public PricingResults PriceResults(IOption option, Dictionary <string, decimal> priceMarket, DateTime dateDebut, IDataFeedProvider dataFeedProvider)
{
Pricer pricer = new Pricer();
int length = priceMarket.Count;
double[] spot = new double[length];
for (int i = 0; i < spot.Length; i++)
{
spot[i] = (double)priceMarket.ElementAt(i).Value;
}
if (option is VanillaCall)
{
VanillaCall optionVanilla = (VanillaCall)option;
PricingResults priceDelta = pricer.PriceCall(optionVanilla, dateDebut, dataFeedProvider.NumberOfDaysPerYear, spot[0], volatilite);
return(priceDelta);
}
else
{
BasketOption optionBasket = (BasketOption)option;
double[] volatilities = new double[optionBasket.Weights.Length];
for (int i = 0; i < optionBasket.Weights.Length; i++)
{
volatilities[i] = volatilite;
}
PricingResults priceDelta = pricer.PriceBasket(optionBasket, dateDebut, dataFeedProvider.NumberOfDaysPerYear, spot, volatilities, matrixCorrelation);
return(priceDelta);
}
}
public List <PricingResults> pricingUntilMaturity(List <DataFeed> listDataFeed)
{
if (oName.Equals(null) || oShares.Equals(null) || oMaturity == null || oStrike.Equals(null) || listDataFeed.Count == 0)
{
throw new NullReferenceException(); // TODO pls check if correct
}
List <PricingResults> listPrix = new List <PricingResults>();
List <DataFeed> listdf = new List <DataFeed>(listDataFeed);
//This line wad added.
oSpot = new double[oShares.Length];
BasketOption bask_o = new BasketOption(oName, oShares, oWeights, oMaturity, oStrike);
while (listdf.Count > oObservation)
{
calculVolatility(listdf);
for (int myShare = 0; myShare < oShares.Length; myShare++)
{
oSpot[myShare] = (double)listdf[oObservation].PriceList[oShares[myShare].Id];
}
PricingResults pr = basketPricer.PriceBasket(bask_o, listdf[oObservation].Date, businessDays, oSpot, oVolatility, matriceCorr);
if (listPrix.Count > 0)
{
var prev = listPrix.Last();
if (Math.Abs(prev.Price - pr.Price) > 3.5)
{
var i = 0;
}
}
listPrix.Add(pr);
listdf.RemoveAt(0);
}
return(listPrix);
}
public static void Main(string[] args)
{
// header
Console.WriteLine("***********************");
Console.WriteLine("* Test Load Data *");
Console.WriteLine("***********************");
var HistoricalData = new HistoricalDataProvider();
DateTime from = new DateTime(2010, 01, 01);
DateTime maturity = new DateTime(2010, 04, 12);
Share share1 = new Share("ACCOR SA", "AC FP");
Share share2 = new Share("CREDIT AGRICOLE SA", "ACA FP");
Share[] underlyingShares = new Share[] { share1, share2 };
double[] weights = new double[] { 0.3, 0.7 };
double strike = 7000;
IOption option = new BasketOption("panier", underlyingShares, weights, maturity, strike);
List <DataFeed> lst = HistoricalData.GetDataFeeds(option, from);
foreach (DataFeed element in lst)
{
Console.WriteLine("\n\n" + element.Date.ToString() + "\n" + string.Join(",", element.PriceList.Select(kv => kv.Key + "=" + kv.Value).ToArray()));
}
Console.WriteLine("**************End of Loading****************");
String[] id = lst[0].PriceList.Keys.ToArray();
Console.WriteLine("les ids : " + id[0] + " et " + id[1]);
Console.ReadKey(true);
}
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);
}
/*
* Renvoie la liste des prix des données simulées
* @VanilaCallName: nom de l'option
* @underlyingShares: tableau des sous-jacents
* @weight: poids des sous-jacents dans le portefeuille
* @startDate: date de début de la simulation
* @endTime: date de fin de la simulation
* @strike: valeur du strike de l'option
* */
public List <DataFeed> getForwardListDataField(String VanillaCallName, Share[] underlyingShares, double[] weight, DateTime startDate, DateTime endTime, double strike)
{
SimulatedDataFeedProvider simulvalues = new SimulatedDataFeedProvider();
DataGestion dg = new DataGestion();
int p = dg.numberOfAssets();
IOption optionData = new BasketOption(VanillaCallName, underlyingShares, weight, endTime, strike);
List <DataFeed> retMarket = simulvalues.GetDataFeed(optionData, startDate);//TODO : check this line
return(retMarket);
}
//CreateBasket
public Basket CreateBasket(BasketOption baskOption)
{
CustomerManagement cstMng = new CustomerManagement(db);
Basket basket = new Basket
{
Customer = cstMng.FindCustomerById(baskOption.CustomerId)
};
db.Baskets.Add(basket);
db.SaveChanges();
return(basket);
}
//Create Basket
public Basket CreateBasket(BasketOption baskOption)
{
CustomerManagement castMangr = new CustomerManagement(db);
Basket basket = new Basket
{
Customer = castMangr.FindCustomerById(baskOption.CustomerId)
};
// db.Database.EnsureCreated();
db.Baskets.Add(basket);
db.SaveChanges();
return(basket);
}
private void StartTicker()
{
List <Share> selectedShares = new List <Share>();
foreach (var comp in AvailableShares)
{
if (comp.IsSelected)
{
selectedShares.Add(new Share(comp.Name, comp.Id));
}
}
int length = selectedShares.Count;
Share[] sharesTab = new Share[length];
for (int i = 0; i < sharesTab.Length; i++)
{
sharesTab[i] = selectedShares[i];
}
