private void optionTypeComboBox_SelectedIndexChanted(object sender, EventArgs e)
{
int index = optionTypeComboBox.SelectedIndex;
switch (index)
{
case 2:
amountLabel.Text = "Barrier Price";
amountTextBox.Visible = true;
outputDataGridView.AutoSizeColumnsMode = DataGridViewAutoSizeColumnsMode.AllCells;
outputDataGridView.DataSource = BarrierOption.SetDataTable();
break;
case 3:
amountLabel.Text = "Rebate Price";
amountTextBox.Visible = true;
outputDataGridView.DataSource = DigitalOption.SetDataTable();
break;
case 5:
outputDataGridView.DataSource = RangeOption.SetDataTable();
break;
default:
amountLabel.Text = "";
amountTextBox.Visible = false;
outputDataGridView.DataSource = EuropeanOption.SetDataTable();
break;
}
}
public Range(Sign Sign, RangeOption Option, string LowValue, string HighValue)
{
this._LowValue = "";
this._HighValue = "";
this.Sign = Sign;
this.Option = Option;
this.LowValue = LowValue;
this.HighValue = HighValue;
}
public Range(Sign Sign, RangeOption Option, string LowValue, string HighValue)
{
this._LowValue = "";
this._HighValue = "";
this.Sign = Sign;
this.Option = Option;
this.LowValue = LowValue;
this.HighValue = HighValue;
}
public TextStyle(string label, TextStyle baseStyle, int size, int sizeMin, int sizeMax, int height, int heightMin, int heightMax, Action <TextStyle> onChange = null)
{
_baseStyle = baseStyle;
_onChange = onChange;
Label = label;
Size = new RangeOption(size, sizeMin, sizeMax, Lang.Get("TextStyle.Size"), value => ((baseStyle != null) && (Size.Value > 0) ? "+" : null) + value, onChange: _ => UpdateStyle());
Height = new RangeOption(height, heightMin, heightMax, Lang.Get("TextStyle.Height"), value => value + "%", onChange: _ => UpdateStyle());
UpdateStyle();
}
public static bool IsInRange(this float self, float min, float max, RangeOption opt = RangeOption.InEx)
{
switch (opt)
{
case RangeOption.InEx:
return(min <= self && self < max);
case RangeOption.InIn:
return(min <= self && self <= max);
case RangeOption.ExIn:
return(min < self && self <= max);
case RangeOption.ExEx:
return(min < self && self < max);
default:
throw new ArgumentOutOfRangeException("opt", opt, null);
}
}
public void RangeSlider(RangeOption range, bool enabled = true)
{
GUIPlus.SetEnabledColor(enabled);
var grid = GetRect(Text.LineHeight).GetHGrid(ElementPadding, LabelWidth, ValueWidth, -1f);
GUIPlus.DrawText(grid[1], range.Label);
GUIPlus.DrawText(grid[2], range.ToString());
var value = Mathf.RoundToInt(Widgets.HorizontalSlider(grid[3], range.Value, range.Min, range.Max, true));
if (enabled)
{
range.Value = value;
}
GUIPlus.DrawTooltip(grid[0], range.Tooltip, true);
Gap(verticalSpacing);
GUIPlus.ResetColor();
}
public void RangeSliderEntry(RangeOption range, ref string text, int id, bool enabled = true)
{
GUIPlus.SetEnabledColor(enabled);
var grid = GetRect(Text.LineHeight).GetHGrid(ElementPadding, LabelWidth, ValueWidth, -1f);
GUIPlus.DrawText(grid[1], range.Label);
var entryName = "RangeSliderEntry_Text" + id;
var isFocused = GUI.GetNameOfFocusedControl() == entryName;
if (!isFocused)
{
text = range.Value.ToString();
}
GUI.SetNextControlName(entryName);
var newText = Widgets.TextField(grid[2], text, 5, RangeSliderEntryRegex);
if (enabled)
{
text = newText;
}
var textValue = text.ToInt();
if (textValue.HasValue)
{
if (textValue.Value < range.Min)
{
range.Value = range.Min;
}
else if (textValue.Value > range.Max)
{
range.Value = range.Max;
}
else
{
range.Value = textValue.Value;
}
}
var sliderName = "RangeSliderEntry_Slider" + id;
GUI.SetNextControlName(sliderName);
var sliderValue = Mathf.RoundToInt(Widgets.HorizontalSlider(grid[3], range.Value, range.Min, range.Max, true));
