public double[,] Analytic(Parameters parameters, Types.OptionType optionType)
{
var pVArray = default(double[, ]);
switch (optionType)
{
case Types.OptionType.Vanilla:
pVArray =
OptionVanilla.MakeAnalyticPVArray(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.IsCall);
break;
case Types.OptionType.Barrier:
pVArray =
OptionBarrier.MakeAnalyticPVArray(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.Barrier,
parameters.IsCall);
break;
}
return(pVArray);
}
public double[,] FDM(Parameters parameters, Types.OptionType optionType, Types.MethodType methodType)
{
var pVArray = default(double[, ]);
switch (optionType)
{
case Types.OptionType.Vanilla:
pVArray =
OptionVanilla.SetInitialCondition(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.IsCall);
pVArray =
OptionVanilla.SetBoundaryCondition(
pVArray,
parameters.BoundaryPrice,
parameters.Strike,
parameters.IsCall);
pVArray =
MethodTheta.CalculatePVArray(
methodType,
pVArray,
parameters.BoundaryPrice,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility);
break;
case Types.OptionType.Barrier:
pVArray =
OptionBarrier.SetInitialCondition(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Barrier,
parameters.IsCall);
pVArray =
OptionBarrier.SetBoundaryCondition(pVArray);
pVArray =
MethodTheta.CalculatePVArray(
methodType,
pVArray,
parameters.BoundaryPrice,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility);
break;
}
return(pVArray);
}
public MainWindowViewModel()
{
// creation du delegate responsable de la génération du graphique
StartCommand = new DelegateCommand(StartAnalyse, CanLaunch);
wholeView = new WholeViewModel();
VanillaCallPricingVM vanille = new VanillaCallPricingVM();
BasketPricingVM basket = new BasketPricingVM();
Share accorSA = new Share("ACCOR SA", "AC FP ");
Share alstom = new Share("ALSTOM", "ALO FP ");
Share edf = new Share("EDF", "EDF FP ");
Share axaSA = new Share("AIR LIQUIDE SA", "AI FP ");
// Generation of options
OptionVanilla optVanilla1 = new OptionVanilla(vanille, "First Vanilla Call", new DateTime(2014, 01, 10), new DateTime(2015, 08, 20), new Share[1] {
edf
}, 24);
OptionVanilla optVanilla2 = new OptionVanilla(vanille, "Second Vanilla Call", new DateTime(2013, 01, 17), new DateTime(2014, 01, 24), new Share[1] {
axaSA
}, 7);
OptionBasket optBasket1 = new OptionBasket(basket, "First Basket Option", new DateTime(2014, 01, 10), new DateTime(2015, 08, 20), new Share[4] {
accorSA, alstom, edf, axaSA
}, 30, new double[4] {
0.2, 0.2, 0.2, 0.4
});
OptionBasket optBasket2 = new OptionBasket(basket, "Second Basket Option", new DateTime(2014, 01, 17), new DateTime(2015, 08, 13), new Share[2] {
alstom, edf
}, 14, new double[2] {
0.8, 0.2
});
OptionBasket optBasket3 = new OptionBasket(basket, "Forward Basket Option 1", new DateTime(2014, 01, 17), new DateTime(2015, 08, 13), new Share[3] {
alstom, edf, axaSA
}, 5, new double[3] {
0.3, 0.5, 0.2
});
OptionBasket optBasket4 = new OptionBasket(basket, "Forward Basket Option 2", new DateTime(2014, 08, 17), new DateTime(2015, 08, 20), new Share[2] {
alstom, axaSA
}, 9, new double[2] {
0.7, 0.3
});
OptionVanilla optVanilla3 = new OptionVanilla(vanille, "Forward Vanilla Call 1", new DateTime(2014, 01, 10), new DateTime(2015, 08, 13), new Share[1] {
alstom
}, 7);
OptionVanilla optVanilla4 = new OptionVanilla(vanille, "Forward Vanilla Call 2", new DateTime(2014, 08, 10), new DateTime(2015, 08, 20), new Share[1] {
axaSA
}, 9);
SelectedOption = optVanilla1;
DateDebut = selectedOption.currentDate.ToShortDateString();
DateDebut = selectedOption.currentDate.ToShortDateString();
optionInformation = optVanilla1.toTextBox();
List <AbstractOptionCombobox> myListOption = new List <AbstractOptionCombobox>()
{
optVanilla1, optVanilla2, optBasket1, optBasket2, optVanilla3, optVanilla4, optBasket3, optBasket4
};
AvailableOptions = new ObservableCollection <AbstractOptionCombobox>(myListOption);
BackTestGenerateHistoryVM backTest = new BackTestGenerateHistoryVM();
ForwardTestGenerateHistoryVM forwardTest = new ForwardTestGenerateHistoryVM();
SelectedTesting = backTest;
Rebalancement = "1";
Estimation = "30";
List <IGenerateHistoryViewModel> myListGenerator = new List <IGenerateHistoryViewModel>()
{
backTest, forwardTest
};
TestGenerateHistory = new ObservableCollection <IGenerateHistoryViewModel>(myListGenerator);
}