if ((selectedOptions == "vanillaCall" || UniverseVM.Initializer.Option is VanillaCall) && length == 1)
{
VanillaCall vanillaCall = new VanillaCall(UniverseVM.Initializer.NameOption, sharesTab[0], UniverseVM.Initializer.Maturity, UniverseVM.Initializer.Strike);
universeVM.Simulation = new SimulationModel(vanillaCall, universeVM.Initializer.TypeData, UniverseVM.Initializer.DebutTest, UniverseVM.Initializer.PlageEstimation, UniverseVM.Initializer.PeriodeRebalancement);
}
else if (selectedOptions == "basketOption" && length > 1)
{
Random aleatoire = new Random();
double[] weights = new double[length];
for (int i = 0; i < length; i++)
{
weights[i] = (double)1 / length;
}
BasketOption basketOption = new BasketOption(UniverseVM.Initializer.NameOption, sharesTab, weights, UniverseVM.Initializer.Maturity, UniverseVM.Initializer.Strike);
universeVM.Simulation = new SimulationModel(basketOption, universeVM.Initializer.TypeData, UniverseVM.Initializer.DebutTest, UniverseVM.Initializer.PlageEstimation, UniverseVM.Initializer.PeriodeRebalancement);
}
else
{
MessageBox.Show("Vanilla Call supports only one share, and basket options supports at least two shares, previous option was taken");
}
universeVM.UnderlyingUniverse = new Universe(universeVM.Simulation, universeVM.GraphVM.Graph);
if (win != null)
{
win.Close();
}
graphTest = universeVM.UnderlyingUniverse.Graph;
win = new GraphVisualization();
win.Show();
TickerStarted = false;
}
public static void Main(string[] args)
{
// header
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2018, 09, 04);
DateTime maturity = new DateTime(2019, 09, 04);
string name = "VanillaCall";
double strike = 7000;
Share underlying = new Share("vod.l", "vod.l");
IOption option = new VanillaCall(name, underlying, maturity, strike);
var lst = simulatedData.GetDataFeeds(option, from);
Console.WriteLine("************************************");
Console.WriteLine("* Test Simulation CallVanille *");
Console.WriteLine("************************************");
foreach (DataFeed element in lst)
{
Console.WriteLine("\n\n\n\n" + element.Date.ToString() + "\n" + string.Join(",", element.PriceList.Select(kv => kv.Key + "=" + kv.Value).ToArray()));
}
Console.WriteLine("**************End of simulation Vanille****************");
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
string nameBasket = "Basket";
double strikeBasket = 7000;
Share[] sharesBasket = { share1, share2 };
Double[] weights = { 0.3, 0.7 };
DateTime maturityBasket = new DateTime(2019, 09, 04);
IOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
List <DataFeed> simulationBasket = simulatedData.GetDataFeeds(optionBasket, from);
Console.WriteLine("\n\n\n\n");
Console.WriteLine("************************************");
Console.WriteLine("* Test Simulation BasketOption *");
Console.WriteLine("************************************");
foreach (DataFeed element in simulationBasket)
{
Console.WriteLine("\n\n\n\n" + element.Date.ToString() + "\n" + string.Join(",", element.PriceList.Select(kv => kv.Key + "=" + kv.Value).ToArray()));
}
Console.WriteLine("**************End of simulation BasketOption****************");
String[] id = simulationBasket[0].PriceList.Keys.ToArray();
Console.WriteLine("Basket ID : " + id[0] + " et " + id[1]);
Console.WriteLine("Basket : " + simulationBasket[0].PriceList.Keys.ToString());
Console.WriteLine("Vanille : " + lst[0].PriceList.Count);
Console.WriteLine("Vanille dates : " + lst.Count);
Console.ReadKey(true);
}
public IOption constructOption()
{
IOption option = null;
if ((userInput.Weights == null) || userInput.Weights.Sum() != 1)
{
throw new ArgumentException("The sum of the weights must equal 1");
}
if (DateTime.Compare(userInput.StartDate, userInput.Maturity) >= 0)
{
throw new ArgumentException("The start date must be shorter than maturity");
}
List <Share> underlyingsShares = new List <Share>();
foreach (string underlyingId in userInput.UnderlyingsIds)
{
String underlyingName = ShareTools.GetShareName(underlyingId);
underlyingsShares.Add(new Share(underlyingName, underlyingId));
}
if (userInput.OptionType.Equals("VanillaCall"))
{
if (underlyingsShares.Count > 1)
{
throw new ArgumentException("You have to choose only one underlying share for the Vanilla call");
}
option = new VanillaCall(userInput.NameOption, underlyingsShares[0], userInput.Maturity, userInput.Strike);
}
else if (userInput.OptionType.Equals("BasketOption"))
{
if (userInput.Weights.Length == 1)
{
throw new ArgumentException("You have to choose multiple underlying shares for the Basket option");
}
option = new BasketOption(userInput.NameOption, underlyingsShares.ToArray(), userInput.Weights, userInput.Maturity, userInput.Strike);
}
else
{
throw new ArgumentException("Unkown OptionType " + userInput.OptionType);
}
return(option);
}
private void StartTicker()
{
//universeVM = new UniverseViewModel();
