* a simulated price
* getPrice(t) with t before first date from dates_simul
* will return real price of asset
* getPrice(t) with all others date will throw exception
**/
public AssetSimulated(IAsset real, LinkedList<DateTime> dates_simul, RandomNormal rand)
{
this.real = real;
prices = new Dictionary<DateTime, double>();
first_date = dates_simul.First();
r = 0.04;
//real.getCurrency().getInterestRate(first_date, TimeSpan.Zero);
// TODO
//sigma = real.getVolatility(first_date);
sigma = 0.2;
// debug kevin
double St = 75 + 50*rand.NextDouble();
DateTime lastDate = first_date;
//double S0 = real.getPrice(first_date);
int i = 0;
foreach (DateTime date in dates_simul)
{
double T = (date - lastDate).TotalDays / 365; // time in year
double WT = Math.Sqrt(T) * rand.NextNormal();
St = St * Math.Exp((r - sigma * sigma / 2) * T + sigma * WT);
prices[date] = St;
lastDate = date;
i++;
}
}
public CurrencySimulated(Currencies cur_enum, RandomNormal rand, double r)
{
this.cur_enum = cur_enum;
this.r = r;
this.rforeign = 0.01 + 0.05 * rand.NextDouble();
this.sigma = 0.1;
this.lastPrice = 1;
this.lastDate = DateTime.MinValue;
this.rand = rand;
this.prices = new Dictionary<DateTime, double>();
}
/**
* recalculate everglades price and hedging portfolio on the firstDate -> Today period
* with a date every step, with currency management if with_currency is true
*/
public void simulateBackTestEvolution(bool with_currency, DateTime firstDate, DateTime DateEnd, TimeSpan step, bool recover = false)
{
firstDate = new DateTime(firstDate.Year, firstDate.Month, firstDate.Day);
RandomNormal rand = new RandomNormal();
DateTime current_date;
// clean data from firstDate to today
current_date = firstDate;
if (!recover)
{
while (current_date <= DateEnd)
{
try
{
Access.Clear_Everglades_Price(current_date);
}
catch (ArgumentException) { }
try
{
Access.Clear_Portfolio_Price(current_date);
}
catch (ArgumentException) { }
current_date = current_date + TimeSpan.FromDays(1);
}
}
// create list of date for calculus
current_date = firstDate;
LinkedList<DateTime> list_dates = new LinkedList<DateTime>();
while (current_date <= DateEnd)
{
list_dates.AddLast(current_date);
current_date = current_date + step;
}
LinkedList<DateTime> list_anticipated_dates = everg.getAnticipatedDates();
Portfolio hedge_simul = null;
double cash_t = 0;
double portvalue;
double portsolovalue;
double evergvalue;
DateTime date_prev = list_dates.First();
// used for anticipated end of everglades
bool breakk = false;
foreach (DateTime date in list_dates)
{
double r = everg.getCurrency().getInterestRate(date_prev);
if (date == list_dates.First())
{
Tuple<double, double[], bool> compute = everg.computePrice(date, with_currency);
evergvalue = compute.Item1;
hedge_simul = everg.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
if (recover)
{
cash_t = AccessDB.getPortfolioValue(firstDate) / (double)shares_everg - portsolovalue;
}
else
{
cash_t = evergvalue - portsolovalue;
}
portvalue = portsolovalue + cash_t;
}
else
{
// here we (virtually) sell old hedging portfolio
double t = (date - date_prev).TotalDays / 360;
portvalue = hedge_simul.getPrice(date) + hedge_simul.getDividend(date_prev, date) + cash_t * Math.Exp(r * t);
cash_t = portvalue;
Tuple<double, double[], bool> compute = everg.computePrice(date, with_currency);
// test if date is a constatation date
if (list_anticipated_dates.Contains(date))
{
// if the date is an anticipated constatation date, we check if
// we must break now, and if we do we set the price of everglades
// with payoff and set breakk to true.
if (compute.Item3)
{
evergvalue = compute.Item1;
portsolovalue = hedge_simul.getPrice(date);
cash_t -= evergvalue;
breakk = true;
}
else
{
// if not the last date, we simply price the product and ajust our edge
evergvalue = compute.Item1;
hedge_simul = everg.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t -= portsolovalue;
}
}
else if (date == everg.getLastDate())
{
// if last date, we ge payoff and bam
//Tuple<bool, double> payoff = everg_simul.getPayoff(date);
evergvalue = compute.Item1; //payoff.Item2;
cash_t -= evergvalue;
portsolovalue = hedge_simul.getPrice(date);
}
else
{
// if not the last date, we simply price the product and ajust our edge
evergvalue = compute.Item1;
hedge_simul = everg.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t -= hedge_simul.getPrice(date);
}
}
double err = (evergvalue - portvalue) / evergvalue;
if (!double.IsInfinity(evergvalue) && !double.IsNaN(evergvalue))
{
Write.storeEvergladesPrice(date, evergvalue);
}
if (!double.IsInfinity(portvalue) && !double.IsNaN(portvalue))
{
Write.storePortfolioValue(date, portvalue * shares_everg);
}
if (breakk)
{
break;
}
date_prev = date;
}
// save last result in BD
foreach (IAsset asset in hedge_simul.assetList.Keys) {
if (asset is Equity)
{
int asset_id = Access.GetIdFromName(asset.getName());
double quantity = hedge_simul.assetList[asset];
Write.storePortfolioComposition(DateEnd, asset_id, Math.Round(quantity * shares_everg));
}
else if (asset is Currency)
{
int cur_id = Access.getForexIdFromCurrency(((Currency)asset).getEnum()); ;
