public static object LocalVolDenominator(object mktObj, object[] dates, double[] strikes, string assetName)
{
return(FunctionRunnerUtils.Run("LocalVolSurface", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMarket = market.AssetMarketFromName(assetName);
VolatilitySurface volSurface = assetMarket.VolSurface();
var localVariance = volSurface.LocalVariance;
var moneyness = volSurface.Moneyness;
var time = volSurface.Time;
var result = new double[dates.Length, strikes.Length];
for (int i = 0; i < dates.Length; i++)
{
var date = ObjectConverters.ConvertDate(dates[i], assetMarket.RefDate);
double t = time[date];
var denomFunc = localVariance.Denominator(t);
var denoms = strikes.Map(k =>
{
var y = moneyness.Moneyness(t, k);
return denomFunc.Eval(y);
});
ArrayUtils.SetRow(ref result, i, denoms);
}
return result;
}));
}
public override IModelDescription Calibrate(BlackScholesModelCalibDesc bsDesc, Market market)
{
AssetMarket assetMkt = market.AssetMarketFromName(bsDesc.Asset);
var volSurface = assetMkt.VolSurface();
var forwardCurve = assetMkt.Forward();
var optionPricer = BlackScholesWithDividendOption.Build(assetMkt.Spot, assetMkt.Dividends, assetMkt.RiskFreeDiscount, assetMkt.Time);
var calibMaturities = bsDesc.CalibrationMaturities.Map(d => d.ToDate(assetMkt.RefDate));
var calibStrikes = bsDesc.CalibrationStrikes;
var calibDates = assetMkt.Time[calibMaturities];
double[] targetPrices = new double[calibDates.Length];
double[] optionTypes = new double[calibDates.Length];
for (int i = 0; i < calibMaturities.Length; i++)
{
var targetVol = volSurface.Volatility(calibDates[i], calibStrikes[i]);
var optionType = (calibStrikes[i] > forwardCurve.Fwd(calibMaturities[i])) ? 1.0 : -1.0;
targetPrices[i] = optionPricer.Price(calibDates[i], calibStrikes[i], targetVol, optionType);
optionTypes[i] = optionType;
}
var calibratedVols = optionPricer.CalibrateVol(calibDates, targetPrices, bsDesc.CalibrationStrikes, optionTypes);
var sigma = new MapRawDatas <DateOrDuration, double>(bsDesc.CalibrationMaturities, calibratedVols);
return(new BlackScholesModelDescription(bsDesc.Asset, sigma, bsDesc.WithDivs));
}
public void ModifyCcy(FXMarket mkt, AssetMarket aMkt, string v, ICcyAsset valueCcy, bool isLastRow)
{
if (isLastRow)
{
_Ccy = valueCcy.Ccy;
}
}
public void CheckZeroVolForward(AssetMarket assetMkt)
{
var zcCurve = assetMkt.RiskFreeDiscount;
var market = new Market(new[] { zcCurve }, new[] { assetMkt });
var zeroVol = new MapRawDatas <DateOrDuration, double>(new[] { new DateOrDuration(assetMkt.RefDate) }, new[] { 0.0 });
var blackScholesDesc = new BlackScholesModelDescription(assetMkt.Asset.Name, zeroVol, true);
var mcConfig = new MonteCarloConfig(1, RandomGenerators.GaussianSobol(SobolDirection.Kuo3));
var blackScholesModel = ModelFactory.Instance.Build(blackScholesDesc, market);
var fwdDates = new[] { Duration.Month, 6 * Duration.Month, Duration.Year, 2 * Duration.Year, 5 * Duration.Year }
.Map(d => assetMkt.RefDate + d);
IProduct fwdLeg = ForwardLeg(fwdDates);
PriceResult priceResult = (PriceResult)McPricer.WithDetails(mcConfig).Price(fwdLeg, blackScholesModel, market);
double[] fwds = priceResult.Details.Map(kv => kv.Item3.Value);
var assetFwdCurve = assetMkt.Forward();
double[] refFwds = fwdDates.Map(d => assetFwdCurve.Fwd(d) * zcCurve.Zc(d));
foreach (var i in Enumerable.Range(0, fwdDates.Length))
{
var err = Math.Abs(fwds[i] / refFwds[i] - 1.0);
Assert.LessOrEqual(err, 20.0 * DoubleUtils.MachineEpsilon);
}
}
public static object EquityImpliedVol(object mktObj, string assetName, object maturity, double strike, double price, string optionType)
{
