public static double UpdatePortfolio(DateTime maturity, double risklessRate, DateTime date, SimulatedDataFeedProvider data, VanillaCall call, int nbDaysPerYear,
double volatility)
{
List <DataFeed> spotList = data.GetDataFeed(call, date); //
decimal spot = spotList[0].PriceList[call.UnderlyingShare.Id];
PricingResults price;
price = Pricer.PriceCall(call, date, nbDaysPerYear, (double)spot, volatility); //
double pricePortfolio = price.Price;
double delta = price.Deltas[0];
double riskyPosition = delta;
//Dictionary<string, decimal> price = datafeed.PriceList.TryGetValue(call.Name,out 0);
double riskFreePosition = pricePortfolio - delta * (double)spot;
while (date < maturity)
{
date.AddDays(1);
spotList = data.GetDataFeed(call, date); //
spot = spotList[0].PriceList[call.UnderlyingShare.Id];
pricePortfolio = riskyPosition * (double)spot + riskFreePosition * Math.Exp(risklessRate / 365);
price = Pricer.PriceCall(call, date, nbDaysPerYear, (double)spot, volatility); //
delta = price.Deltas[0];
riskyPosition = delta;
riskFreePosition = pricePortfolio - delta * (double)spot;
}
return(riskyPosition * (double)spot + riskFreePosition * Math.Exp(risklessRate / 365));
}
/*
* Renvoie la liste des prix des données simulées
* @VanilaCallName: nom de l'option
* @underlyingShares: tableau des sous-jacents
* @weight: poids des sous-jacents dans le portefeuille
* @startDate: date de début de la simulation
* @endTime: date de fin de la simulation
* @strike: valeur du strike de l'option
* */
public List <DataFeed> getForwardListDataField(String VanillaCallName, Share[] underlyingShares, double[] weight, DateTime startDate, DateTime endTime, double strike)
{
SimulatedDataFeedProvider simulvalues = new SimulatedDataFeedProvider();
DataGestion dg = new DataGestion();
int p = dg.numberOfAssets();
IOption optionData = new BasketOption(VanillaCallName, underlyingShares, weight, endTime, strike);
List <DataFeed> retMarket = simulvalues.GetDataFeed(optionData, startDate);//TODO : check this line
return(retMarket);
}
public override List <DataFeed> genereData(DateTime debut)
{
var dataFeedCalc = new List <DataFeed>();
IDataFeedProvider data = new SimulatedDataFeedProvider();
dataFeedCalc = data.GetDataFeed(this.option.option, debut);
this.donnees = dataFeedCalc;
this.listeDate = new List <DateTime>();
var dates = new List <DateTime>();
for (var dt = debut; dt <= option.option.Maturity; dt = dt.AddDays(1))
{
this.listeDate.Add(dt);
}
return(dataFeedCalc);
}
public void getDataSimul()
{
Console.WriteLine("debut de la generation de data");
var dataFeedCalc = new List <DataFeed>();
DateTime dateDebut = new DateTime(2010, 1, 1);
DateTime dateFin = new DateTime(2009, 1, 1);
Share action1 = new Share("accordId", "accordId");
VanillaCall vanille1 = new VanillaCall("accordId", action1, dateDebut, 10);
IDataFeedProvider data = new SimulatedDataFeedProvider();
dataFeedCalc = data.GetDataFeed(vanille1, dateFin);
Console.WriteLine(dataFeedCalc[0].Date);
Console.WriteLine(dataFeedCalc[0].PriceList.ToString());
decimal a = 10;
dataFeedCalc[50].PriceList.TryGetValue("accordId", out a);
Console.WriteLine(a);
Console.WriteLine("fin");
}
public static void Main(string[] args)
{
int strike = 9;
double volatility = 0.4;
DateTime maturity = new DateTime(2019, 09, 04);
DateTime beginDate = new DateTime(2018, 09, 04);
int totalDays = DayCount.CountBusinessDays(beginDate, maturity);
Share[] share = { new Share("Sfr", "1254798") };
if (share.Length == 1)
{
VanillaCall callOption = new VanillaCall("Vanille", share[0], maturity, strike);
/* Simulated data feeds : */
SimulatedDataFeedProvider simulator = new SimulatedDataFeedProvider();
List <DataFeed> dataFeeds = simulator.GetDataFeed(callOption, beginDate);
int numberOfDaysPerYear = simulator.NumberOfDaysPerYear;
/* Portfolio initialisation : */
Portfolio portfolio = new Portfolio();
portfolio.PortfolioComposition = new Dictionary <String, double>();
Pricer pricer = new Pricer();
double spot = (double)dataFeeds[0].PriceList[share[0].Id];
PricingResults pricingResults = pricer.PriceCall(callOption, beginDate, totalDays, spot, volatility);
double callPrice = pricingResults.Price;
portfolio.FirstPortfolioValue = callPrice;
portfolio.CurrentPortfolioValue = callPrice;
portfolio.CurrentDate = beginDate;
double previousDelta = pricingResults.Deltas[0];
portfolio.PortfolioComposition.Add(share[0].Id, previousDelta);
double payoff = 0;
double[] optionValue = new Double[totalDays];
double[] portfolioValue = new Double[totalDays];
optionValue[0] = callPrice;
portfolioValue[0] = portfolio.CurrentPortfolioValue;
int indexArrays = 1;
/* Skip the first day : because it's already initialized*/
foreach (DataFeed data in dataFeeds.Skip(1))
{
if (data != dataFeeds.Last())
{
portfolio.updateValue(spot, data, pricer, callOption, volatility, numberOfDaysPerYear);
spot = updateSpot(data, share[0]);
double pricing = getPricingResult(data, callOption, pricer, volatility, numberOfDaysPerYear);
/* Fill arrays of optionValue and portfolioValue */
optionValue[indexArrays] = pricing;
portfolioValue[indexArrays] = portfolio.CurrentPortfolioValue;
Console.WriteLine("Valeur option = " + optionValue[indexArrays]);
Console.WriteLine("Valeur portefeuille = " + portfolioValue[indexArrays]);
}
/* For the last day : */
else
{
portfolio.CurrentDate = data.Date;
payoff = callOption.GetPayoff(data.PriceList);
}
indexArrays++;
}
/* Partie traçage de courbes */
using (System.IO.StreamWriter file =
new System.IO.StreamWriter(@"C:\Users\ensimag\Desktop\WriteLines.txt"))
{
for (int index = 0; index < totalDays; index++)
{
// If the line doesn't contain the word 'Second', write the line to the file.