BasketOption basketOption = new BasketOption("Basket", new Share[] { new Share("CREDIT AGRICOLE SA", "ACA FP "), new Share("AIR LIQUIDE SA", "AI FP "), new Share("AIRBUS GROUP SE", "AIR FP ") }, new double[] { 0.2, 0.2, 0.5, 0.1 }, UniverseVM.Initializer.Maturity, UniverseVM.Initializer.Strike);
VanillaCall vanillaCall = new VanillaCall("Vanilla Call", new Share("AIRBUS GROUP SE", "AIR FP "), UniverseVM.Initializer.Maturity, UniverseVM.Initializer.Strike);
universeVM.Simulation = new SimulationModel(basketOption, new HistoricalDataFeedProvider(), UniverseVM.Initializer.DebutTest,
UniverseVM.Initializer.PlageEstimation);
universeVM.UnderlyingUniverse = new Universe(universeVM.Simulation, universeVM.GraphVM.Graph);
if (win != null)
{
win.Close();
}
graphTest = universeVM.UnderlyingUniverse.Graph;
win = new GraphVisualization();
win.Show();
TickerStarted = false;
}
public static void Main(string[] args)
{
var simulatedData = new SimulatedDataProvider();
DateTime from = new DateTime(2010, 01, 01);
Share share1 = new Share("vod.l", "vod.l");
Share share2 = new Share("ftse", "ftse");
Share share3 = new Share("sfr", "sfr");
Share share4 = new Share("sx5e", "sx5e");
string nameBasket = "Basket";
double strikeBasket = 7000;
Share[] sharesBasket = { share1, share2, share3, share4 };
Double[] weights = { 0.2, 0.5, 0.2, 0.1 };
DateTime maturityBasket = new DateTime(2151, 01, 20);
IOption optionBasket = new BasketOption(nameBasket, sharesBasket, weights, maturityBasket, strikeBasket);
List <DataFeed> simulationBasket = simulatedData.GetDataFeeds(optionBasket, from);
ParametersEstimation parameters = new ParametersEstimation(simulationBasket, new DateTime(2150, 01, 20), 15000);
var correlationMatrix = parameters.Correlation;
int Size = correlationMatrix.GetLength(0);
Console.WriteLine("\n \n \n La matrice de correlation est : \n ");
for (int i = 0; i < Size; i++)
{
for (int j = 0; j < Size; j++)
{
Console.Write(correlationMatrix[i, j] + new string(' ', 30 - correlationMatrix[i, j].ToString().Length));
}
Console.Write("\n");
}
var volatilityTable = parameters.Volatility;
Console.WriteLine("\n \n \n la volatilite est : \n ");
for (int i = 0; i < Size; i++)
{
Console.WriteLine(volatilityTable[i]);
}
Console.ReadKey(true);
}
public static void RunBasketCRUD()
{
//connect to the DB
using CrmDbContext db = new CrmDbContext();
//to using to xrisomopioume anti gia to dispose (disconnect apo vasi)
ProductOption prOpt = new ProductOption
{
ProductName = "apples",
Price = 1.20m,
Quantity = 10
};
ProductManagement prodMangr = new ProductManagement(db);
Product product = prodMangr.CreateProduct(prOpt);
BasketManagement baskMangr = new BasketManagement(db);
BasketOption baskOption = new BasketOption
{
CustomerId = 3
};
Basket basket = baskMangr.CreateBasket(baskOption);
BasketProductOption bskProdOpt = new BasketProductOption
{
BasketId = basket.Id,
ProductId = 1
};
BasketProduct baskProd = baskMangr.AddProduct(bskProdOpt);
//Console.WriteLine(basket.BasketProducts[0], Product.ProductName);
basket.BasketProducts.ForEach(p =>
Console.WriteLine(p.Product.ProductName));
}
public List <FinancialComputation> InitAvailableOptions(string filename)
{
var res = new List <FinancialComputation>();
var sousJacentVanilla0 = new Share("AC", "AC FP ");
var maturityVanilla0 = new DateTime(2014, 9, 25);
var vanilla0 = new VanillaCall("simu vanilla AC", sousJacentVanilla0, maturityVanilla0, 25);
res.Add(new VanillaComputation(vanilla0));
var sousJacentVanilla1 = new Share("AC", "AC FP ");
var maturityVanilla1 = new DateTime(2011, 9, 25);
var vanilla1 = new VanillaCall("vanilla AC", sousJacentVanilla1, maturityVanilla1, 25);
res.Add(new VanillaComputation(vanilla1));
var sousJacentVanilla2 = new Share("BN", "BN FP ");
var maturityVanilla2 = new DateTime(2011, 9, 6);
var vanilla2 = new VanillaCall("vanilla BN", sousJacentVanilla2, maturityVanilla2, 45);
res.Add(new VanillaComputation(vanilla2));
var sousJacentVanilla3 = new Share("CAP", "CAP FP ");
var maturityVanilla3 = new DateTime(2011, 9, 6);
var vanilla3 = new VanillaCall("vanilla CAP", sousJacentVanilla3, maturityVanilla3, 35);
res.Add(new VanillaComputation(vanilla3));
var sousJacentBasket1 = new Share("AC", "AI FP ");
var sousJacentBasket2 = new Share("ACA", "CAP FP ");
var sousJacentBasket3 = new Share("EDF", "BN FP ");
var maturityBasket = new DateTime(2013, 6, 11);
var basket = new BasketOption("basket AI CAP BN", new Share[] { sousJacentBasket1, sousJacentBasket2, sousJacentBasket3 }, new double[] { 0.3, 0.3, 0.4 }, maturityBasket, 9);
res.Add(new BasketComputation(basket));
return(res);
}
public static void Main(string[] args)
{
Share share1 = new Share("vodName", "vod.l");
Share share2 = new Share("ftse", "ftse");
string[] shareNames = new string[2] {
"vodName", "ftseName"
};
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);
BasketOption optionBasket2 = new BasketOption("BASKETTT", sharesBasket, weights, maturityBasket, strikeBasket);
VanillaCall optionVanille = new VanillaCall("Vanille", sharesBasket[0], maturityBasket, strikeBasket);
