private void goBtn_Click(object sender, EventArgs e)
{
// Retrieve the values of the parameters in the TextBoxes
WrapperClass wc = new WrapperClass();
wc.getPriceCallEuro(nbSamples, maturity, S0, strike, sigma, r);
prixLabel.Text = wc.getPrice().ToString();
icLabel.Text = wc.getIC().ToString();
}
public Form1()
{
InitializeComponent();
// Récupérer les valeurs des paramètres dans les différentes TextBox
WrapperClass wc = new WrapperClass();
double S0 = 100;
double sigma = 0.2;
double r = 0.095;
double T = 1;
double K = 100;
int J = 12;
int M = 50000;
wc.getPriceOptionMC(S0, sigma, r, T, K, J, M);
PrixMC_Lab.Text = wc.getPrice().ToString();
ICMC_Lab.Text = wc.getIC().ToString();
wc.getPriceOptionMCC(S0, sigma, r, T, K, J, M);
PrixMCC_Lab.Text = wc.getPrice().ToString();
ICMCC_Lab.Text = wc.getIC().ToString();
}
protected void Button1_Click(object sender, EventArgs e)
{
double t = double.Parse(TextBox1.Text);
int H = int.Parse(TextBox2.Text);
int size = 4;
double[] spot = new double[] { 100, 100, 100, 100 };
double[] sigma = new double[] { 0.2, 0.2, 0.2, 0.2 };
double r = 0.05;
double[] coeff = new double[] { .25, .25, .25, .25 };
double[] rho = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
double T = 6;
int N = 6;
int M = 50000;
WrapperClass wc = new WrapperClass();
double K = 0.0;
wc.getPrice(t, size, spot, K, sigma, r, coeff, rho, T, N, H, M);
Label1.Text = Math.Round(wc.getPrice(), 4).ToString();
Label2.Text = Math.Round(wc.getICP(), 4).ToString();
Label3.Text = Math.Round(wc.getPriceBS(), 4).ToString();
}
public void price(object sender, EventArgs e)
{
// Récupérer les valeurs des paramètres dans les différentes TextBox
WrapperClass wc = new WrapperClass();
/*double strike = double.Parse(strike_tb.Text);
* int size = int.Parse(size_tb.Text);
* double r = double.Parse(r_tb.Text);
* double he = double.Parse(h_tb.Text);
* int sample = int.Parse(samples_tb.Text);*/
//byte[] abyte1 = new byte[type.Text.Length];
//System.Text.ASCIIEncoding encoding = new System.Text.ASCIIEncoding();
//abyte1 = encoding.GetBytes(type.Text);
//sbyte[] baske = Array.ConvertAll(abyte1, q => Convert.ToSByte(q));
String type = "basket";
//double[] sigma = new double[5];
//sigm[0] = double.Parse(sigma.Text);
//double[] rho = new double[1];
//ro[0] = double.Parse(rho.Text);
// Valeurs manuels
const int size = 5;
double strike = 100;
double[] spot = new double[size] {
90, 80, 100, 120, 110
};
double maturity = 1;
double[] sigma = new double[size] {
0.2, 0.2, 0.2, 0.15, 0.15
};
double r = 0.05;
double[] rho = new double[(size - 1) * size / 2] {
0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2
};
double[] coeff = new double[size] {
0.2, 0.2, 0.2, 0.2, 0.2
};
int timeStep = 1;
int samples = 50000;
wc.getPriceOption(type, size, spot, strike, maturity, sigma, r, rho, coeff, timeStep, samples);
prix_label.Text = wc.getPrice().ToString();
ic_label.Text = wc.getIC().ToString();
}
static void Main(string[] args)
{
WrapperClass wc = new WrapperClass();
double px, ic;
int M = 50000;
double T = 2;
double S0 = 100;
double K = 110;
double L = 80;
double sigma = 0.2;
double r = 0.05;
int J = 24;
wc.getPriceOption(M, T, S0, K, L, sigma, r, J);
px = wc.getPrice();
ic = wc.getIC();
System.Console.WriteLine("prix: %f\nic: %f\n", px, ic);
System.Console.ReadKey();
}
public void price(object sender, EventArgs e)
{
// Récupérer les valeurs des paramètres dans les différentes TextBox
WrapperClass wc = new WrapperClass();
/*double strike = double.Parse(strike_tb.Text);
int size = int.Parse(size_tb.Text);
double r = double.Parse(r_tb.Text);
double he = double.Parse(h_tb.Text);
int sample = int.Parse(samples_tb.Text);*/
//byte[] abyte1 = new byte[type.Text.Length];
//System.Text.ASCIIEncoding encoding = new System.Text.ASCIIEncoding();
//abyte1 = encoding.GetBytes(type.Text);
//sbyte[] baske = Array.ConvertAll(abyte1, q => Convert.ToSByte(q));
String type = "basket";
//double[] sigma = new double[5];
//sigm[0] = double.Parse(sigma.Text);
//double[] rho = new double[1];
//ro[0] = double.Parse(rho.Text);
// Valeurs manuels
const int size = 5;
double strike = 100;
double[] spot = new double[size] {90, 80, 100, 120, 110};