return(FunctionRunnerUtils.Run("EquityImpliedVol", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMkt = market.AssetMarketFromName(assetName);
var pricer = BlackScholesWithDividendOption.Build(assetMkt.Spot,
assetMkt.Dividends,
assetMkt.RiskFreeDiscount,
assetMkt.Time);
double q;
switch (optionType.Trim().ToLower())
{
case "call":
q = 1.0;
break;
case "put":
q = -1.0;
break;
default:
throw new Exception(string.Format("Unknow option type : {0}", optionType));
}
var matAsDate = ObjectConverters.ConvertDate(maturity, assetMkt.RefDate);
return pricer.ImpliedVol(assetMkt.Time[matAsDate], strike, price, q);
}));
}
public void SetUpMarkets(CurrencyAssetStaticsDataBase ccyDB, FXMarket mkt, AssetMarket aMkt)
{
_DataHistory.SetCcyDB(ccyDB);
dataGridViewAccounting.SetUpMarkets(ccyDB, mkt, aMkt);
dataGridViewFXMarket.ShowMarket(mkt, ccyDB);
dataGridViewAssetMarket.ShowMarket(aMkt, ccyDB);
}
public void AssetMarket()
{
AssetMarket aMkt = Init.CreateAssetMarket();
string fileName = SerializeObject(aMkt, "AssetMarket");
AssetMarket desAMkt = DeserializeObject <AssetMarket>(fileName);
Assert.IsTrue(aMkt == desAMkt);
}
internal void SetUpMarkets(CurrencyAssetStaticsDataBase ccyDB, FXMarket mkt, AssetMarket aMkt)
{
_CcyDB = ccyDB;
FXMarketUsed = mkt;
AssetMarketUsed = aMkt;
//Ccies = mkt.GetAvailableCurrencies();
//Assets = aMkt.GetAvailableAssets();
}
public AccountingData(List <Category> input, FXMarket mkt, AssetMarket aMkt)
{
_Ccy = new Currency("USD");
_Data = input;
_FXMarket = mkt;
_AssetMarket = aMkt;
_Map = new TreeViewMapping(_Data);
}
public void ModifyTotalCcy(FXMarket mkt, AssetMarket aMkt, Currency ccy)
{
if (_TotalCcy != ccy)
{
_TotalCcy = ccy;
RefreshTotal(mkt, aMkt, ccy);
}
}
internal void RefreshTotalAmount(FXMarket fXMarket, AssetMarket assetMarket)
{
_TotalAmount = 0;
foreach (Account item in Accounts)
{
item.RefreshTotalAmount(fXMarket, assetMarket);
_TotalAmount += item.TotalAmount;
}
}
public void TotalAccount_CcyTest()
{
Account acc = Init.CreateAccountCurrency1();
FXMarket FXMkt = Init.CreateFXMarket();
AssetMarket aMkt = Init.CreateAssetMarket();
IAccount totAcc = acc.GetTotalAccount(FXMkt, aMkt, acc.Ccy);
Assert.IsTrue(totAcc.Equals(acc));
}
public void RefreshTotal(FXMarket fxMkt, AssetMarket aMkt, Currency ccy)
{
_TotalAmount = 0;
foreach (Account acc in Accounts)
{
acc.ModifyTotalCcy(fxMkt, aMkt, ccy);
_TotalAmount += acc.TotalAmount;
}
}
public void RefreshTotalAmount(FXMarket fXMarket, AssetMarket assetMarket)
{
_TotalValue = 0;
foreach (Category item in Categories)
{
item.RefreshTotalAmount(fXMarket, assetMarket);
_TotalValue += item.TotalAmount;
}
}
public void ModifyAmount_CcyTest()
{
Account acc = Init.CreateAccountCurrency1();
FXMarket FXMkt = Init.CreateFXMarket();
AssetMarket aMkt = Init.CreateAssetMarket();
acc.ModifyAmount(FXMkt, aMkt, "TEST", "10,000");
Assert.IsTrue(acc.Amount == 10000);
}
public void TotalAccount_AssetTest()
{
Account acc = Init.CreateAccountAsset1();
FXMarket FXMkt = Init.CreateFXMarket();
AssetMarket aMkt = Init.CreateAssetMarket(FXMkt);
IAccount totAcc = acc.GetTotalAccount(FXMkt, aMkt, FXMkt.CcyRef);
Assert.IsTrue(totAcc.Equals(acc));
}
internal void RefreshTotalAmount(FXMarket fXMarket, AssetMarket assetMarket)
{
_TotalAmount = 0;
foreach (Institution item in Institutions)
{
item.RefreshTotalAmount(fXMarket, assetMarket);
_TotalAmount += item.TotalAmount;
}
}
public AccountingData(SerializationInfo info, StreamingContext context)
{
_Ccy = (Currency)info.GetValue("Currency", typeof(Currency));
//_CcyDB = (CurrencyAssetStaticsDataBase)info.GetValue("CcyDB", typeof(CurrencyAssetStaticsDataBase));
_Data = (List <Category>)info.GetValue("Categories", typeof(List <Category>));