VanillaCall optionVanille2 = new VanillaCall("Vanille2", sharesBasket[0], maturityBasket, strikeBasket);
JsonHandler jsonHandle = new JsonHandler();
jsonHandle.SaveOption(optionVanille);
jsonHandle.SaveOption(optionVanille);
jsonHandle.SaveOption(optionVanille2);
jsonHandle.SaveOption(optionBasket);
jsonHandle.SaveOption(optionBasket2);
jsonHandle.SaveOption(optionBasket);
jsonHandle.SaveOption(optionBasket);
jsonHandle.LoadOptions();
List <VanillaCall> listOptions = jsonHandle.ListVanillaCalls;
List <BasketOption> listBasket = jsonHandle.ListBasketOptions;
}
static void Main()
{
CustomerOption custOpt = new CustomerOption
{
FirstName = "Maria",
LastName = "Pentagiotissa",
Address = "Athens",
Email = "*****@*****.**",
};
using CrmDbContext db = new CrmDbContext();
CustomerManagement custMangr = new CustomerManagement(db);
// testing the creation of a customer
Customer customer = custMangr.CreateCustomer(custOpt);
Console.WriteLine(
$"Id= {customer.Id} Name= {customer.FirstName} Address= {customer.Address}");
//testing reading a customer
customer = custMangr.FindCustomerById(2);
if (customer != null)
{
Console.WriteLine(
$"Id= {customer.Id} Name= {customer.FirstName} Address= {customer.Address}");
}
//testing updating
CustomerOption custChangingAddress = new CustomerOption
{
Address = "Lamia"
};
customer = custMangr.Update(custChangingAddress, 1);
Console.WriteLine(
$"Id= {customer.Id} Name= {customer.FirstName} Address= {customer.Address}");
//testing deletion
bool result = custMangr.DeleteCustomerById(2);
Console.WriteLine($"Result = {result}");
customer = custMangr.FindCustomerById(2);
if (customer != null)
{
Console.WriteLine(
$"Id= {customer.Id} Name= {customer.FirstName} Address= {customer.Address}");
}
else
{
Console.WriteLine("not found");
}
ProductOption prOpt = new ProductOption
{
Name = "mila", Price = 1.20m, Quantity = 10
};
ProductManagement prodMangr = new ProductManagement(db);
Product product = prodMangr.CreateProduct(prOpt);
BasketManagement baskMangr = new BasketManagement(db);
BasketOption baskOption = new BasketOption
{
CustomerId = 3
};
Basket basket = baskMangr.CreateBasket(baskOption);
BasketProductOption bskProdOpt = new BasketProductOption
{
BasketId = 1,
ProductId = 1
};
BasketProduct baskProd = baskMangr.AddProduct(bskProdOpt);
basket.BasketProducts.ForEach(p =>
Console.WriteLine(p.Product.Name));
}
public void testEuroTwoValues()
{
// Testing two-asset European basket options...
/*
* Data from:
* Excel spreadsheet www.maths.ox.ac.uk/~firth/computing/excel.shtml
* and
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 56-58
* European two asset max basket options
*/
BasketOptionTwoData[] values =
{
// basketType, optionType, strike, s1, s2, q1, q2, r, t, v1, v2, rho, result, tol
// data from http://www.maths.ox.ac.uk/~firth/computing/excel.shtml
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 10.898, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 8.483, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 6.844, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 5.531, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 4.413, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.70, 0.00, 4.981, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.30, 0.00, 4.159, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.10, 0.00, 2.597, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.50, 0.10, 0.50, 4.030, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 17.565, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 19.980, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 21.619, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 22.932, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 24.049, 1.1e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 16.508, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 80.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 8.049, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 80.0, 120.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 30.141, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 100.0, 120.0, 120.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 42.889, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 11.369, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 12.856, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 13.890, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 14.741, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 15.485, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 0.50, 0.30, 0.30, 0.10, 11.893, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 0.25, 0.30, 0.30, 0.10, 8.881, 1.0e-3),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 2.00, 0.30, 0.30, 0.10, 19.268, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.90, 7.339, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.70, 5.853, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.50, 4.818, 1.0e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.30, 3.967, 1.1e-3),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 100.0, 100.0, 100.0, 0.00, 0.00, 0.05, 1.00, 0.30, 0.30, 0.10, 3.223, 1.0e-3),