if (enabled && range.Value != sliderValue)
{
range.Value = sliderValue;
text = range.Value.ToString();
}
if (Widgets.ButtonInvisible(grid[3]))
{
GUI.FocusControl(sliderName);
}
GUIPlus.DrawTooltip(grid[0], range.Tooltip, true);
Gap(verticalSpacing);
GUIPlus.ResetColor();
}
public virtual void AddRange(Sign Sign, RangeOption Option, string LowValue, string HighValue)
{
this._Ranges.Add(Sign, Option, LowValue, HighValue);
}
public virtual void AddRange(Sign Sign, RangeOption Option, string Value)
{
this._Ranges.Add(Sign, Option, Value, "");
}
public virtual void Add(Sign Sign, RangeOption Option, string Value)
{
base.List.Add(new Range(Sign, Option, Value, ""));
}
public virtual void Add(Sign Sign, RangeOption Option, string LowValue, string HighValue)
{
base.List.Add(new Range(Sign, Option, LowValue, HighValue));
}
public virtual void Add(Sign Sign, RangeOption Option, string Value)
{
base.List.Add(new Range(Sign, Option, Value, ""));
}
private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
{
BackgroundWorker worker = sender as BackgroundWorker;
object[] parameters = e.Argument as object[];
int steps = Convert.ToInt16(parameters[5]);
int trials = Convert.ToInt32(parameters[6]);
double s = Convert.ToDouble(parameters[0]);
double k = Convert.ToDouble(parameters[1]);
double t = Convert.ToDouble(parameters[2]);
double sig = Convert.ToDouble(parameters[3]);
double r = Convert.ToDouble(parameters[4]);
string type = parameters[7].ToString();
double exoticAmount = Convert.ToDouble(parameters[8]);
try
{
for (int i = 1; i <= 1; i++)
{
if (worker.CancellationPending == true)
{
e.Cancel = true;
break;
}
else
{
switch (type)
{
case "None":
e.Result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Asian":
e.Result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case "Barrier":
e.Result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Digital":
e.Result = DigitalOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Lookback":
e.Result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
case "Range":
e.Result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, exoticAmount);
break;
default:
break;
}
// Perform a time consuming operation and report progress.
Thread.Sleep(100);
worker.ReportProgress(i * 100);
}
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
public virtual void AddRange(Sign Sign, RangeOption Option, string LowValue, string HighValue)
{
this._Ranges.Add(Sign, Option, LowValue, HighValue);
}
private void bPriceOptionBook_Click(object sender, RoutedEventArgs e)
{
graphPlot = new GraphPlotting();
graphs.DataContext = graphPlot;
Task work = Task.Factory.StartNew(() =>
{
var orderBook = model.OrderBookDBs.ToList();
foreach (var trade in orderBook)
{
if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Stocks"))
{
var instrument = model.StockDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
trade.FairPrice = trade.Price;
trade.Delta = trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity;
trade.ProfitLoss = 0;
trade.Theta = 0;
trade.Gamma = 0;
trade.Vega = 0;
trade.Rho = 0;
lock (lck)
{
model.SaveChanges();
}
}
else if (trade.InstrumentsDB.SecurityTypeDB.TypeName.Equals("Options"))
{
var instrument = model.OptionsDBs.Where(x => x.Symbol == trade.InstrumentsDB.Symbol).First();
Options option = null;
ISecurity underlying = new Stock(instrument.StockDB.LastTradedPrice);
switch (instrument.OptionKindDB.OptionKindName)
{
case "Asian Option":
option = new AsianOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.ASIAN);
break;
case "Barrier Option":
