public multithreading(Value v,bool ant, string S,bool CV,string ty,double re,double B,string u,string lb)
{
underlyings = v;
anti = ant;
s = S;
cv = CV;
type = ty;
barrier = B;
udio = u;
rebate = re;
lookback = lb;
}
public double[] Payoff(Value origin, double[,] randmatrix, bool isant, string s)//payoff function for european option, origin is values, matrix is random number matrix, s is call or put
{
double sum_CT = 0, sum_CT2 = 0, SD = 0;
double[,] temp1 = new double[origin.trial, 2];
double[,] temp2 = new double[origin.trial, 2];
double[] result = new double[2];
double dt = Convert.ToDouble(origin.T) / Convert.ToDouble(origin.step - 1);
double[,] matrix1 = new double[origin.trial, origin.step];
double[,] matrix2 = new double[origin.trial, origin.step];
for (int i = 0; i < trial; i++)
{
matrix1[i, 0] = origin.S;
matrix2[i, 0] = origin.S;
temp1[i, 0] = origin.S; temp2[i, 0] = origin.S; temp1[i, 1] = origin.S; temp2[i, 1] = origin.S;
//temp1[i, 0] = 0; temp2[i, 0] = 0; temp1[i, 1] = 0; temp2[i, 1] = 0;
for (int j = 1; j < step; j++)
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * randmatrix[i, j]));
temp1[i, 0] = Math.Max(matrix1[i, j], temp1[i, 0]);//store the max price in one path
temp1[i, 1] = Math.Min(matrix1[i, j], temp1[i, 1]);//store the min price in one path
if (isant == true)
{
matrix2[i, j] = matrix2[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * -randmatrix[i, j]));
temp2[i, 0] = Math.Max(matrix2[i, j], temp2[i, 0]);//store the max price in one path
temp2[i, 1] = Math.Min(matrix2[i, j], temp2[i, 1]);//store the min price in one path
}
}
temp1[i, 0] = temp1[i, 0] - temp1[i, 1];//max-min for regular random number
if (isant == true)
{
temp2[i, 0] = temp2[i, 0] - temp2[i, 1];//max-min for antithetic random number
temp1[i, 0] = 0.5 * (temp1[i, 0] + temp2[i, 0]);
}
sum_CT = sum_CT + temp1[i, 0];
sum_CT2 = sum_CT2 + temp1[i, 0] * temp1[i, 0];
}
result[0] = sum_CT / origin.trial * Math.Exp(-origin.r * origin.T);
SD = Math.Sqrt((sum_CT2 - sum_CT * sum_CT / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[1] = SD / Math.Sqrt(origin.trial);//sample standard deviation
return result;
}
public double[] Payoff(Value origin, double[,] randmatrix, bool isant, string s)
{
double dt = (double)origin.T / (origin.step - 1);
double nudt = (origin.r - origin.d - 0.5 * origin.e * origin.e) * dt;
double sigsdt = origin.e * Math.Sqrt(dt);
double[,] matrix1 = new double[origin.trial, origin.step];
double[,] matrix2 = new double[origin.trial, origin.step];
double[] temp1 = new double[origin.trial];
double[] temp2 = new double[origin.trial];
double[] result = new double[2];
double SD = 0, sum_CT = 0, sum_CT2 = 0, cv = 0, cv2 = 0, delta = 0, delta2 = 0, d1 = 0;
for (int i = 0; i < origin.trial; i++)
{
matrix1[i, 0] = origin.S;
matrix2[i, 0] = origin.S;
cv=0;
cv2=0;
for (int j = 1; j < origin.step; j++)
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
if (iscv == true)
{
d1 = (Math.Log((matrix1[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi(d1);
if (s == "call")
cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
else if (s == "put")
cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
if (isant == true)
{
matrix2[i, j] = matrix2[i, j - 1] * Math.Exp(nudt + sigsdt * -randmatrix[i, j]);
if (iscv == true)
{
d1 = (Math.Log((matrix2[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = Phi(d1);
if (s == "call")
{
cv2 = cv2 + delta2 * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
else if (s == "put")
{
cv2 = cv2 + (delta2 - 1) * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
}
}
}
if (iscv == false)
{
if (s == "call")
{
temp1[i] = (matrix1[i, origin.step - 1] - origin.K) > 0 ? rebate : 0;
if (isant == true)
temp2[i] = (matrix2[i, origin.step - 1] - origin.K) > 0 ? rebate : 0;
}
else if (s == "put")
{
temp1[i] = (origin.K - matrix1[i, origin.step - 1]) > 0 ? rebate : 0;
if (isant == true)
temp2[i] = (origin.K - matrix1[i, origin.step - 1]) > 0 ? rebate : 0;
}
if (isant == true)
{
temp1[i] = 0.5 * (temp1[i] + temp2[i]);
}
}
else if (iscv == true)
{
if (s == "call")
{
temp1[i] = (matrix1[i, origin.step - 1] - origin.K) > 0 ? rebate : 0 + -1 * cv;
if (isant == true)
temp2[i] = (matrix2[i, origin.step - 1] - origin.K) > 0 ? rebate : 0 + -1 * cv2;
}
else if (s == "put")
{
temp1[i] = (origin.K - matrix1[i, origin.step - 1]) > 0 ? rebate : 0 + -1 * cv;
if (isant == true)
temp2[i] = (origin.K - matrix1[i, origin.step - 1]) > 0 ? rebate : 0 + -1 * cv2;
}
if (isant == true)
{
temp1[i] = 0.5 * (temp1[i] + temp2[i]);
}
}
sum_CT = sum_CT + temp1[i];
sum_CT2 = sum_CT2 + temp1[i] * temp1[i];
}
result[0] = sum_CT / origin.trial * Math.Exp(-origin.r * origin.T);
SD = Math.Sqrt((sum_CT2 - sum_CT * sum_CT / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[1] = SD / Math.Sqrt(origin.trial);//sample standard deviation
return result;
}
}//constructor
public double[] Payoff(Value origin, double[,] randmatrix, bool isant, string s)//payoff function for european option, origin is values, matrix is random number matrix, s is call or put
{
double sum_CT = 0, sum_CT2 = 0, SD = 0, cv = 0, cv2 = 0, delta = 0, delta2 = 0,d1=0;
double dt = Convert.ToDouble(origin.T) / Convert.ToDouble(origin.step - 1);
double[] result = new double[2];
double[,] temp1 = new double[origin.trial, 2];//for regular random number store the max and min