file.WriteLine(optionValue[index]);
file.WriteLine(portfolioValue[index]);
}
}
//double valuePortfolio = (portfolio.currentPortfolioValue - payoff) / portfolio.firstPortfolioValue;
//Console.WriteLine("Valeur = " + valuePortfolio);
Portfolio portefolioTest = new Portfolio();
double finalportfolioValue = portfolio.updatePortfolio(pricer, callOption, dataFeeds, numberOfDaysPerYear, share[0], totalDays, volatility, beginDate);
Console.WriteLine("Valeur = " + finalportfolioValue);
}
}
public List <DataFeed> GetDataFeeds(IOption option, DateTime from)
{
SimulatedDataFeedProvider simulateur = new SimulatedDataFeedProvider();
return(simulateur.GetDataFeed(option, from));
}
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);
}
// Action déclenché à l'appui sur le bouton start
private void StartTicker()
{
// Déclaration des paramètres
DateTime maturity = new DateTime(2014, 12, 20);
DateTime initialDate = new DateTime(2013, 1, 20);
DateTime estimationDate = new DateTime();
int windowLength = 10;
int numberOfDaysPerYear = 0;
double strike = 0;
List<Share> shareList = new List<Share>();
List<DataFeed> dataFeedList = new List<DataFeed>();
if (SelectedOption == "Vanilla Call")
{
if (Simulated)
{
// ----------- Vanilla Call donnees simulees --------
// Parametrage
strike = 8;
estimationDate = Utilities.getEstimationDateForSimulatedData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
// Creation de l'option
Option option = new VanillaCall("Vanilla Call", shareList.ToArray(), maturity, strike);
// Récupération des donnes simulées
IDataFeedProvider data = new SimulatedDataFeedProvider();
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
// Fournisseur de composition du portefeuille de réplication
CompositionProvider compositionProvider = new VanillaCompositionProvider(option);
// Main partagé
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
else
{
// ----------- Vanilla Call donnees historiques --------
strike = 35;
estimationDate = Utilities.getEstimationDateForHistoricalData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
Option option = new VanillaCall("Vanilla Call", shareList.ToArray(), maturity, strike);
IDataFeedProvider data = new HistoricalDataFeedProvider("historicalData", 365);
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
CompositionProvider compositionProvider = new VanillaCompositionProvider(option);
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
}
else if (SelectedOption == "Basket Option")
{
if (Simulated)
{
// ----------- Basket option donnees simulees --------
strike = 8;
estimationDate = Utilities.getEstimationDateForSimulatedData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
shareList.Add(new Share("ACCOR SA", "ALO FP"));
double[] weights = { 0.3, 0.7 };
Option option = new BasketOption("Basket option", shareList.ToArray(), weights, maturity, strike);
IDataFeedProvider data = new SimulatedDataFeedProvider();
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
CompositionProvider compositionProvider = new BasketCompositionProvider(option);
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
else
{
// ----------- Basket option donnees historiques --------
strike = 35;
estimationDate = Utilities.getEstimationDateForHistoricalData(initialDate, windowLength);
shareList.Add(new Share("BNP PARIBAS", "BNP FP"));
shareList.Add(new Share("ACCOR SA", "ALO FP"));
double[] weights = { 0.3, 0.7 };
Option option = new BasketOption("Basket option", shareList.ToArray(), weights, maturity, strike);
IDataFeedProvider data = new HistoricalDataFeedProvider("historicalData", 365);
dataFeedList = data.GetDataFeed(option, estimationDate);
numberOfDaysPerYear = data.NumberOfDaysPerYear;
CompositionProvider compositionProvider = new BasketCompositionProvider(option);
sharedMain(option, compositionProvider, dataFeedList, shareList, initialDate, strike, maturity, windowLength, numberOfDaysPerYear, Simulated);
}
}
}
public List <DataFeed> getDataSimulation()
{
var dataProvider = new SimulatedDataFeedProvider();
return(dataProvider.GetDataFeed(Option, DateDebut));
}