public ModelManage()
{
//double[,] var0 = HistoricCompute.RiskMetrics.var0();
//double[,] var = HistoricCompute.RiskMetrics.var(var0, HistoricCompute.RiskMetrics.t0.AddDays(1));
timers.start("ModelManage initialization");
timers.start("Database initialization");
qpcptfaw db = new qpcptfaw();
//Access.Clear_Everglades_Prices();
DBInitialisation.DBInit(db);
HistoricCompute.RiskMetrics.initRiskMetrics(24);
timers.stop("Database initialization");
/*
for (int i = 1; i < 50 ; i++ )
{
DateTime d = DateTime.Today - TimeSpan.FromDays(i);
AccessDB.setHedgingPortfolioValue(d, 0);
}
*/
//Access.ClearPrice(db, 65);
//Access.ClearAsset(db, 65);
//Access.ClearPrice(db, 68);
//Access.ClearAsset(db, 68);
//Access.ClearPrices(db);
//Access.ClearDbConnections(db);
//Access.ClearAssets(db);
//Access.Clear_Everglades_Price(new DateTime(2016, 3, 2));
try
{
//Access.Clear_Everglades_Price(new DateTime(2016, 3, 9));
//Access.Clear_Everglades_Price(new DateTime(2016, 3, 10));
//Access.Clear_Everglades_Price(new DateTime(2016, 3, 11));
//Access.Clear_Everglades_Price(new DateTime(2016, 3, 5));
//Access.Clear_Prices_After(new DateTime(2016, 2, 1), Access.GetIdEverglades());
}
catch (Exception)
{}
// initialize main variables and lists
instance = this;
Assets = new List<IAsset>();
Assets_Currencies = new List<ICurrency>();
Dictionary<string, Currencies> curEnum = Access.Get_Equities_Currencies();
foreach (KeyValuePair<string, Currencies> ent in curEnum)
{
Currency cur = new Currency(ent.Value);
Assets.Add(new Equity(ent.Key, cur));
if (!Assets_Currencies.Any(x => x.getEnum() == ent.Value) && ent.Value != Currencies.EUR)
{
Assets_Currencies.Add(cur);
}
}
everg = new Everglades(Assets, Assets_Currencies);
shares_everg = 100000;
// TODO : change or delete
//simulateBackTestEvolution(true, DateTime.Today - TimeSpan.FromDays(10), TimeSpan.FromDays(1));
try
{
cash = Access.getCashDB(DateTime.Today).value;
Hedging_Portfolio = getHedgingPortfolioFromBD(DateTime.Today);
}
catch (Exception)
{
cash = shares_everg * everg.getPrice();
Hedging_Portfolio = new Portfolio(Assets.Concat(Assets_Currencies.ConvertAll(x => (IAsset)x)).ToList());
}
DateTime d_temp = DateTime.Today;
//Hedging_Portfolio = new Portfolio(Assets.Concat(Assets_Currencies.ConvertAll(x => (IAsset)x)).ToList());
Operations_History = new LinkedList<Operation.Operation>();
derivatives = new List<IDerivative>();
derivatives.Add(new EuropeanCall());
derivatives.Add(new EuropeanPut());
derivatives.Add(new AmericanCall());
derivatives.Add(new AmericanPut());
derivatives.Add(new AsianCall());
derivatives.Add(new AsianPut());
derivatives.Add(new QuantoCall());
derivatives.Add(new QuantoPut());
timers.stop("ModelManage initialization");
}
/**
* simulate an everglades product and it's underlying portfolio
* evolution with the adviced hedging portfolio, and return a list
* of Data :
* * Data of product price evolution
* * Data of hedging portfolio price evolution
* * Data of tracking error evolution
* * Data of cash spent for hedging portfolio evolution
*
*/
public List<Data> simulateHedgeEvolution(bool with_currency)
{
RandomNormal rand = new RandomNormal();
LinkedList<DateTime> list_dates = everg.getObservationDates();
LinkedList<DateTime> list_anticipated_dates = everg.getAnticipatedDates();
DateTime first = list_dates.First();
List<IAsset> simulated_list = new List<IAsset>();
List<ICurrency> underlying_list_cur = new List<ICurrency>();
double r = 0.03;
foreach (IAsset ass in Assets)
{
simulated_list.Add(new AssetSimulated(ass, list_dates, rand));
if (with_currency)
{
Currencies curEnum = ass.getCurrency().getEnum();
if (!underlying_list_cur.Any(x => x.getEnum() == curEnum) && curEnum != Currencies.EUR)
{
underlying_list_cur.Add(new CurrencySimulated(curEnum, rand, r));
}
}
}
Everglades everg_simul = new Everglades(simulated_list, underlying_list_cur);