double[,] temp2 = new double[origin.trial, 2];//for antithemtic random number store the max and min
double[,] matrix1 = new double[origin.trial, origin.step];
double[,] matrix2 = new double[origin.trial, origin.step];
for (int i = 0; i < trial; i++)
{
matrix1[i, 0] = origin.S;
matrix2[i, 0] = origin.S;
temp1[i, 0] = origin.S; temp2[i, 0] = origin.S; temp1[i, 1] = origin.S; temp2[i, 1] = origin.S;//initial the first price in order to compare
cv = 0;
cv2 = 0;
for (int j = 1; j < step; j++)
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * randmatrix[i, j]));
temp1[i, 0] = Math.Max(matrix1[i, j], temp1[i, 0]);//store the max price in one path
temp1[i, 1] = Math.Min(matrix1[i, j], temp1[i, 1]);//store the min price in one path
if(iscv==true)//using control variate
{
d1 = (Math.Log((matrix1[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi(d1);
if (s == "call")
cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
else if (s == "put")
cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
if (isant == true)//using antithemtic random number
{
matrix2[i, j] = matrix2[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * -randmatrix[i, j]));
temp2[i, 0] = Math.Max(matrix2[i, j], temp2[i, 0]);
temp2[i, 1] = Math.Min(matrix2[i, j], temp2[i, 1]);
if(iscv==true)
{
d1 = (Math.Log((matrix2[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = Phi(d1);
if (s == "call")
{
cv2 = cv2 + delta2 * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
else if (s == "put")
{
cv2 = cv2 + (delta2 - 1) * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
}
}
}
if (iscv == false)
{
if (S2 == "fix")//fixed
{
if (s == "call")
{
temp1[i, 0] = Math.Max(temp1[i, 0] - origin.K, 0.00);
if (isant == true)
temp2[i, 0] = Math.Max(temp2[i, 0] - origin.K, 0.00);
}
else if (s == "put")
{
temp1[i, 0] = Math.Max(origin.K - temp1[i, 1], 0.00);
if (isant == true)
temp2[i, 0] = Math.Max(origin.K - temp2[i, 1], 0.00);
}
if (isant == true)
{
temp1[i, 0] = 0.5 * (temp1[i, 0] + temp2[i, 0]);
}
sum_CT = sum_CT + temp1[i, 0];
sum_CT2 = sum_CT2 + temp1[i, 0] * temp1[i, 0];
}
else if (S2 == "floating")//floating
{
if (s == "call")
{
temp1[i, 1] = Math.Max(matrix1[i, origin.step - 1] - temp1[i,1], 0.00);
if (isant == true)
temp2[i, 1] = Math.Max(matrix2[i, origin.step - 1] - temp2[i,1], 0.00);
}
else if (s == "put")
{
temp1[i, 1] = Math.Max(temp1[i,0] - matrix1[i, origin.step - 1], 0.00);
if (isant == true)
temp2[i, 1] = Math.Max(temp1[i,0] - matrix2[i, origin.step - 1], 0.00);
}
if (isant == true)
{
temp1[i, 1] = 0.5 * (temp1[i, 1] + temp2[i, 1]);
}
sum_CT = sum_CT + temp1[i, 1];
sum_CT2 = sum_CT2 + temp1[i, 1] * temp1[i, 1];
}
}
else if (iscv == true)
{
if (S2 == "fix")
{
if (s == "call")
{
temp1[i, 0] = Math.Max(temp1[i, 0] - origin.K, 0.00) + -1 * cv;
if (isant == true)
temp2[i, 0] = Math.Max(temp2[i, 0] - origin.K, 0.00) + -1 * cv2;
}
else if (s == "put")
{
temp1[i, 0] = Math.Max(origin.K - temp1[i, 1], 0.00) + -1 * cv;
if (isant == true)
temp2[i, 0] = Math.Max(origin.K - temp2[i, 1], 0.00) + -1 * cv2;
}
if (isant == true)
{
temp1[i, 0] = 0.5 * (temp1[i, 0] + temp2[i, 0]);
}
sum_CT = sum_CT + temp1[i, 0];
sum_CT2 = sum_CT2 + temp1[i, 0] * temp1[i, 0];
}
else if (S2 == "floating")
{
if (s == "call")
{
temp1[i, 1] = Math.Max(matrix1[i, origin.step - 1] - origin.K, 0.00) + -1 * cv;
if (isant == true)
temp2[i, 1] = Math.Max(matrix2[i, origin.step - 1] - origin.K, 0.00) + -1 * cv2;
}
else if (s == "put")
{
temp1[i, 1] = Math.Max(origin.K - matrix1[i, origin.step - 1], 0.00) + -1 * cv;
if (isant == true)
temp2[i, 1] = Math.Max(origin.K - matrix2[i, origin.step - 1], 0.00) + -1 * cv2;
}
if (isant == true)
{
temp1[i, 1] = 0.5 * (temp1[i, 1] + temp2[i, 1]);
}
sum_CT = sum_CT + temp1[i, 1];
sum_CT2 = sum_CT2 + temp1[i, 1] * temp1[i, 1];
}
}
}
result[0] = sum_CT / origin.trial * Math.Exp(-origin.r * origin.T);
SD = Math.Sqrt((sum_CT2 - sum_CT * sum_CT / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[1] = SD / Math.Sqrt(origin.trial);//sample standard deviation
return result;
}
public double[] Payoff(Value origin, double[,] randmatrix, bool isant, string s)
{
double dt = (double)origin.T / origin.step;
double nudt = (origin.r - origin.d - 0.5 * origin.e * origin.e) * dt;
double sigsdt = origin.e * Math.Sqrt(dt);
double[,] matrix1 = new double[origin.trial, origin.step];
double[,] matrix2 = new double[origin.trial, origin.step];
double[] result = new double[2];
bool barrier_crossed = false;
bool barrier_crossed2 = false;
double sum1 = 0, sum2 = 0, SD = 0, cv = 0, cv2 = 0, delta = 0, delta2 = 0, d1 = 0;
for (int i = 0; i < trial; i++)
{
matrix1[i, 0] = origin.S;
matrix2[i, 0] = origin.S;
cv = 0;
cv2 = 0;
barrier_crossed = false;//wheather the price path cross the barrier for regular random number
barrier_crossed2 = false;//wheather the price path cross the barrier for antithemtic random number
for (int j = 1; j < step; j++)
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
if (iscv == true)//using control variate
{
d1 = (Math.Log((matrix1[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi(d1);
if (s == "call")
cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
else if (s == "put")
cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
if (isant == true)//using antithemtic random number
{