// basketType, optionType, strike, s1, s2, q1, q2, r, t, v1, v2, rho, result, tol
// data from "Option pricing formulas" VB code + spreadsheet
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 4.8177, 1.0e-4),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 11.6323, 1.0e-4),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 2.0376, 1.0e-4),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.00, 0.00, 0.05, 0.50, 0.11, 0.16, 0.63, 0.5731, 1.0e-4),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 2.9340, 1.0e-4),
new BasketOptionTwoData(BasketType.MinBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 3.5224, 1.0e-4),
// data from "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 58
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Call, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 8.0701, 1.0e-4),
new BasketOptionTwoData(BasketType.MaxBasket, Option.Type.Put, 98.0, 100.0, 105.0, 0.06, 0.09, 0.05, 0.50, 0.11, 0.16, 0.63, 1.2181, 1.0e-4),
/* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 pag 59-60
* Kirk approx. for a european spread option on two futures*/
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, -0.5, 4.7530, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, 0.0, 3.7970, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.20, 0.5, 2.5537, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, -0.5, 5.4275, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, 0.0, 4.3712, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.25, 0.20, 0.5, 3.0086, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, -0.5, 5.4061, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, 0.0, 4.3451, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.1, 0.20, 0.25, 0.5, 2.9723, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, -0.5, 10.7517, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, 0.0, 8.7020, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.20, 0.5, 6.0257, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, -0.5, 12.1941, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, 0.0, 9.9340, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.25, 0.20, 0.5, 7.0067, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, -0.5, 12.1483, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, 0.0, 9.8780, 1.0e-3),
new BasketOptionTwoData(BasketType.SpreadBasket, Option.Type.Call, 3.0, 122.0, 120.0, 0.0, 0.0, 0.10, 0.5, 0.20, 0.25, 0.5, 6.9284, 1.0e-3)
};
DayCounter dc = new Actual360();
Date today = Date.Today;
SimpleQuote spot1 = new SimpleQuote(0.0);
SimpleQuote spot2 = new SimpleQuote(0.0);
SimpleQuote qRate1 = new SimpleQuote(0.0);
YieldTermStructure qTS1 = Utilities.flatRate(today, qRate1, dc);
SimpleQuote qRate2 = new SimpleQuote(0.0);
YieldTermStructure qTS2 = Utilities.flatRate(today, qRate2, dc);
SimpleQuote rRate = new SimpleQuote(0.0);
YieldTermStructure rTS = Utilities.flatRate(today, rRate, dc);
SimpleQuote vol1 = new SimpleQuote(0.0);
BlackVolTermStructure volTS1 = Utilities.flatVol(today, vol1, dc);
SimpleQuote vol2 = new SimpleQuote(0.0);
BlackVolTermStructure volTS2 = Utilities.flatVol(today, vol2, dc);
//double mcRelativeErrorTolerance = 0.01;
//double fdRelativeErrorTolerance = 0.01;
for (int i = 0; i < values.Length; i++)
{
PlainVanillaPayoff payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
Date exDate = today + (int)(values[i].t * 360 + 0.5);
Exercise exercise = new EuropeanExercise(exDate);
spot1.setValue(values[i].s1);
spot2.setValue(values[i].s2);
qRate1.setValue(values[i].q1);
qRate2.setValue(values[i].q2);
rRate.setValue(values[i].r);
vol1.setValue(values[i].v1);
vol2.setValue(values[i].v2);
IPricingEngine analyticEngine = null;
GeneralizedBlackScholesProcess p1 = null, p2 = null;
switch (values[i].basketType)
{
case BasketType.MaxBasket:
case BasketType.MinBasket:
p1 = new BlackScholesMertonProcess(new Handle <Quote>(spot1),
new Handle <YieldTermStructure>(qTS1),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS1));
p2 = new BlackScholesMertonProcess(new Handle <Quote>(spot2),
new Handle <YieldTermStructure>(qTS2),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS2));
analyticEngine = new StulzEngine(p1, p2, values[i].rho);
break;
case BasketType.SpreadBasket:
p1 = new BlackProcess(new Handle <Quote>(spot1),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS1));
p2 = new BlackProcess(new Handle <Quote>(spot2),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS2));
analyticEngine = new KirkEngine((BlackProcess)p1, (BlackProcess)p2, values[i].rho);
break;
default:
Utils.QL_FAIL("unknown basket type");
break;
}
List <StochasticProcess1D> procs = new List <StochasticProcess1D> {
p1, p2
};
Matrix correlationMatrix = new Matrix(2, 2, values[i].rho);