double maturity = 1;
double[] sigma = new double[size] { 0.2, 0.2, 0.2, 0.15, 0.15 };
double r = 0.05;
double[] rho = new double[(size - 1) * size / 2] { 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2, 0.2 };
double[] coeff = new double[size] { 0.2, 0.2, 0.2, 0.2, 0.2 };
int timeStep = 1;
int samples = 50000;
wc.getPriceOption(type, size, spot, strike, maturity, sigma, r, rho, coeff, timeStep, samples);
prix_label.Text = wc.getPrice().ToString();
ic_label.Text = wc.getIC().ToString();
}
protected void Hedge(object sender, EventArgs e)
{
//Affichage de la courbe associée au portefeuille
DateTime DateDeb = DateTime.Parse(datepicker.Text.ToString());
DateTime DateFin = DateTime.Parse(datepicker2.Text.ToString());
TimeSpan difference = DateFin.Date - DateDeb.Date ;
double rebalancement = double.Parse(estimate_time.Text.ToString());
WrapperClass wrap = new WrapperClass(4,60);
AccesBD acces = new AccesDB.AccesBD();
acces.DeleteCompo(new DateTime(2000, 1, 1), new DateTime(2010, 4, 28));
//acces.getAssetSpot("FTSE", DateDeb, DateDeb);
AfficheBD affiche = new AffichageBD.AfficheBD();
double[] spot = new double[4];
//On fait l'approximation que tout les spots commençent à la même date et on ne tient pas compte des paramètres pour le moment
ComputeParam cp = new ComputeParam();
cp.param(400,DateDeb.AddDays(-300));
double[] sigma = new double[4];
double[] rho = new double[16];
for (int i = 0; i<4; i++){
sigma[i] = cp.Volatility[i];
for (int j = 0 ; j < 4; j++){
rho[i*4+j] = cp.Corel[i,j];
}
}
double[] coeff = new double[4];
double[][] past = new double[4][];
for (int i = 0; i<4; i++){
coeff[i] = 0.25;
}
String Date = datepicker.Text.ToString();
DateTime Datee = DateDeb;
Chart1.Titles.Add("Composition du portefeuille de couverture");
Chart1.Legends.Add(new Legend("Valeur du portefeuille"));
Chart1.Legends.Add(new Legend("Valeur du produit"));
Chart1.Series[0].Name = "Valeur du portefeuille";
Chart1.Series[1].Name = "Valeur du produit";
DateTime previousDate = DateDeb;
int pas = (difference.Days) / (int)rebalancement+1;
DateTime DateFinBD = new DateTime(1,1,1);
spot = acces.getLastSpot(ref DateFinBD);
bool firstPas = true;
int taille = ((((DateFin.Date - DateDeb.Date).Days) / pas) + 1);
while ((DateFin.CompareTo(DateDeb) > 0 && acces.getCurrentValLiq(DateDeb)!=0) || firstPas)
{
firstPas = false;
past[0] = acces.getAssetSpot("FTSE", DateDeb, Datee,pas);
past[1] = acces.getAssetSpot("S&P", DateDeb, Datee,pas);
past[2] = acces.getAssetSpot("NIKKEI", DateDeb, Datee,pas);
past[3] = acces.getAssetSpot("EUROSTOXX", DateDeb, Datee,pas);
double[] realPast = new double[past[0].Length * 4];
for (int i = 0; i < 4; i++)
{
for (int j = 0; j < past[0].Length; j++)
{
realPast[i * past[0].Length + j] = past[i][j];
}
}
double risk = acces.getCurrentRisk(previousDate);
double riskfree = acces.getCurrentRiskFree(previousDate);
double[] tmpDelta = acces.getDelta(previousDate);
//Traitement du cas où la date de départ est celle de début du produit
//Changer le Past en tableaux bidimmensionnels !!
wrap.computePortfolio(past[0].Length, 4, 30, 1000, (int)rebalancement, ((DateFin.Date - Datee.Date).Days) / 365.0, (DateDeb-Datee).Days/365.0, 0.05, sigma, rho, coeff, realPast);
acces.Insert(DateDeb, wrap.getPrice(), wrap.getDelta(), wrap.getRiskFree(), wrap.getRisk());
//Affichage du portefeuille
if (wrap.getPrice() != 0)
{
Chart1.Series[0].Points.AddXY(DateDeb, wrap.getRisk() + wrap.getRiskFree());
Chart1.Series[1].Points.AddXY(DateDeb, wrap.getPrice());
}
//Chart1.Series[1].Points.AddXY(DateDeb, risk + riskfree);
previousDate = DateDeb;
DateDeb = DateDeb.AddDays(pas);
}
string[,] toolti = acces.extractData(DateTime.Parse(datepicker.Text.ToString()), DateTime.Parse(datepicker2.Text.ToString()));
for (int i = 0; i < Chart1.Series[0].Points.Count; i++)
{
Chart1.Series[0].Points[i].ToolTip = string.Format("Date = {0}, Valeur Portefeuille = {1}", toolti[2,i], Math.Round(double.Parse(toolti[1,i]),2));
Chart1.Series[1].Points[i].ToolTip = string.Format("Date = {0}, Valeur Liquidative = {1}", toolti[2, i], Math.Round(double.Parse(toolti[0, i]), 2));
}
Affichage.Style.Add(HtmlTextWriterStyle.Display, "inline");
}