public static void Main(string[] args)
{
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2018, 09, 04);
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
string nameBasket = "Basket";
double strikeBasket = 9;
Share[] sharesBasket = { share1, share2 };
Double[] weights = { 0.3, 0.7 };
DateTime maturityBasket = new DateTime(2019, 09, 04);
BasketOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
PortfolioBasket portfolioBasket = new PortfolioBasket();
int totalDays = DayCount.CountBusinessDays(from, maturityBasket);
double[] volatility = new double[2];
volatility[0] = 0.4;
volatility[1] = 0.4;
double[,] correlationMatrix = new double[2, 2];
correlationMatrix[0, 0] = 1;
correlationMatrix[1, 1] = 0.1;
correlationMatrix[0, 1] = 1;
correlationMatrix[1, 0] = 0.1;
double valeur = portfolioBasket.PortfolioValue(optionBasket, sharesBasket, totalDays, volatility, correlationMatrix, from);
Console.WriteLine("Valeur Gain normalisée = " + valeur);
}
public void update()
{
this.optionValue = new List <double>();
this.portfolioValue = new List <double>();
this.dateValue = new List <string>();
IOption option = null;
try
{
option = constructOption();
}
catch (Exception ex)
{
System.Windows.MessageBox.Show(ex.Message.ToString());
return;
}
List <DataFeed> dataFeeds;
userInput.StartDate = Tools.NextBusinessDay(userInput.StartDate);
DateTime startDateOfEstimation = Tools.MinusBusinessDays(userInput.StartDate, userInput.EstimationWindow);
if (userInput.DataType.GetType() == typeof(HistoricalDataProvider))
{
HistoricalDataProvider historicalData = new HistoricalDataProvider();
DateTime minDate = historicalData.GetMinDate();
DateTime maxDate = historicalData.GetMaxDate();
if (startDateOfEstimation < minDate || userInput.Maturity > maxDate)
{
throw new ArgumentException("Unavailable historical data for the selected dates and estimationWindow, they must be between : " +
minDate.ToString("dd/MM/yyyy") + " and " + maxDate.ToString("dd/MM/yyyy"));
}
dataFeeds = historicalData.GetDataFeeds(option, startDateOfEstimation);
}
else
{
SimulatedDataProvider simulatedData = new SimulatedDataProvider();
dataFeeds = simulatedData.GetDataFeeds(option, startDateOfEstimation);
}
/* First step */
ParametersEstimation parameters = new ParametersEstimation(dataFeeds, userInput.StartDate, userInput.EstimationWindow);
DateTime currentDay = userInput.StartDate;
Portfolio portfolio = new Portfolio();
Pricer pricer = new Pricer();
Share[] underlyingsShares = ShareTools.GenerateShares(userInput.UnderlyingsIds);
double[] returnedValue = portfolio.estimatePortfolioFirstDay(parameters, underlyingsShares, option, currentDay, dataFeeds[userInput.EstimationWindow], pricer);
optionValue.Add(returnedValue[0]);
portfolioValue.Add(returnedValue[1]);
dateValue.Add(currentDay.ToString("dd/MM/yyyy"));
List <DataFeed> dataFeedSkipped = dataFeeds.Skip(userInput.EstimationWindow).ToList();
int i = 1;
foreach (DataFeed data in dataFeedSkipped)
{
if (i % userInput.RebalancementFrequency == 0 && !data.Date.Equals(dataFeedSkipped.Last().Date))
{
currentDay = data.Date;
parameters = new ParametersEstimation(dataFeeds, currentDay, userInput.EstimationWindow);
returnedValue = portfolio.updatePortfolio(userInput.RebalancementFrequency, parameters, underlyingsShares, option, currentDay, data, pricer);
optionValue.Add(returnedValue[0]);
portfolioValue.Add(returnedValue[1]);
dateValue.Add(currentDay.ToString("dd/MM/yyyy"));
}
i++;
}
/* Last Step */
DataFeed maturityData = dataFeedSkipped.Last();
normalizedGain = portfolio.calculateGain(userInput.RebalancementFrequency, maturityData, underlyingsShares, option);
}