double quantity = hedge_simul.assetList[asset];
Write.storePortfolioComposition(DateEnd, cur_id, Math.Round(quantity * shares_everg));
}
}
Write.storeCashValue(DateEnd, cash_t * shares_everg);
}
/**
* simulate an everglades product and it's underlying portfolio
* evolution with the adviced hedging portfolio, and return a list
* of Data :
* * Data of product price evolution
* * Data of hedging portfolio price evolution
* * Data of tracking error evolution
* * Data of cash spent for hedging portfolio evolution
*
*/
public List<Data> simulateHedgeEvolution(bool with_currency)
{
RandomNormal rand = new RandomNormal();
LinkedList<DateTime> list_dates = everg.getObservationDates();
LinkedList<DateTime> list_anticipated_dates = everg.getAnticipatedDates();
DateTime first = list_dates.First();
List<IAsset> simulated_list = new List<IAsset>();
List<ICurrency> underlying_list_cur = new List<ICurrency>();
double r = 0.03;
foreach (IAsset ass in Assets)
{
simulated_list.Add(new AssetSimulated(ass, list_dates, rand));
if (with_currency)
{
Currencies curEnum = ass.getCurrency().getEnum();
if (!underlying_list_cur.Any(x => x.getEnum() == curEnum) && curEnum != Currencies.EUR)
{
underlying_list_cur.Add(new CurrencySimulated(curEnum, rand, r));
}
}
}
Everglades everg_simul = new Everglades(simulated_list, underlying_list_cur);
Portfolio hedge_simul = new Portfolio(simulated_list);
Data tracking_error = new Data("simulation-graph-trackingerror");
Data everglades_price = new Data("simulation-graph-prices-everg");
Data hedge_price = new Data("simulation-graph-prices-hedge");
Data portsolo_price = new Data("simulation-graph-soloport");
Data cash_price = new Data("simulation-graph-cash");
Dictionary<String, Data> list_asset_price = new Dictionary<string, Data>();
foreach (IAsset asset in simulated_list)
{
String nameTemp = asset.getName();
list_asset_price[nameTemp] = new Data(nameTemp);
}
foreach (IAsset cur in underlying_list_cur)
{
String nameTemp = cur.getName();
list_asset_price[nameTemp] = new Data(nameTemp);
}
double cash_t = 0;
double portvalue;
double portsolovalue;
double evergvalue;
DateTime date_prev = list_dates.First();
// used for anticipated end of everglades
bool breakk = false;
foreach (DateTime date in list_dates)
{
// get prices of assets at these dates in Data
foreach (IAsset asset in simulated_list)
{
String nameTemp = asset.getName();
list_asset_price[nameTemp].add(new DataPoint(date, asset.getPrice(date)));
}
foreach (IAsset cur in underlying_list_cur)
{
String nameTemp = cur.getName();
list_asset_price[nameTemp].add(new DataPoint(date, cur.getPrice(date)));
}
if (date == list_dates.First())
{
Tuple<double, double[], bool> compute = everg_simul.computePrice(date, with_currency);
evergvalue = compute.Item1;
hedge_simul = everg_simul.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t = evergvalue - portsolovalue;
portvalue = portsolovalue + cash_t;
}
else
{
// here we (virtually) sell old hedging portfolio
double t = (date - date_prev).TotalDays / 360;
portvalue = hedge_simul.getPrice(date) + hedge_simul.getDividend(date_prev, date) + cash_t * Math.Exp(r * t);
cash_t = portvalue;
Tuple<double, double[], bool> compute = everg_simul.computePrice(date, with_currency);
// test if date is a constatation date
if (list_anticipated_dates.Contains(date))
{
// if the date is an anticipated constatation date, we check if
// we must break now, and if we do we set the price of everglades
// with payoff and set breakk to true.
if (compute.Item3)
{
evergvalue = compute.Item1;
portsolovalue = hedge_simul.getPrice(date);
cash_t -= evergvalue;
breakk = true;
}
else
{
// if not the last date, we simply price the product and ajust our edge
evergvalue = compute.Item1;
hedge_simul = everg_simul.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t -= portsolovalue;
}
}
else if (date == everg_simul.getLastDate())
{
evergvalue = compute.Item1;
cash_t -= evergvalue;
portsolovalue = hedge_simul.getPrice(date);
}
else
{
// if not the last date, we simply price the product and ajust our edge
evergvalue = compute.Item1;
hedge_simul = everg_simul.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t -= hedge_simul.getPrice(date);
}
}
double err = (evergvalue - portvalue) / evergvalue;
if (!double.IsInfinity(evergvalue) && !double.IsNaN(evergvalue))
{
everglades_price.add(new DataPoint(date, evergvalue));
}
if (!double.IsInfinity(portvalue) && !double.IsNaN(portvalue))
{
hedge_price.add(new DataPoint(date, portvalue));
}
if (!double.IsInfinity(portsolovalue) && !double.IsNaN(portsolovalue))
{
portsolo_price.add(new DataPoint(date, portsolovalue));
}
if (!double.IsInfinity(err) && !double.IsNaN(err))
{
tracking_error.add(new DataPoint(date, err));
}
if (!double.IsInfinity(cash_t) && !double.IsNaN(cash_t))
{
cash_price.add(new DataPoint(date, cash_t));
}
if (breakk)
{
break;
}
date_prev = date;
}
List<Data> list = new List<Data>();
list.Add(everglades_price);
list.Add(hedge_price);
list.Add(tracking_error);
list.Add(cash_price);
list.Add(portsolo_price);
foreach (Data dat in list_asset_price.Values)
{
list.Add(dat);
}
return list;
}