for (int j = 0; j < 2; j++)
{
correlationMatrix[j, j] = 1.0;
}
StochasticProcessArray process = new StochasticProcessArray(procs, correlationMatrix);
//IPricingEngine mcEngine = MakeMCEuropeanBasketEngine<PseudoRandom, Statistics>(process)
// .withStepsPerYear(1)
// .withSamples(10000)
// .withSeed(42);
//IPricingEngine fdEngine = new Fd2dBlackScholesVanillaEngine(p1, p2, values[i].rho, 50, 50, 15);
BasketOption basketOption = new BasketOption(basketTypeToPayoff(values[i].basketType, payoff), exercise);
// analytic engine
basketOption.setPricingEngine(analyticEngine);
double calculated = basketOption.NPV();
double expected = values[i].result;
double error = Math.Abs(calculated - expected);
if (error > values[i].tol)
{
REPORT_FAILURE_2("value", values[i].basketType, payoff, exercise,
values[i].s1, values[i].s2, values[i].q1,
values[i].q2, values[i].r, today, values[i].v1,
values[i].v2, values[i].rho, values[i].result,
calculated, error, values[i].tol);
}
// // fd engine
// basketOption.setPricingEngine(fdEngine);
// calculated = basketOption.NPV();
// double relError = relativeError(calculated, expected, expected);
// if (relError > mcRelativeErrorTolerance )
// {
// REPORT_FAILURE_2("FD value", values[i].basketType, payoff,
// exercise, values[i].s1, values[i].s2,
// values[i].q1, values[i].q2, values[i].r,
// today, values[i].v1, values[i].v2, values[i].rho,
// values[i].result, calculated, relError,
// fdRelativeErrorTolerance);
// }
//// mc engine
//basketOption.setPricingEngine(mcEngine);
//calculated = basketOption.NPV();
//relError = relativeError(calculated, expected, values[i].s1);
//if (relError > mcRelativeErrorTolerance )
//{
// REPORT_FAILURE_2("MC value", values[i].basketType, payoff,
// exercise, values[i].s1, values[i].s2,
// values[i].q1, values[i].q2, values[i].r,
// today, values[i].v1, values[i].v2, values[i].rho,
// values[i].result, calculated, relError,
// mcRelativeErrorTolerance);
//}
}
}
public double PortfolioValue(BasketOption optionBasket, Share[] sharesBasket, int totalDays, double[] volatility, double[,] correlationMatrix, DateTime beginDate)
{
this.basket = optionBasket;
SimulatedDataFeedProvider simulator = new SimulatedDataFeedProvider();
List <DataFeed> simulationBasket = simulator.GetDataFeed(optionBasket, beginDate);
int numberDaysPerYear = simulator.NumberOfDaysPerYear;
int size = sharesBasket.Length; // Number of Shares
double[] spotsPrev = new double[size]; // Array that will stock the spots values of the last rebalancing
spotsPrev = fillSpots(simulationBasket[0], sharesBasket, size); // We initialize the array with the spots of the first day of analysis
/* Calculation of the option price and the initial composition of the portfolio */
Pricer pricer = new Pricer();
PricingResults pricesResults = pricer.PriceBasket(optionBasket, beginDate, numberDaysPerYear, spotsPrev, volatility, correlationMatrix);
double priceBasket = pricesResults.Price;
double[] deltaPrev = new double[size];
deltaPrev = pricesResults.Deltas;
double cashRiskFreePrev = priceBasket - dotArrays(deltaPrev, spotsPrev, size);
this.portfolioValue = priceBasket;
this.basketPriceInit = priceBasket;
int index = 0;
double[] delta = new double[size];
double[] spots = new double[size];
double cashRiskFree = 0;
double variationCashRisk = 0;
double freeRate = 0;
double cashRisk = 0;
DateTime today;
double[] optionValue = new double[totalDays];
double[] portfolioValue = new double[totalDays];
double payoff = 0;
/* Arrays used for the plot */
optionValue[0] = pricesResults.Price;
portfolioValue[0] = this.portfolioValue;
foreach (DataFeed data in simulationBasket)
{
if (index != 0 && index != totalDays)
{
cashRisk = 0;
variationCashRisk = 0;
today = data.Date;
/* Update spots */
spots = fillSpots(data, sharesBasket, size);
/* Update priceResults */
pricesResults = pricer.PriceBasket(optionBasket, today, numberDaysPerYear, spots, volatility, correlationMatrix);
/* Update deltas */
delta = pricesResults.Deltas;
/* Update cashRisk */
cashRisk = dotArrays(delta, spots, size);
variationCashRisk = dotArrays(minusArrays(deltaPrev, delta, size), spots, size);
freeRate = RiskFreeRateProvider.GetRiskFreeRateAccruedValue(1 / numberDaysPerYear);
/* Update cashRiskFree */
cashRiskFree = variationCashRisk + cashRiskFreePrev * freeRate;
/* Update portfolioValue */
this.portfolioValue = cashRiskFree + cashRisk;
/* Memorize the delta and the cashRiskFree calculated for the next balancing */
deltaPrev = delta;
cashRiskFreePrev = cashRiskFree;
optionValue[index] = pricesResults.Price;
portfolioValue[index] = this.portfolioValue;
}
else if (index == totalDays)
{
payoff = optionBasket.GetPayoff(data.PriceList);
}
index++;
}
/* Partie traçage de courbes */
using (System.IO.StreamWriter file =
new System.IO.StreamWriter(@"C:\Users\ensimag\Desktop\PortfolioBasketOption.txt"))
{
for (int i = 0; i < totalDays; i++)
{
// If the line doesn't contain the word 'Second', write the line to the file.