matrix2[i, j] = matrix2[i, j - 1] * Math.Exp(nudt + sigsdt * -randmatrix[i, j]);
if (iscv == true)//using control variate
{
d1 = (Math.Log((matrix1[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = Phi(d1);
if (s == "call")
{
cv2 = cv2 + delta2 * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
else if (s == "put")
{
cv2 = cv2 + (delta2 - 1) * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
}
}
if (S2 == "down_out")
{
if (matrix1[i, j] <= Sb)
{
barrier_crossed = true;
if (isant == true)
if (matrix2[i, j] <= Sb)
barrier_crossed2 = true;
break;
}
}
else if (S2 == "up_out")
{
if (matrix1[i, j] >= Sb)
{
barrier_crossed = true;
if (isant == true)
if (matrix2[i, j] >= Sb)
barrier_crossed2 = true;
break;
}
}
else if (S2 == "up_in")
{
if (matrix1[i, j] >= Sb)
{
barrier_crossed = true;
if (isant == true)
if (matrix2[i, j] >= Sb)
barrier_crossed2 = true;
}
}
else if (S2 == "down_in")
{
if (matrix1[i, j] <= Sb)
{
barrier_crossed = true;
if (isant == true)
if (matrix2[i, j] <= Sb)
barrier_crossed2 = true;
}
}
}
if (S2 == "down_out" || S2 == "up_out")//if the price crossed the barrier, set the terminal price 0
{
if (barrier_crossed == true)
matrix1[i, step - 1] = 0;
if (barrier_crossed2 == true)
matrix2[i, step - 1] = 0;
}
else if (S2 == "down_in" || S2 == "up_in")//if the price doesn't crossed the barrier, set the terminal price 0
{
if (barrier_crossed == false)
matrix1[i, step - 1] = 0;
if (barrier_crossed2 == false)
matrix2[i, step - 1] = 0;
}
if (s == "call")
{
matrix1[i, step - 1] = Math.Max(0, matrix1[i, step - 1] - origin.K);
if (isant == true)
matrix2[i, step - 1] = Math.Max(0, matrix2[i, step - 1] - origin.K);
if (iscv == true)
{
matrix1[i, step - 1] = Math.Max(0, matrix1[i, step - 1] - origin.K) + -1 * cv;
if (isant == true)
matrix2[i, step - 1] = Math.Max(0, matrix2[i, step - 1] - origin.K) + -1 * cv2;
}
}
else if (s == "put")
{
if (barrier_crossed == false && (S2 == "up_out" || S2 == "down_out"))//ensure that when the termial price equals to 0, don't using K-price
matrix1[i, step - 1] = Math.Max(0.00, origin.K - matrix1[i, step - 1]);
else if (barrier_crossed == true && (S2 == "up_out" || S2 == "down_out"))
matrix1[i, step - 1] = 0;
else if (barrier_crossed == false && (S2 == "up_in" || S2 == "down_in"))
matrix1[i, step - 1] = 0;
else if(barrier_crossed==true&&(S2=="up_in"||S2=="down_in"))
matrix1[i, step - 1] = Math.Max(0.00, origin.K - matrix1[i, step - 1]);
if (isant == true)
{
if (barrier_crossed == false && (S2 == "up_out" || S2 == "down_out"))
matrix2[i, step - 1] = Math.Max(0.00, origin.K - matrix2[i, step - 1]);
else if (barrier_crossed == true && (S2 == "up_out" || S2 == "down_out"))
matrix2[i, step - 1] = 0;
else if (barrier_crossed == false && (S2 == "up_in" || S2 == "down_in"))
matrix2[i, step - 1] = 0;
else if (barrier_crossed == true && (S2 == "up_in" || S2 == "down_in"))
matrix2[i, step - 1] = Math.Max(0.00, origin.K - matrix2[i, step - 1]);
}
if (iscv == true)
{
if (barrier_crossed == false && (S2 == "up_out" || S2 == "down_out"))
matrix1[i, step - 1] = Math.Max(0.00, origin.K - matrix1[i, step - 1]) - 1 * cv;
else if (barrier_crossed == true && (S2 == "up_out" || S2 == "down_out"))
matrix1[i, step - 1] = 0 - 1 * cv;
else if (barrier_crossed == false && (S2 == "up_in" || S2 == "down_in"))
matrix1[i, step - 1] = 0 - 1 * cv;
else if (barrier_crossed == true && (S2 == "up_in" || S2 == "down_in"))
matrix1[i, step - 1] = Math.Max(0.00, origin.K - matrix1[i, step - 1]) - 1 * cv;
if (isant == true)
{
if (barrier_crossed == false && (S2 == "up_out" || S2 == "down_out"))
matrix2[i, step - 1] = Math.Max(0.00, origin.K - matrix2[i, step - 1]) - 1 * cv2;
else if (barrier_crossed == true && (S2 == "up_out" || S2 == "down_out"))
matrix2[i, step - 1] = 0 - 1 * cv2;
else if (barrier_crossed == false && (S2 == "up_in" || S2 == "down_in"))
matrix2[i, step - 1] = 0 - 1 * cv2;
else if (barrier_crossed == true && (S2 == "up_in" || S2 == "down_in"))
matrix2[i, step - 1] = Math.Max(0.00, origin.K - matrix2[i, step - 1]) - 1 * cv2;
}
}
}
if (isant == true)
matrix1[i, step - 1] = (matrix1[i, step - 1] + matrix2[i, step - 1]) * 0.5;
sum1 = sum1 + matrix1[i, step - 1];
sum2 = sum2 + matrix1[i, step - 1] * matrix1[i, step - 1];
}
result[0] = Math.Exp(-origin.r * origin.T) * sum1 / origin.trial;
SD = Math.Sqrt((sum2 - sum1 * sum1 / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (trial - 1));
result[1] = SD / Math.Sqrt(trial);
return result;
}
public double[] Payoff(Value origin, double[,] randmatrix, bool isant, string s)
{
double dt = (double)origin.T / (origin.step - 1);
double nudt = (origin.r - origin.d - 0.5 * origin.e * origin.e) * dt;
double sigsdt = origin.e * Math.Sqrt(dt);
double[,] matrix1 = new double[origin.trial, origin.step];//store regular random number
double[,] matrix2 = new double[origin.trial, origin.step];//store antithetic random number
double[] result = new double[2];
double sum1 = 0;
double sum2 = 0;
double SD = 0, sum = 0, summ = 0, cv = 0, delta = 0, d1 = 0, cv2 = 0, delta2 = 0;
for (int i = 0; i < origin.trial; i++)
{
matrix1[i, 0] = origin.S;
matrix2[i, 0] = origin.S;
sum = 0;//for regular
summ = 0;//for antithemtic random number
cv = 0;
cv2 = 0;
for (int j = 1; j < origin.step; j++)
{
if (iscv == false)//if not using control variate
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
sum = sum + matrix1[i, j];