Portfolio hedge_simul = new Portfolio(simulated_list);
Data tracking_error = new Data("simulation-graph-trackingerror");
Data everglades_price = new Data("simulation-graph-prices-everg");
Data hedge_price = new Data("simulation-graph-prices-hedge");
Data portsolo_price = new Data("simulation-graph-soloport");
Data cash_price = new Data("simulation-graph-cash");
Dictionary<String, Data> list_asset_price = new Dictionary<string, Data>();
foreach (IAsset asset in simulated_list)
{
String nameTemp = asset.getName();
list_asset_price[nameTemp] = new Data(nameTemp);
}
foreach (IAsset cur in underlying_list_cur)
{
String nameTemp = cur.getName();
list_asset_price[nameTemp] = new Data(nameTemp);
}
double cash_t = 0;
double portvalue;
double portsolovalue;
double evergvalue;
DateTime date_prev = list_dates.First();
// used for anticipated end of everglades
bool breakk = false;
foreach (DateTime date in list_dates)
{
// get prices of assets at these dates in Data
foreach (IAsset asset in simulated_list)
{
String nameTemp = asset.getName();
list_asset_price[nameTemp].add(new DataPoint(date, asset.getPrice(date)));
}
foreach (IAsset cur in underlying_list_cur)
{
String nameTemp = cur.getName();
list_asset_price[nameTemp].add(new DataPoint(date, cur.getPrice(date)));
}
if (date == list_dates.First())
{
Tuple<double, double[], bool> compute = everg_simul.computePrice(date, with_currency);
evergvalue = compute.Item1;
hedge_simul = everg_simul.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t = evergvalue - portsolovalue;
portvalue = portsolovalue + cash_t;
}
else
{
// here we (virtually) sell old hedging portfolio
double t = (date - date_prev).TotalDays / 360;
portvalue = hedge_simul.getPrice(date) + hedge_simul.getDividend(date_prev, date) + cash_t * Math.Exp(r * t);
cash_t = portvalue;
Tuple<double, double[], bool> compute = everg_simul.computePrice(date, with_currency);
// test if date is a constatation date
if (list_anticipated_dates.Contains(date))
{
// if the date is an anticipated constatation date, we check if
// we must break now, and if we do we set the price of everglades
// with payoff and set breakk to true.
if (compute.Item3)
{
evergvalue = compute.Item1;
portsolovalue = hedge_simul.getPrice(date);
cash_t -= evergvalue;
breakk = true;
}
else
{
// if not the last date, we simply price the product and ajust our edge
evergvalue = compute.Item1;
hedge_simul = everg_simul.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t -= portsolovalue;
}
}
else if (date == everg_simul.getLastDate())
{
evergvalue = compute.Item1;
cash_t -= evergvalue;
portsolovalue = hedge_simul.getPrice(date);
}
else
{
// if not the last date, we simply price the product and ajust our edge
evergvalue = compute.Item1;
hedge_simul = everg_simul.getDeltaPortfolio(date, compute.Item2, with_currency);
portsolovalue = hedge_simul.getPrice(date);
cash_t -= hedge_simul.getPrice(date);
}
}
double err = (evergvalue - portvalue) / evergvalue;
if (!double.IsInfinity(evergvalue) && !double.IsNaN(evergvalue))
{
everglades_price.add(new DataPoint(date, evergvalue));
}
if (!double.IsInfinity(portvalue) && !double.IsNaN(portvalue))
{
hedge_price.add(new DataPoint(date, portvalue));
}
if (!double.IsInfinity(portsolovalue) && !double.IsNaN(portsolovalue))
{
portsolo_price.add(new DataPoint(date, portsolovalue));
}
if (!double.IsInfinity(err) && !double.IsNaN(err))
{
tracking_error.add(new DataPoint(date, err));
}
if (!double.IsInfinity(cash_t) && !double.IsNaN(cash_t))
{
cash_price.add(new DataPoint(date, cash_t));
}
if (breakk)
{
break;
}
date_prev = date;
}
List<Data> list = new List<Data>();
list.Add(everglades_price);
list.Add(hedge_price);
list.Add(tracking_error);
list.Add(cash_price);
list.Add(portsolo_price);
foreach (Data dat in list_asset_price.Values)
{
list.Add(dat);
}
return list;
}