file.WriteLine(optionValue[i]);
file.WriteLine(portfolioValue[i]);
}
}
return((this.portfolioValue - payoff) / this.basketPriceInit);
}
public PortfolioBasket(double portfolioValue, BasketOption basket)
{
this.portfolioValue = portfolioValue;
this.basketPriceInit = portfolioValue;
this.basket = basket;
}
// Action déclenché à l'appui sur le bouton start
private void StartTicker()
{
// Déclaration des paramètres
DateTime maturity = new DateTime(2014, 12, 20);
DateTime initialDate = new DateTime(2013, 1, 20);
DateTime estimationDate = new DateTime();
int windowLength = 10;
int numberOfDaysPerYear = 0;
double strike = 0;
List<Share> shareList = new List<Share>();
List<DataFeed> dataFeedList = new List<DataFeed>();
if (SelectedOption == "Vanilla Call")
{
if (Simulated)
{
// ----------- Vanilla Call donnees simulees --------
// Parametrage
strike = 8;
estimationDate = Utilities.getEstimationDateForSimulatedData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
// Creation de l'option
Option option = new VanillaCall("Vanilla Call", shareList.ToArray(), maturity, strike);
// Récupération des donnes simulées
IDataFeedProvider data = new SimulatedDataFeedProvider();
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
// Fournisseur de composition du portefeuille de réplication
CompositionProvider compositionProvider = new VanillaCompositionProvider(option);
// Main partagé
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
else
{
// ----------- Vanilla Call donnees historiques --------
strike = 35;
estimationDate = Utilities.getEstimationDateForHistoricalData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
Option option = new VanillaCall("Vanilla Call", shareList.ToArray(), maturity, strike);
IDataFeedProvider data = new HistoricalDataFeedProvider("historicalData", 365);
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
CompositionProvider compositionProvider = new VanillaCompositionProvider(option);
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
}
else if (SelectedOption == "Basket Option")
{
if (Simulated)
{
// ----------- Basket option donnees simulees --------
strike = 8;
estimationDate = Utilities.getEstimationDateForSimulatedData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
shareList.Add(new Share("ACCOR SA", "ALO FP"));
double[] weights = { 0.3, 0.7 };
Option option = new BasketOption("Basket option", shareList.ToArray(), weights, maturity, strike);
IDataFeedProvider data = new SimulatedDataFeedProvider();
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
CompositionProvider compositionProvider = new BasketCompositionProvider(option);
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
else
{
// ----------- Basket option donnees historiques --------
strike = 35;
estimationDate = Utilities.getEstimationDateForHistoricalData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
shareList.Add(new Share("ACCOR SA", "ALO FP"));
double[] weights = { 0.3, 0.7 };
Option option = new BasketOption("Basket option", shareList.ToArray(), weights, maturity, strike);
IDataFeedProvider data = new HistoricalDataFeedProvider("historicalData", 365);
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
CompositionProvider compositionProvider = new BasketCompositionProvider(option);
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
}
}
public static void Main()
{
//CustomerOption custOpt = new CustomerOption
//{
// FirstName = "Tester222",
// LastName = "Test",
// Address = "TestCity",
// Email = "*****@*****.**",
//};
using CrmAppDbContext db = new CrmAppDbContext();
CustomerManagement custMangr = new CustomerManagement(db);
////testing the creation of a customer
//Customer customer = custMangr.CreateCustomer(custOpt);
//Console.WriteLine(
//$"Id= {customer.CustomerId} Name= {customer.FirstName} Address= {customer.Address}");
////testing reading a customer
//customer = custMangr.FindCustomerById(2);
//if (customer != null)
// Console.WriteLine(
// $"Id= {customer.CustomerId} Name= {customer.FirstName} Address= {customer.Address}");
////testing updating
//CustomerOption custChangingAddress = new CustomerOption
//{
// Address = "Lamia"
//};
//customer = custMangr.Update(custChangingAddress, 1);
//Console.WriteLine(
// $"Id= {customer.CustomerId} Name= {customer.FirstName} Address= {customer.Address}");
////testing deletion
//bool result = custMangr.DeleteCustomerById(2);
//Console.WriteLine($"Result = {result}");
//customer = custMangr.FindCustomerById(2);
//if (customer != null)
//{
// Console.WriteLine(
// $"Id= {customer.CustomerId} Name= {customer.FirstName} Address= {customer.Address}");
//}
//else
//{
// Console.WriteLine("not found");
//}
ProductOption prOpt = new ProductOption
{
Name = "portokalia",
Price = 1.20m,
Quantity = 10
};
ProductManagement prodMangr = new ProductManagement(db);
Product product = prodMangr.CreateProduct(prOpt);
BasketManagement baskMangr = new BasketManagement(db);
BasketOption baskOption = new BasketOption
{
CustomerId = 5
};
Basket basket = baskMangr.CreateBasket(baskOption);
BasketProductOption bskProdOpt = new BasketProductOption
{
BasketId = basket.Id,
ProductId = 1
};
//System.NullReferenceException
BasketProduct baskProd = baskMangr.AddProduct(bskProdOpt);
basket.BasketProducts.ForEach(
baskProduct =>
Console.WriteLine(
db.BasketProducts
.Include(b => b.Product)
.Where(b => b.Id == baskProduct.Id)
.First()
.Product.Name)
);
Console.ReadLine();
}
public static string eqInstSpreadOptionMonteCarlo(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "Option type (Call/Put) ")] string optype,
[ExcelArgument(Description = "Spot price leg 1")] double spot1,
[ExcelArgument(Description = "Spot price leg 2")] double spot2,
[ExcelArgument(Description = "Strike price ")] double stirkeprice,
[ExcelArgument(Description = "Expiry Date ")] DateTime exdate,
[ExcelArgument(Description = "Risk free rate ")] double riskfreerate,