if (isant == true)//if using antithetic random number
{
matrix2[i, j] = (matrix2[i, j - 1] * Math.Exp(nudt + sigsdt * -randmatrix[i, j]));
summ = summ + matrix2[i, j];
}
}
else if (iscv == true)//if using control variate
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
d1 = (Math.Log((matrix1[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi(d1);
if (s == "call")
cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
else if (s == "put")
cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
sum = sum + matrix1[i, j];
if (isant == true)//if using antithetic random number
{
matrix2[i, j] = matrix2[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * -randmatrix[i, j]));
d1 = (Math.Log((matrix2[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = Phi(d1);
if (iscv == true)//if using control variate
{
if (s == "call")
{
// cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
cv2 = cv2 + delta2 * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
else if (s == "put")
{
// cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
cv2 = cv2 + (delta2 - 1) * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
}
summ = summ + matrix2[i, j];
}
}
}
sum = sum / (origin.step - 1);
summ = summ / (origin.step - 1);
if (isant == false)//if not using antithemtic random number
{
if (iscv == false)//if not using control variate
{
if (s == "call")
{
matrix1[i, step - 1] = Math.Max(sum - origin.K, 0);
}
else if (s == "put")
{
matrix1[i, step - 1] = Math.Max(origin.K - sum, 0);
}
}
else if (iscv == true)//if using control variate
{
if (s == "call")
{
matrix1[i, step - 1] = Math.Max(sum - origin.K, 0) + -1 * cv;
}
else if (s == "put")
{
matrix1[i, step - 1] = Math.Max(origin.K - sum, 0) + -1 * cv;
}
}
}
else if (isant == true)//if using antithetic random number
{
if (iscv == false)//if not using control variate
{
if (s == "call")
{
matrix1[i, step - 1] = Math.Max(sum - origin.K, 0);
matrix2[i, step - 1] = Math.Max(summ - origin.K, 0);
}
else if (s == "put")
{
matrix1[i, step - 1] = Math.Max(origin.K - sum, 0);
matrix2[i, step - 1] = Math.Max(origin.K - summ, 0);
}
}
else if (iscv == true)//if using control variate
{
if (s == "call")
{
matrix1[i, step - 1] = Math.Max(sum - origin.K, 0) + -1 * cv;
matrix2[i, step - 1] = Math.Max(summ - origin.K, 0) + -1 * cv2;
}
else if (s == "put")
{
matrix1[i, step - 1] = Math.Max(origin.K - sum, 0) + -1 * cv;
matrix2[i, step - 1] = Math.Max(origin.K - summ, 0) + -1 * cv2;
}
}
matrix1[i, step - 1] = (matrix1[i, step - 1] + matrix2[i, step - 1]) * 0.5;
}
sum1 = sum1 + matrix1[i, step - 1];
sum2 = sum2 + matrix1[i, step - 1] * matrix1[i, step - 1];
}
SD = Math.Sqrt((sum2 - sum1 * sum1 / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[0] = Math.Exp(-origin.r * origin.T) * sum1 / trial;
result[1] = SD / Math.Sqrt(origin.trial);
return result;
}
}//constructor
public double[] Payoff(Value origin, double[,] randmatrix, bool isant, string s)//payoff function for european option, origin is values, matrix is random number matrix, s is call or put
{
double sum_CT = 0, sum_CT2 = 0, SD = 0;
double[] temp1 = new double[origin.trial];
double[] temp2 = new double[origin.trial];
double[] result = new double[2];
double dt = Convert.ToDouble(origin.T) / Convert.ToDouble(origin.step - 1), d1 = 0, delta = 0, delta2 = 0, cv = 0, cv2 = 0;
double[,] matrix1 = new double[origin.trial, origin.step];
double[,] matrix2 = new double[origin.trial, origin.step];
for (int i = 0; i < trial; i++)
{
matrix1[i, 0] = origin.S;
matrix2[i, 0] = origin.S;
cv = 0;
cv2 = 0;
for (int j = 1; j < step; j++)
{
matrix1[i, j] = matrix1[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * randmatrix[i, j]));
if (iscv == true)
{
d1 = (Math.Log((matrix1[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi(d1);
if (s == "call")
cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
else if (s == "put")
cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
if (isant == true)
{
d1 = (Math.Log((matrix2[i, j - 1] / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = Phi(d1);
matrix2[i, j] = matrix2[i, j - 1] * Math.Exp((origin.r - origin.d - origin.e * origin.e * 0.5) * dt + (origin.e * Math.Sqrt(dt) * -randmatrix[i, j]));
if (iscv == true)
{
if (s == "call")
{
// cv = cv + delta * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
cv2 = cv2 + delta2 * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
else if (s == "put")
{
// cv = cv + (delta - 1) * (matrix1[i, j] - matrix1[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
cv2 = cv2 + (delta2 - 1) * (matrix2[i, j] - matrix2[i, j - 1] * Math.Exp((origin.r - origin.d) * dt));
}
}
}
}
if (s == "call")
{
if (iscv == false)
{
temp1[i] = Math.Max(matrix1[i, origin.step - 1] - origin.K, 0.00);
}
else if (iscv == true)
{
temp1[i] = Math.Max(0.00, matrix1[i, origin.step - 1] - origin.K) + -1 * cv;
}
if (isant == true)
{
if (iscv == false)
{
temp2[i] = Math.Max(matrix2[i, origin.step - 1] - origin.K, 0.00);
}
else if (iscv == true)
{
temp2[i] = Math.Max(matrix2[i, origin.step - 1] - origin.K, 0.00) + -1 * cv2;
}
}
}
else if (s == "put")
{
if (iscv == false)
{
temp1[i] = Math.Max(origin.K - matrix1[i, origin.step - 1], 0.00);
}
else if (iscv == true)
{
temp1[i] = Math.Max(0, origin.K - matrix1[i, origin.step - 1]) + -1 * cv;
}
if (isant == true)
{
if (iscv == false)
