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fredmaloggia
2026-01-24 07:41:30 +01:00
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using Microsoft.Data.Analysis;
using MathNet.Numerics.Statistics;
using System.Data;
using LibraryPricer.Models;
using Accord.Statistics.Distributions.Multivariate;
using MathNet.Numerics.RootFinding;
using Accord.Math;
namespace LibraryPricer
{
public class CalcFunctions
{
public static List<PrezziSottostanti> GetCachedEodUnderlyings()
{
return _cachedEodUnderlyings;
}
public static List<UnderlyingStats> ComputeUnderlyingStats(List<PrezziSottostanti> prezziUL)
{
var results = new List<UnderlyingStats>();
foreach (var ul in prezziUL)
{
// Step 1: recupero la serie dei prezzi
double[] prezzi = ul.PrezziClose;
// Step 2: calcolo i rendimenti logaritmici
int n = prezzi.Length;
double[] logReturns = new double[n - 1];
for (int i = 0; i < n - 1; i++)
{
if (prezzi[i] > 0 && prezzi[i + 1] > 0)
logReturns[i] = Math.Log(prezzi[i] / prezzi[i + 1]);
else
logReturns[i] = 0.0; // fallback prudente se c’è un errore nei dati
}
// Step 3: calcolo della deviazione standard
double avg = logReturns.Average();
double sumSquared = logReturns.Select(r => Math.Pow(r - avg, 2)).Sum();
double variance = sumSquared / (logReturns.Length - 1);
double stdDev = Math.Sqrt(variance);
// Step 4: annualizzazione (assume 252 giorni di mercato)
double volatilityAnnualized = stdDev * Math.Sqrt(252);
// Step 5: salva tutto nell’oggetto
results.Add(new UnderlyingStats
{
Nome = ul.Sottostante,
Prezzi = prezzi,
LogReturns = logReturns,
Volatility = volatilityAnnualized
});
}
return results;
}
//Cache del risultato della query con i prezzi EOD per evitare di farla due volte
private static List<PrezziSottostanti> _cachedEodUnderlyings = new List<PrezziSottostanti>();
//Cache dell'array dei Fair Value per evitare di calcolarlo due volte
private static FairValueResultArray _cachedFairValueArray;
public static FairValueResult FairValue(double[] PricesUL,
double[,] cor_mat,
int numSottostanti,
int num_sims,
double TassoInteresse,
int DaysToMaturity,
double[] Dividends,
double[] Volatility,
int[] DaysToObservation,
double[] DaysToObservationYFract,
double[] CouponValues,
double[] CouponTriggers,
double[] AutocallValues,
double[] AutocallTriggers,
int[] MemoryFlags,
double CouponInMemory,
string? PDI_Style,
double PDI_Strike,
double PDI_Barrier,
double CapitalValue,
double ProtMinVal,
int Airbag,
int Sigma,
int Twinwin,
int Relief,
double FattoreAirbag,
int OneStar,
double TriggerOneStar,
double CAP,
double Leva)
{
double[] PV_Digits = new double[num_sims];
double FairValue = 0;
string CasoFairValue = string.Empty;
FairValueResult fvr = new FairValueResult(); // Istanzio l'oggetto FairValue per ritornare più valori (FairValue,CasoFairValue)
double[][] S_t_mat = new double[DaysToMaturity + 1][];
double[] MinPricesUL = new double[DaysToMaturity + 1];
if (_cachedFairValueArray != null)
{
PV_Digits = _cachedFairValueArray.FairValueArray;
fvr.CasoFairValue = _cachedFairValueArray.CasoFairValue;
}
else
{
for (int i = 0; i < num_sims; i++)
{
S_t_mat = CalcFunctions.GBMMultiEquity(PricesUL, cor_mat, numSottostanti, DaysToMaturity, TassoInteresse, Dividends, Volatility);
// Minimum stock price in % from all observed stock prices
double MinPrice = S_t_mat.SelectMany(x => x).Min();
// Stock price of the Worst performer at maturity
double MinPriceAtMaturity = MinArrayAtRow(S_t_mat, numSottostanti, DaysToMaturity);
double PV_digit = 0;
double memory_coupon = CouponInMemory;
double coupon_paid = 0;
for (int k = 0; k < DaysToObservation.Length; k++)
{
double minByRow = MinArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
if (minByRow >= AutocallTriggers[k]) // caso rimborso autocall
{
PV_digit = (AutocallValues[k] + memory_coupon) * Math.Exp(-TassoInteresse * DaysToObservationYFract[k]) + coupon_paid;
break;
}
else
