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 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 override double CalculerPrix(int jour, AbstractData donnees, double[] spot, double[,] corr, double[] vol)
{
Pricer pricer = new Pricer();
DateTime dateAvancee = donnees.listeDate[jour];
double prix = pricer.PriceBasket((BasketOption)this.option, dateAvancee, 365, spot, vol, corr).Price;
return(prix);
}
public override double[] CalculerDeltas(int jour, AbstractData donnees, double[] vol, double[,] corr, double[] spot)
{
Pricer pricer = new Pricer();
DateTime dateAvancee = donnees.listeDate[jour];
double[] deltas = pricer.PriceBasket((BasketOption)this.option, dateAvancee, 365, spot, vol, corr).Deltas;
return(deltas);
}
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);
}
protected override PricingResults ComputePricing(int dateIndex, double[] volatility, double[,] correlation)
{
var pricer = new Pricer();
return(pricer.PriceBasket(Basket, MarketDataDates[dateIndex], 365, Spots[dateIndex], volatility, correlation));
}