{
temp2[i] = Math.Max(origin.K - matrix2[i, origin.step - 1], 0.00);
}
else if (iscv == true)
{
temp2[i] = Math.Max(origin.K - matrix2[i, origin.step - 1], 0.00) + -1 * cv2;
}
}
}
if (isant == true)
{
temp1[i] = 0.5 * (temp1[i] + temp2[i]);
}
sum_CT = sum_CT + temp1[i];
sum_CT2 = sum_CT2 + temp1[i] * temp1[i];
}
result[0] = sum_CT / origin.trial * Math.Exp(-origin.r * origin.T);
SD = Math.Sqrt((sum_CT2 - sum_CT * sum_CT / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[1] = SD / Math.Sqrt(origin.trial);//sample standard deviation
return result;
}
public double[] calculate(Value temp, double[,] matrix, string p, bool isant, PayoffDelegate2 payoff)//calculate all the greeks, temp is all values, matrix is random number matrix, payoff is Payoff function
{
double[] result = new double[5];
double s = temp.S, k = temp.K, r = temp.r, e = temp.e, t = temp.T;
double a, b, c, dd = 0.01;
temp.S = (1 + dd) * s;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.S = s;
temp.S = (1 - dd) * s;
b = diff(temp, matrix, p, isant, payoff)[0];
result[0] = greek(a, b, s, "delta");
temp.S = s;
// f.BeginInvoke(f.myDelegate);
c = diff(temp, matrix, p, isant, payoff)[0];
temp.K = (1 + dd) * k;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.K = k;
temp.K = (1 - dd) * k;
b = diff(temp, matrix, p, isant, payoff)[0];
result[1] = greek(a, b, c, "gamma");
temp.K = k;
// f.BeginInvoke(f.myDelegate);
temp.e = (1 + dd) * e;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.e = e;
temp.e = (1 - dd) * e;
b = diff(temp, matrix, p, isant, payoff)[0];
result[2] = greek(a, b, e, "vega");
temp.e = e;
// f.BeginInvoke(f.myDelegate);
temp.T = (1 + dd) * t;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.T = t;
temp.T = (1 - dd) * t;
b = diff(temp, matrix, p, isant, payoff)[0];
result[3] = -greek(a, b, t, "theta");
temp.T = t;
// f.BeginInvoke(f.myDelegate);
temp.r = (1 + dd) * r;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.r = r;
temp.r = (1 - dd) * r;
b = diff(temp, matrix, p, isant, payoff)[0];
result[4] = greek(a, b, r, "rho");
temp.r = r;
// f.BeginInvoke(f.myDelegate);
return result;
}
private double[] diff(Value temp, double[,] matrix, string s, bool isant, PayoffDelegate2 payoff)//calculate the greeks, matrix is the random matrix generated before
{
double dt = temp.T / (temp.step - 1);
double[] result = new double[2];
/*for (int i = 0; i < temp.trial; i++)
{
newmatrix[i, 0] = temp.S;
for (int j = 1; j < temp.step; j++)
newmatrix[i, j] = newmatrix[i, j - 1] * Math.Exp((temp.r - temp.e * temp.e * 0.5) *dt + (temp.e * Math.Sqrt(dt) * matrix[i, j]));
}*/
result = payoff(temp, matrix, isant, s);
return result;
}
public double[] delta_CV(Value origin, double[,] randmatrix, bool anti, string c)//delta-based-control-variate
{
double[] result = new double[2];
double dt = origin.T / (origin.step - 1);// sum = 0;
double nudt = (origin.r - origin.d - 0.5 * origin.e * origin.e) * dt;
double sigsdt = origin.e * Math.Sqrt(dt);
double erddt = Math.Exp((origin.r - origin.d) * dt);
double beta1 = -1, sum_CT = 0, sum_CT2 = 0, St = 0, Stn = 0, cv = 0, t = 0, delta = 0, d1 = 0, CT = 0, SD = 0;
if (anti == false)
{
for (int i = 0; i < origin.trial; i++)
{
St = origin.S;
cv = 0;
for (int j = 1; j < origin.step; j++)
{
//t = (j - 1) * dt;
d1 = (Math.Log((St / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi1(d1);
Stn = St * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
if (c == "call")
cv = cv + delta * (Stn - St * erddt);
else if (c == "put")
cv = cv + (delta - 1) * (Stn - St * erddt);
St = Stn;
}
if (s2 == "European")
{
if (c == "call")
{
CT = Math.Max(0, St - origin.K) + beta1 * cv;
}
else if (c == "put")
{
CT = Math.Max(0, origin.K - St) + beta1 * cv;
}
}
sum_CT = sum_CT + CT;
sum_CT2 = sum_CT2 + CT * CT;
}
}
else if (anti == true)
{
double St2 = origin.S, cv2 = 0, delta2 = 0, Stn2 = 0;
for (int i = 0; i < origin.trial; i++)
{
St = origin.S;
St2 = origin.S;
cv = 0;
cv2 = 0;
for (int j = 1; j < origin.step; j++)
{
t = (i - 1) * dt;
d1 = (Math.Log(St / origin.K) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi1(d1);
d1 = (Math.Log(St2 / origin.K) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = Phi1(d1);
Stn = St * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
Stn2 = St2 * Math.Exp(nudt + sigsdt * -randmatrix[i, j]);
if (c == "call")
{
cv = cv + delta * (Stn - St * erddt);
cv2 = cv2 + delta2 * (Stn2 - St2 * erddt);
}
else if (c == "put")
{
cv = cv + (delta - 1) * (Stn - St * erddt);
cv2 = cv2 + (delta2 - 1) * (Stn2 - St2 * erddt);
}
St = Stn;
St2 = Stn2;
}
if (c == "call")
{
CT = 0.5 * (Math.Max(0, St - origin.K) + beta1 * cv + Math.Max(0, St2 - origin.K) + beta1 * cv2);
}
else if (c == "put")
{
CT = 0.5 * (Math.Max(0, origin.K - St) + beta1 * cv + Math.Max(0, origin.K - St2) + beta1 * cv2);
}
sum_CT = sum_CT + CT;
sum_CT2 = sum_CT2 + CT * CT;
}
}
result[0] = sum_CT / origin.trial * Math.Exp(-origin.r * origin.T);
SD = Math.Sqrt((sum_CT2 - sum_CT * sum_CT / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[1] = SD / Math.Sqrt(origin.trial);
return result;
}
public double[] delta_gamma_CV(Value origin, double[,] randmatrix, bool anti, string c)//delta-gamma-based-control-variate
{
double[] result = new double[2];
double dt = origin.T / (origin.step - 1);
double nudt = (origin.r - origin.d - 0.5 * origin.e * origin.e) * dt;