_FXMarket = (FXMarket)info.GetValue("FXMarket", typeof(FXMarket));
_AssetMarket = (AssetMarket)info.GetValue("AssetMarket", typeof(AssetMarket));
//_Map = (TreeViewMapping)info.GetValue("Map", typeof(TreeViewMapping));
_Map = new TreeViewMapping(_Data);
}
internal void RefreshTotalAmount(FXMarket fXMarket, AssetMarket assetMarket)
{
IMarket iMkt = fXMarket;
if (!Ccy.IsCcy())
{
iMkt = assetMarket;
}
_TotalAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_TotalCcy));
}
public void ModifyAmount(FXMarket mkt, AssetMarket aMkt, string accountName, object value)
{
Account acc = GetAccount(accountName);
acc.ModifyAmount(mkt, aMkt, "", value);
RefreshTotal(mkt, aMkt, _TotalCcy);
ModifyAmountEventArgs e = new ModifyAmountEventArgs();
ModifyAmountEventHandler?.Invoke(this, e);
}
internal void PrepareForLoading(Currency ccy, FXMarket fXMarket, AssetMarket assetMarket)
{
_TotalCcy = ccy;
_TotalAmount = 0;
foreach (Account item in Accounts)
{
item.ModifyTotalCcy(fXMarket, assetMarket, ccy);
_TotalAmount += item.TotalAmount;
}
}
public AccountingData(CurrencyAssetStaticsDataBase ccyDB)
{
_CcyDB = ccyDB;
_Ccy = ccyDB.RefCcy;
_Data = new List <Category> {
};
_FXMarket = new FXMarket(Ccy);
_AssetMarket = new AssetMarket();
AddNewCategory();
_Map = new TreeViewMapping(_Data);
}
internal void RecalculateConvertedAmount(Currency ccy, FXMarket mkt, AssetMarket aMkt)
{
_ConvertedCcy = ccy;
IMarket iMkt = mkt;
if (!_Ccy.IsCcy())
{
iMkt = aMkt;
}
_ConvertedAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_ConvertedCcy));
}
internal void PrepareForLoading(Currency ccy, FXMarket fXMarket, AssetMarket assetMarket)
{
_TotalCcy = ccy;
_TotalAmount = 0;
foreach (Institution item in Institutions)
{
item.PrepareForLoading(_TotalCcy, fXMarket, assetMarket);
item.ModifyAmountEventHandler += this.UpdateTotalAmount;
_TotalAmount += item.TotalAmount;
}
}
public void RecalculateAmount(Account acc, FXMarket mkt, AssetMarket aMkt, bool forceRecalc = true)
{
if (acc.Ccy.IsCcy())
{
acc.RecalculateAmount(mkt, Ccy, forceRecalc);
}
else
{
acc.RecalculateAmount(aMkt, Ccy, forceRecalc);
}
}
public void GetTotalAmount()
{
Account acc = Init.CreateAccountCurrency1();
FXMarket fxMkt = Init.CreateFXMarket();
AssetMarket aMkt = Init.CreateAssetMarket();
acc.ModifyTotalCcy(fxMkt, aMkt, Init.Ccy2());
double tot = acc.GetTotalAmount(Init.Ccy1(), fxMkt);
Assert.IsTrue(tot == acc.Amount);
}
public double GetQuote(ICcyAsset item, Currency ccy)
{
if (item.IsCcy())
{
return(FXMarket.GetQuote(new CurrencyPair(item.Ccy, ccy)));
}
else
{
return(AssetMarket.GetQuote(new AssetCcyPair(item.Asset, Ccy)));
}
}
public void ModifyAmount(FXMarket mkt, AssetMarket aMkt, string v, object valueAmount)
{
_Amount = Convert.ToDouble(valueAmount);
IMarket iMkt = mkt;
if (!_Ccy.IsCcy())
{
iMkt = aMkt;
}
_ConvertedAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_ConvertedCcy));
_TotalAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_TotalCcy));
}
public static AssetMarket CreateAssetMarket(FXMarket populate_fx = null)
{
AssetMarket aMkt = new AssetMarket();
aMkt.AddQuote(new AssetCcyPair(Asset3(), Ccy1()), 48.5);
aMkt.AddQuote(new AssetCcyPair(Asset1(), Ccy1()), 15000.0);
if (populate_fx != null)
{
aMkt.PopulateWithFXMarket(populate_fx);
}
return(aMkt);
}
public void ModifyCcy(FXMarket mkt, AssetMarket aMkt, string v, ICcyAsset valueCcy, bool isLastRow)
{
_Ccy = valueCcy;
IMarket iMkt = mkt;
if (!_Ccy.IsCcy())
{
iMkt = aMkt;
}
_ConvertedAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_ConvertedCcy));
_TotalAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_TotalCcy));
}