public static Share[] GenerateShares(string[] UnderlyingShareIds)
{
Share[] shares = new Share[UnderlyingShareIds.Length];
int k = 0;
foreach (string underlyingId in UnderlyingShareIds)
{
String underlyingName = ShareTools.GetShareName(underlyingId);
shares[k] = new Share(underlyingName, underlyingId);
k++;
}
return(shares);
}
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);
}
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);
}