double sigsdt = origin.e * Math.Sqrt(dt);
double erddt = Math.Exp((origin.r - origin.d) * dt);
double egamma = Math.Exp((2 * (origin.r - origin.d) + origin.e * origin.e) * dt) - 2 * erddt + 1;
double d2 = 0, gamma = 0, gamma2 = 0, delta2 = 0, beta1 = -1, beta2 = -0.5, cv2 = 0, St2 = 0, sum_CT = 0;
double sum_CT2 = 0, St = 0, Stn = 0, Stn2 = 0, cv = 0, t = 0, delta = 0, d1 = 0, CT = 0, SD = 0;
for (int i = 0; i < origin.trial; i++)
{
St = origin.S;
St2 = origin.S;
cv = 0;
cv2 = 0;
for (int j = 1; j < origin.step; j++)
{
t = (j - 1) * dt;
d1 = (Math.Log((St / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta = Phi(d1);
gamma = f(d1) / (St * origin.e * Math.Sqrt(origin.T));
d2 = (Math.Log((St2 / origin.K)) + (origin.r + origin.e * origin.e / 2) * origin.T) / (origin.e * Math.Sqrt(origin.T));
delta2 = normcdf(d1);
gamma2 = f(d2) / (St2 * origin.e * Math.Sqrt(origin.T));
Stn = St * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
Stn2 = St2 * Math.Exp(nudt + sigsdt * randmatrix[i, j]);
if (c == "call")
cv = cv + delta * (Stn - St * erddt) + delta2 * (Stn2 - St2 * erddt);
else if (c == "put")
cv = cv + (delta - 1) * (Stn - St * erddt) + (delta2 - 1) * (Stn2 - St2 * erddt);
cv2 = cv2 + gamma * ((Stn - St) * (Stn - St) - St * St * egamma) + gamma2 * ((Stn2 - St2) * (Stn2 - St2) - St2 * St2 * egamma);
St = Stn;
St2 = Stn2;
}
if (c == "call")
CT = 0.5 * (Math.Max(0, St - origin.K) + Math.Max(0, St2 - origin.K) + beta1 * cv + beta2 * cv2);
else if (c == "put")
CT = 0.5 * (Math.Max(0, origin.K - St) + Math.Max(0, origin.K - St2) + beta1 * cv + beta2 * cv2);
sum_CT = sum_CT + CT;
sum_CT2 = sum_CT2 + CT * CT;
}
result[0] = sum_CT / origin.trial * Math.Exp(-origin.r * origin.T);
SD = Math.Sqrt((sum_CT2 - sum_CT * sum_CT / origin.trial) * Math.Exp(-2 * origin.r * origin.T) / (origin.trial - 1));
result[1] = SD / Math.Sqrt(origin.trial);
return result;
}
//multithreading for monte carlo simulation, method 2
private void multithread2()
{
int n = System.Environment.ProcessorCount;//the number of cores for CUP
Form1 form1 = new Form1();
double e = Convert.ToDouble(form1.volatility1.Value), d = Convert.ToDouble(form1.dividend1.Value);
List<int> row = new List<int>();
var inst = from i in portfolio.Trades
select i.Id;
foreach (var i in inst)
{
row.Add(i);
}
List<Basicvalue> basicvalue = new List<Basicvalue>();
Basicvalue basic = new Basicvalue();
for (int i = 0; i < row.Count; i++)
{
int m = row[i];
var inst2 = (from i2 in portfolio.Trades
where i2.Id == m
select i2).First();
basic.tradeprice = inst2.Price;
basic.S = Convert.ToDouble(inst2.UnderlyingP);
basic.instrumentid = inst2.InstrumentId;
basic.timestamp = inst2.Timestamp.ToString();
basic.quantity = Convert.ToDouble(inst2.Quantity);
var inst3 = (from i3 in portfolio.Instruments
where i3.Id == basic.instrumentid
select i3).First();
basic.K = Convert.ToDouble(inst3.Strike);
basic.T = Convert.ToDouble(inst3.Tenor);
basic.iscall = Convert.ToInt16(inst3.IsCall);
basic.insttypeid = Convert.ToInt16(inst3.InstTypeId);
double ratetemp = new double();
List<double> rate = new List<double>();
var inst4 = from i4 in portfolio.InterestRates
select i4;
List<InterestRate> ir = new List<InterestRate>();
foreach (var g in inst4)
{
ir.Add(g);
}
int h = 0;
while (basic.T < ir[h].Tenor)
h++;
if (h == 0)
{
double r = Convert.ToDouble(ir[h].Rate);
double t = Convert.ToDouble(ir[h].Tenor);
ratetemp = basic.T / t * Convert.ToDouble(r);
}
else
{
double r1 = Convert.ToDouble(ir[h - 1].Rate), r2 = Convert.ToDouble(ir[h].Rate); ;
double t1 = Convert.ToDouble(ir[h - 1].Tenor), t2 = Convert.ToDouble(ir[h].Tenor);
ratetemp = r2 + (r2 - r1) / (t2 - t1) * (basic.T - t1);
}
basic.r = Convert.ToDouble(ratetemp);
var inst5 = (from i5 in portfolio.InstTypes
where i5.Id == basic.insttypeid
select i5).First();
basic.insttype = inst5.TypeName;
basic.underlying = inst5.Underlying;
if (basic.insttype == "BarrierOption")
{
var inst6 = (from i6 in portfolio.BarrierOptions
where i6.InstTypeId == basic.insttypeid
select i6).First();
basic.isup = Convert.ToBoolean(inst6.IsUp);
basic.isin = Convert.ToBoolean(inst6.IsIn);
basic.barrier = Convert.ToDouble(inst6.barrier);
}
else if (basic.insttype == "DigitalOption")
{
var inst7 = (from i7 in portfolio.DigitalOptions
where i7.InstTypeId == basic.insttypeid
select i7).First();
basic.rebate = Convert.ToDouble(inst7.rebate);
}
else if (basic.insttype == "LookBackOption")
{
var inst8 = (from i8 in portfolio.LookBackOptions
where i8.InstTypeId == basic.insttypeid
select i8).First();
basic.isfix = Convert.ToBoolean(inst8.IsFixed);
}
if (n != 1)//If the number of core is not 2,4,8, change it to appropriate number
{
if (n % 2 != 0 && n < 4 && n > 1)
{
n = 2;
}
else if (n % 4 != 0 && n < 8 && n > 3)
{
n = 4;
}
else if (n % 8 != 0 && n > 8)
{
n = 8;
}
}
string s, udio = null, lo;
if (basic.iscall == 0)
s = "call";
else if (basic.iscall == 1)
s = "put";
else
s = "call";
if (basic.isup == true && basic.isin == true)
udio = "up_in";
else if (basic.isup == false && basic.isin == false)
udio = "up_out";
else if (basic.isin == true && basic.isup == false)
udio = "down_in";
else if (basic.isup == false && basic.isin == false)
udio = "down_out";
if (basic.isfix == true)
lo = "fix";
else
lo = "floating";
if (n == 1)//no need to use multithread
{