option = new BarrierOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.BARRIER, (Double)instrument.Barrier, (instrument.BarrierOptionType == "downout" ? BarrierOptionType.DOWNOUT : (instrument.BarrierOptionType == "downin" ? BarrierOptionType.DOWNIN : (instrument.BarrierOptionType == "upout" ? BarrierOptionType.UPOUT : BarrierOptionType.UPIN))));
break;
case "Digital Option":
option = new DigitalOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.DIGITAL, (Double)instrument.Rebate);
break;
case "European Option":
option = new EuropeanOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.EUROPEAN);
break;
case "Lookback Option":
option = new LookbackOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.LOOKBACK);
break;
case "Range Option":
option = new RangeOption(instrument.Symbol, underlying, instrument.MaturityDate, (Double)instrument.StrikePrice, instrument.StockDB.HistoricalVolatility, instrument.OptionType == "CALL" ? OptionType.CALL : OptionType.PUT, OptionKind.RANGE);
break;
default:
break;
}
try
{
option.calulateOptionPriceAndGreeks(1000, 0.05, (option.ExpiryDate - DateTime.Now).Days, true, option.OptionKind == OptionKind.EUROPEAN ? true : false, true, plot: graphPlot);
trade.FairPrice = Math.Round(option.Price, 4);
trade.ProfitLoss = Math.Round((Double)trade.FairPrice - (Double)trade.Price, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Delta = Math.Round(option.Greeks.Delta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Theta = Math.Round(option.Greeks.Theta, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Gamma = Math.Round(option.Greeks.Gamma, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Vega = Math.Round(option.Greeks.Vega, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
trade.Rho = Math.Round(option.Greeks.Rho, 4) * (trade.Position == "BUY" ? trade.Quantity : -1 * trade.Quantity);
lock (lck)
{
model.SaveChanges();
}
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
}
this.Dispatcher.Invoke(() => {
dataGrid.DataContext = orderBook;
});
});
}
public virtual void Add(Sign Sign, RangeOption Option, string LowValue, string HighValue)
{
base.List.Add(new Range(Sign, Option, LowValue, HighValue));
}
private void calculate_Click(object sender, RoutedEventArgs e)
{
this.sw.Reset(); this.sw.Start();
graphPlot = new GraphPlotting();
this.DataContext = graphPlot;
this.graphs.IsEnabled = true;
if (this.simulationNumber > 500 && this.steps > 500)
{
this.graphs.ToolTip = "Graph may take time to load ";
}
else
{
this.graphs.ToolTip = "";
}
ISecurity underlying = new Stock(this.underlyingPrice);
Options option = null;
switch (this.kind)
{
case OptionKind.ASIAN:
option = new AsianOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.BARRIER:
option = new BarrierOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate, this.barrierOptiont);
break;
case OptionKind.DIGITAL:
option = new DigitalOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind, this.rebate);
break;
case OptionKind.EUROPEAN:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.LOOKBACK:
option = new LookbackOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
case OptionKind.RANGE:
option = new RangeOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
default:
option = new EuropeanOption(underlying.Symbol, underlying, this.maturityDate, this.strike, this.vol, this.type, this.kind);
break;
}
try
{
Task work = Task.Factory.StartNew(() =>
{
this.Dispatcher.Invoke(() => this.progress.IsActive = true);
option.calulateOptionPriceAndGreeks(this.simulationNumber, this.rate, this.steps, this.anitheticReductionEnabled, this.controlVariateEnabled, this.multithreadingEnabled, plot: this.graphPlot);
this.sw.Stop();