[ExcelArgument(Description = "Black-Scholes Vol for leg 1 ")] double vol1,
[ExcelArgument(Description = "Black-Scholes Vol for leg 2 ")] double vol2,
[ExcelArgument(Description = "correlation between leg 1 and leg 2 ")] double corr,
[ExcelArgument(Description = "DayCounter ")] string daycounter,
[ExcelArgument(Description = "Calendar ")] string calendar,
[ExcelArgument(Description = "Pseudorandom (pr) or lowdiscrepancy (ld) ")] string traits,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (exdate == DateTime.MinValue)
{
throw new Exception("Date must not be empty. ");
}
if (ExcelUtil.isNull(daycounter))
{
daycounter = "ACTUAL365";
}
if (ExcelUtil.isNull(calendar))
{
calendar = "NYC";
}
if (ExcelUtil.isNull(traits))
{
traits = "pr";
}
Option.Type optiontype;
if (optype.ToUpper() == "CALL")
{
optiontype = Option.Type.Call;
}
else if (optype.ToUpper() == "PUT")
{
optiontype = Option.Type.Put;
}
else
{
throw new Exception("Unknow option type");
}
EliteQuant.Calendar cal = EliteQuant.EQConverter.ConvertObject <EliteQuant.Calendar>(calendar);
EliteQuant.DayCounter dc = EliteQuant.EQConverter.ConvertObject <EliteQuant.DayCounter>(daycounter);
EliteQuant.Date maturitydate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(exdate);
EliteQuant.Date today = EliteQuant.Settings.instance().getEvaluationDate();
EliteQuant.Date settlementdate = today; // T+2
if (maturitydate.serialNumber() <= today.serialNumber())
{
throw new Exception("Option already expired.");
}
YieldTermStructureHandle rTSH = new YieldTermStructureHandle(
new FlatForward(settlementdate, riskfreerate, dc));
BlackVolTermStructureHandle flatVolTSH1 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol1, dc));
BlackVolTermStructureHandle flatVolTSH2 = new BlackVolTermStructureHandle(
new BlackConstantVol(settlementdate, cal, vol2, dc));
Quote qh1 = new SimpleQuote(spot1);
Quote qh2 = new SimpleQuote(spot2);
QuoteHandle s1 = new QuoteHandle(qh1);
QuoteHandle s2 = new QuoteHandle(qh2);
BlackProcess p1 = new BlackProcess(s1, rTSH, flatVolTSH1);
BlackProcess p2 = new BlackProcess(s2, rTSH, flatVolTSH2);
StochasticProcessVector spv = new StochasticProcessVector(2);
spv.Add(p1);
spv.Add(p2);
Matrix corrmtrx = new Matrix(2, 2);
corrmtrx.set(0, 0, 1.0); corrmtrx.set(1, 1, 1.0);
corrmtrx.set(0, 1, corr); corrmtrx.set(1, 0, corr);
StochasticProcessArray spa = new StochasticProcessArray(spv, corrmtrx);
PricingEngine engine = new MCEuropeanBasketEngine(spa, traits, 100, 1, false, true, 5000, 1e-6);
Payoff payoff1 = new PlainVanillaPayoff(optiontype, stirkeprice);
Payoff payoff2 = new SpreadBasketPayoff(payoff1);
Exercise exercise = new EuropeanExercise(maturitydate);
BasketOption bo = new BasketOption(payoff2, exercise);
bo.setPricingEngine(engine);
// Store the option and return its id
string id = "OPTION@" + ObjectId;
OHRepository.Instance.storeObject(id, bo, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public BasketComputation(BasketOption b) : base(b)
{
Basket = b;
}
public BasketOptionPricer(BasketOption opt) : base(opt)
{
}
public static object eqInstGetOptionGreeks(
[ExcelArgument(Description = "id of option ")] string ObjectId,
[ExcelArgument(Description = "Greek type ")] string gtype,
[ExcelArgument(Description = "Option type (VANILLA or MULTIASSET)")] string otype,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
if (ExcelUtil.isNull(gtype))
{
gtype = "NPV";
}
if (ExcelUtil.isNull(otype))
{
otype = "VANILLA";
}
if (otype == "VANILLA")
{
VanillaOption option = OHRepository.Instance.getObject <VanillaOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else if (otype == "MULTIASSET")
{
BasketOption option = OHRepository.Instance.getObject <BasketOption>(ObjectId);
switch (gtype.ToUpper())
{
case "NPV":
return(option.NPV());
case "DELTA":
return(option.delta());
case "GAMMA":
return(option.gamma());
case "VEGA":
return(option.vega());
case "THETA":
return(option.theta());
case "RHO":
return(option.rho());
default:
return(0);
}
}
else
{
return("Unknown option type");
}
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
static void Main2()
{
CustomerOption custOpt = new CustomerOption
{
FirstName = "John",
LastName = "XCV",
Adress = "Thessaloniki",
Email = "*****@*****.**",
};
using CrmDbContext db = new CrmDbContext();
CustomerManagement custMngr = new CustomerManagement(db);
Customer customer = custMngr.CreateCustomer(custOpt);
Console.WriteLine($"Id={customer.Id} Name={customer.FirstName} Adress={customer.Adress}");
Customer cx = custMngr.FindCustomerById(2);
Console.WriteLine($"Id={cx.Id} Name={cx.FirstName} Adress={cx.Adress}");
CustomerOption custChangingAdress = new CustomerOption
{
Adress = "Lamia"
};
Customer c2 = custMngr.Update(custChangingAdress, 1);
Console.WriteLine($"Id={c2.Id} Name={c2.FirstName} Adress={c2.Adress}");
bool result = custMngr.DeleteCustomerById(2);
Console.WriteLine($"Result={result}");
Customer cx2 = custMngr.FindCustomerById(2);
if (cx2 != null)
{
Console.WriteLine($"Id={cx2.Id} Name={cx2.FirstName} Adress={cx2.Adress}");
}
else
{
Console.WriteLine("Not found");
}
ProductOption prOpt = new ProductOption
{
Name = "apples", Price = 1.20m, Quantity = 10
};
ProductManagement prodMngr = new ProductManagement(db);
Product product = prodMngr.CreateProduct(prOpt);
BasketManagement baskMngr = new BasketManagement(db);
BasketOption baskOption = new BasketOption
{
CustomerId = 3
};
Basket basket = baskMngr.CreateBasket(baskOption);
BasketProductOption bskProdOpt = new BasketProductOption
{
BasketId = basket.Id,
ProductId = 1
};
BasketProduct baskProd = baskMngr.AddProduct(bskProdOpt);
basket.BasketProducts.ForEach(p =>
Console.WriteLine(p.Product));
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BasketOption obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BasketOption obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