MessageBox.Show("CPU only have one core", "Information");
}
else
{
double[] greeks = new double[5];
if (n == 2)//two cores
{
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
multithreading mul = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Thread t1 = new Thread(new ParameterizedThreadStart(calc2));//This thread is to calculate the path and price
Thread t2 = new Thread(new ParameterizedThreadStart(sim.multiregualr));//This thread is to generate random numbers
t1.Name = "Thread_1";
t2.Name = "Thread_2";
t1.Start(mul);
t2.Start(mul);
t1.Join();
t2.Join();
for (int ii = 0; ii < 5; ii++)
greeks[ii] = (mul.greeks[ii]);
basic.mprice = mul.price[0];
basic.greek = greeks;
}
else if (n == 4)
{
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
multithreading mul1 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul2 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Thread t21 = new Thread(new ParameterizedThreadStart(sim.multiregualr));//Generate random numbers
Thread t22 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t11 = new Thread(new ParameterizedThreadStart(calc2));//Calculate the path and price
Thread t12 = new Thread(new ParameterizedThreadStart(calc2));
t11.Name = "Thread_11";
t12.Name = "Thread_12";
t21.Name = "Thread_21";
t22.Name = "Thread_22";
t21.Start(mul1);
t11.Start(mul1);
t21.Join();
t11.Join();
t22.Start(mul2);
t12.Start(mul2);
t22.Join();
t12.Join();
for (int ii = 0; ii < 5; ii++)
greeks[ii] = (mul1.greeks[ii] + mul2.greeks[ii]) * 0.5;
basic.mprice = mul1.price[0] + mul2.price[1];
basic.greek = greeks;
}
else if (n == 8)
{
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
multithreading mul1 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul2 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul3 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
multithreading mul4 = new multithreading(temp, antithetic.Checked, s, dcv.Checked, basic.insttype, basic.rebate, basic.barrier, udio, lo);
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Thread t51 = new Thread(new ParameterizedThreadStart(sim.multiregualr));//Generate random numbers
Thread t52 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t31 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t32 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t21 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t22 = new Thread(new ParameterizedThreadStart(sim.multiregualr));
Thread t11 = new Thread(new ParameterizedThreadStart(calc2));//Calculate path and price
Thread t12 = new Thread(new ParameterizedThreadStart(calc2));
Thread t41 = new Thread(new ParameterizedThreadStart(calc2));
Thread t42 = new Thread(new ParameterizedThreadStart(calc2));
Thread t61 = new Thread(new ParameterizedThreadStart(calc2));
Thread t62 = new Thread(new ParameterizedThreadStart(calc2));
t21.Start(mul1);
t11.Start(mul1);
t21.Join();
t11.Join();
t22.Start(mul2);
t12.Start(mul2);
t22.Join();
t12.Join();
t31.Start(mul3);
t41.Start(mul3);
t31.Join();
t41.Join();
t51.Start(mul4);
t61.Start(mul4);
t51.Join();
t61.Join();
for (int ii = 0; ii < 5; ii++)
greeks[ii] = (mul1.greeks[ii] + mul2.greeks[ii] + mul3.greeks[ii] + mul4.greeks[ii]) * 0.25;
basic.mprice = (mul1.price[0] + mul2.price[0] + mul3.price[0] + mul4.price[0]) * 0.25;
basic.greek = greeks;
}
}
basic.pl = (basic.tradeprice - basic.mprice) * basic.quantity;
var update = (from u in portfolio.Trades
where u.Id == n
select u).First();
update.PL = basic.pl;
update.MarketPrice = basic.mprice;
update.Delta = basic.greek[0];
update.Gamma = basic.greek[1];
update.Vega = basic.greek[2];
update.Theta = basic.greek[3];
update.Rho = basic.greek[4];
portfolio.SaveChanges();
basic = new Basicvalue();
}
MessageBox.Show("Done!", "Message", MessageBoxButtons.OK, MessageBoxIcon.Information);
}
//Monte Carlo Simulation
private void montecarlo()
{
try
{
Form1 form1 = new Form1();
double e = Convert.ToDouble(form1.volatility1.Value), d = Convert.ToDouble(form1.dividend1.Value);
List<int> row = new List<int>();
var inst = from i in portfolio.Trades
select i.Id;
foreach (var i in inst)
{
row.Add(i);
}
List<Basicvalue> basicvalue = new List<Basicvalue>();
Basicvalue basic = new Basicvalue();
for (int i = 0; i < row.Count; i++)//first find all the inputs I need from different table
{
int oo = row[i];
var type = (from q in portfolio.InstTypes
join j in portfolio.Instruments on q.Id equals j.InstTypeId
join k in portfolio.Trades on j.Id equals k.InstrumentId
where k.Id == oo
select q.TypeName).First();//find the insttype
if (type.ToUpper() == "STOCK")//stock do not need to do simulation
break;
int n = row[i];
var inst2 = (from i2 in portfolio.Trades
where i2.Id == n
select i2).First();//find the historical price for this trade
basic.tradeprice = inst2.Price;
basic.S = Convert.ToDouble(inst2.UnderlyingP);
basic.instrumentid = inst2.InstrumentId;
basic.timestamp = inst2.Timestamp.ToString();
basic.quantity = Convert.ToDouble(inst2.Quantity);
var inst3 = (from i3 in portfolio.Instruments
where i3.Id == basic.instrumentid
select i3).First();//find the strike tenor call or put for the trade
basic.K = Convert.ToDouble(inst3.Strike);
basic.T = Convert.ToDouble(inst3.Tenor);
basic.iscall = Convert.ToInt16(inst3.IsCall);
basic.insttypeid = Convert.ToInt16(inst3.InstTypeId);
double ratetemp = new double();//store the risk free rate