this.Dispatcher.Invoke(() => { display(option); this.progress.IsActive = false; });
});
}
catch (Exception message)
{
MessageBox.Show(message.Message.ToString() + "\n" + message.StackTrace.ToString());
}
}
public virtual void AddRange(Sign Sign, RangeOption Option, string Value)
{
this._Ranges.Add(Sign, Option, Value, "");
}
public SearchComponentPage(Assembly assembly,
ComponentTypeEnumeration type,
IEnumerable <Firm> firms,
IEnumerable <Lookup> lookups,
GetUnitVM unitModel)
{
InitializeComponent();
Assembly = assembly;
ComponentTypeEnumeration = type;
Search.Text = $"Search {type.GetDescription()}";
Search.Clicked += Search_Clicked;
foreach (var unit in unitModel.Units)
{
switch (unit.UnitType)
{
case UnitType.CheckboxGroup:
var checkboxGroupOption = new CheckboxGroupOption(unit);
UnitList.Children.Add(checkboxGroupOption);
break;
case UnitType.RadiobuttonGroup:
var radioButtonOption = new RadiobuttonGroupOption(unit);
UnitList.Children.Add(radioButtonOption);
break;
case UnitType.Range:
var rangeOption = new RangeOption(unit);
UnitList.Children.Add(rangeOption);
break;
case UnitType.Text:
foreach (var option in unit.Options)
{
var textInput = new TextOption(unit, option);
UnitList.Children.Add(textInput);
}
break;
default:
break;
}
}
var firmUnit = new Unit
{
Name = "Firms",
Key = "firms",
UnitType = UnitType.CheckboxGroup,
Options = firms.Select(x => new Option
{
Key = "firms",
Text = $"{x.Name} ({x.Country})",
Value = x.Id
})
};
var firmsOption = new CheckboxGroupOption(firmUnit);
UnitList.Children.Add(firmsOption);
foreach (var lookup in lookups)
{
var lookupUnit = new Unit
{
Name = lookup.Name,
Key = lookup.Key,
UnitType = UnitType.CheckboxGroup,
Options = lookup.LookupValues.Select(x => new Option
{
Key = lookup.Key,
Text = x.DisplayText,
Value = x.Id
})
};
var lookupOption = new CheckboxGroupOption(lookupUnit);
UnitList.Children.Add(lookupOption);
}
}
private void priceTradeBookToolStripMenuItem_Click(object sender, EventArgs e)
{
foreach (ListViewItem i in ListTrade.Items)
{
Int32 tmp = Convert.ToInt32(i.Text);
Trade tt = (from q in AppEntities.Trades
where q.Id == tmp
select q).FirstOrDefault();
double s = getLatestPrice(tt.Instrument);
double k = Convert.ToDouble(tt.Instrument.Strike);
double t = (double)tt.Instrument.Tenor;
double r = getInterestRate(tt.Instrument);
double sig = Convert.ToDouble(textBoxVol.Text) / 100.0;
int instrumentTypeId = (Int32)tt.Instrument.InstrumentTypeId;
int barrierTypeId = (Int32)tt.Instrument.BarrierTypeId;
double barrier = (double)tt.Instrument.Barrier;
double rebate = (double)tt.Instrument.Rebate;
int steps = 100, trials = 10000;
DataSet result = new DataSet();
Dictionary <String, double> stockMetric = new Dictionary <string, double>();
stockMetric.Add("Delta", 1);
switch (instrumentTypeId)
{
case 1:
stockMetric.Add("Delta", 1);
break;
case 2:
result = AsianOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case 3:
result = EuropeanOption.GetDataSet(steps, trials, s, k, t, sig, r);
break;
case 4:
result = BarrierOption.GetDataSet(steps, trials, s, k, t, sig, r, barrier);
break;
case 5:
result = RangeOption.GetDataSet(steps, trials, s, k, t, sig, r, rebate);
break;
case 6:
result = LookBackOption.GetDataSet(steps, trials, s, k, t, sig, r, 0);
break;
default:
break;
}
ListViewItem i2;
i2 = new ListViewItem();
i2.Text = tt.Id.ToString();
i2.SubItems.Add(tt.Instrument.Ticker);
i2.SubItems.Add(tt.Instrument.InstrumentType.TypeName);
i2.SubItems.Add(tt.IsBuy ? "BUY" : "SELL");
i2.SubItems.Add(tt.Quantity.ToString());
i2.SubItems.Add(tt.Price.ToString());
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
i2.SubItems.Add("10");
ListTrade.Items.Add(i2);
}
}