List<double> rate = new List<double>();
var inst4 = from i4 in portfolio.InterestRates
orderby i4.Tenor ascending
select i4;
List<InterestRate> ir = new List<InterestRate>();
foreach (var g in inst4)
{
ir.Add(g);
}
int h = 0;
while (basic.T < ir[h].Tenor)//find out the interval of the T, and compute the rate
h++;
if (h == 0)
{
double r = Convert.ToDouble(ir[h].Rate);
double t = Convert.ToDouble(ir[h].Tenor);
ratetemp = basic.T / t * Convert.ToDouble(r);
}
else
{
double r1 = Convert.ToDouble(ir[h - 1].Rate), r2 = Convert.ToDouble(ir[h].Rate); ;
double t1 = Convert.ToDouble(ir[h - 1].Tenor), t2 = Convert.ToDouble(ir[h].Tenor);
ratetemp = r2 + (r2 - r1) / (t2 - t1) * (basic.T - t1);
}
basic.r = Convert.ToDouble(ratetemp);
var inst5 = (from i5 in portfolio.InstTypes
where i5.Id == basic.insttypeid
select i5).First();
basic.insttype = inst5.TypeName;
basic.underlying = inst5.Underlying;
if (basic.insttype == "BarrierOption")
{
var inst6 = (from i6 in portfolio.BarrierOptions
where i6.InstTypeId == basic.insttypeid
select i6).First();
basic.isup = Convert.ToBoolean(inst6.IsUp);
basic.isin = Convert.ToBoolean(inst6.IsIn);
basic.barrier = Convert.ToDouble(inst6.barrier);
}
else if (basic.insttype == "DigitalOption")
{
var inst7 = (from i7 in portfolio.DigitalOptions
where i7.InstTypeId == basic.insttypeid
select i7).First();
basic.rebate = Convert.ToDouble(inst7.rebate);
}
else if (basic.insttype == "LookBackOption")
{
var inst8 = (from i8 in portfolio.LookBackOptions
where i8.InstTypeId == basic.insttypeid
select i8).First();
basic.isfix = Convert.ToBoolean(inst8.IsFixed);
}
Value temp = new Value(basic.S, basic.K, basic.r, e, basic.T, d, Convert.ToInt64(step11.Value), Convert.ToInt64(trail11.Value));
Simulator sim = new Simulator(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Option opt = new Option(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
Greeks gre = new Greeks(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
bool isant = true;
string s = null; ;//store the choice call or put option
string s3 = null;//up,down,in,out
string s4 = null;//fixed, floating
double[,] randmatrix = new double[temp.trial, temp.step];// store the random matrix
double[] origin_price = new double[2];//store the price and standard deviation
double[] greeks;//store the greeks
if (antithetic.Checked == true)
isant = true;
else
isant = false;
randmatrix = sim.generateregular();//generate the random matrix
if (basic.iscall == 0)
s = "call";
else if (basic.iscall == 1)
s = "put";
else
s = "neither";
if (basic.isup == true && basic.isin == true)
s3 = "up_in";
else if (basic.isup == false && basic.isin == false)
s3 = "up_out";
else if (basic.isin == true && basic.isup == false)
s3 = "down_in";
else if (basic.isup == false && basic.isin == false)
s3 = "down_out";
if (basic.isfix == true)
s4 = "fix";
else
s4 = "floating";
switch (basic.insttype)
{
case "EuropeanOption":
European eur = new European(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, dcv.Checked);
origin_price = eur.Payoff(temp, randmatrix, isant, s);//calculate the option price
greeks = gre.calculate(temp, randmatrix, s, isant, eur.Payoff);//calculate the greeks
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "AsianOption":
Asian asi = new Asian(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, dcv.Checked);
origin_price = asi.Payoff(temp, randmatrix, isant, s);//calculate the option price
greeks = gre.calculate(temp, randmatrix, s, isant, asi.Payoff);//calculate the greeks
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "BarrierOption":
Barrier bar = new Barrier(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, basic.barrier, s3, dcv.Checked);
origin_price = bar.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, bar.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "DigitalOption":
Digital dig = new Digital(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, basic.rebate, dcv.Checked);
origin_price = dig.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, dig.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "LookbackOption":
LookBack look = new LookBack(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial, s4, dcv.Checked);
origin_price = look.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, look.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
case "RangeOption":
Range rang = new Range(temp.S, temp.K, temp.r, temp.e, temp.T, temp.d, temp.step, temp.trial);
origin_price = rang.Payoff(temp, randmatrix, isant, s);
greeks = gre.calculate(temp, randmatrix, s, isant, rang.Payoff);
basic.mprice = origin_price[0];
basic.greek = greeks;
break;
}
basic.pl = (basic.tradeprice - basic.mprice) * basic.quantity;
var update = (from u in portfolio.Trades
where u.Id == n
select u).First();//update the price and greeks in trade
update.MarketPrice = basic.mprice;
update.PL = basic.pl;
update.Delta = basic.greek[0];
update.Gamma = basic.greek[1];
update.Vega = basic.greek[2];
update.Theta = basic.greek[3];
update.Rho = basic.greek[4];
portfolio.SaveChanges();
basic = new Basicvalue();
}
this.Close();
MessageBox.Show("Done! Please refresh the database again", "Notice", MessageBoxButtons.OK, MessageBoxIcon.Information);
}
catch { MessageBox.Show("Something wrong, please check wheather the inputs are correct."); }
}