if (minByRow >= CouponTriggers[k]) // caso coupon pagato
{
coupon_paid += (CouponValues[k] + memory_coupon) * Math.Exp(-TassoInteresse * DaysToObservationYFract[k]);
memory_coupon = 0;
}
else
{
memory_coupon += (MemoryFlags[k] * CouponValues[k]);
}
// Blocco aggiornato per la gestione dei casi Fair Value
if (k == DaysToObservation.Length - 1)
{
// === CASI GESTITI ===
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 0)
{
PV_digit = CasoStandard(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Standard";
}
if (Airbag == 1 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 0)
{
PV_digit = CasoAirbag(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, FattoreAirbag);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Airbag";
}
if (Airbag == 0 && Sigma == 1 && Relief == 0 && Twinwin == 0 && OneStar == 0)
{
PV_digit = CasoSigma(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Sigma";
}
if (Airbag == 0 && Sigma == 0 && Relief == 1 && Twinwin == 0 && OneStar == 0)
{
double SecondMinPriceAtMaturity = SecondMinArrayAtRow(S_t_mat, numSottostanti, DaysToMaturity);
PV_digit = CasoRelief(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, SecondMinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Relief";
}
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 1 && OneStar == 0)
{
PV_digit = CasoTwinWin(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike,
AutocallTriggers[k], CAP);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "TwinWin";
}
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, TriggerOneStar, CouponTriggers, CouponValues);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "OneStar";
}
// === NUOVI CASI COMBINATI ===
if (Airbag == 1 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoAirbagOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, FattoreAirbag, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Airbag + OneStar";
}
if (Airbag == 0 && Sigma == 1 && Relief == 0 && Twinwin == 0 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoSigmaOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Sigma + OneStar";
}
if (Airbag == 0 && Sigma == 0 && Relief == 1 && Twinwin == 0 && OneStar == 1)
{
double SecondMinPriceAtMaturity = SecondMinArrayAtRow(S_t_mat, numSottostanti, DaysToMaturity);
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoReliefOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, SecondMinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Relief + OneStar";
}
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 1 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoTwinWinOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike, AutocallTriggers[k], CAP, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "TwinWin + OneStar";
}
if (Airbag == 1 && Sigma == 0 && Relief == 0 && Twinwin == 1 && OneStar == 0)
{
PV_digit = CasoAirbagTwinWin(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k,
PDI_Strike, AutocallTriggers[k], CAP, FattoreAirbag);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Airbag + TwinWin";
}
}
}
PV_Digits[i] = PV_digit;
}
}
// The Autocallable price is the average of the present value of cash flows from all simulations
fvr.FairValue = PV_Digits.Mean() * 100;
fvr.Stdev = MathNet.Numerics.Statistics.Statistics.StandardDeviation(PV_Digits.Select(x => x * 100));
fvr.Simulations = num_sims;
fvr.FairValueArray = PV_Digits.Select(x => x * 100).ToArray();
return fvr;
}
public static FairValueResultArray FairValueArray(double[] PricesUL,
double[,] cor_mat,
int numSottostanti,
int num_sims,
double TassoInteresse,
int DaysToMaturity,
double[] Dividends,
double[] Volatility,
int[] DaysToObservation,
double[] DaysToObservationYFract,
double[] CouponValues,
double[] CouponTriggers,
double[] AutocallValues,
double[] AutocallTriggers,
int[] MemoryFlags,
double CouponInMemory,
string? PDI_Style,
double PDI_Strike,
double PDI_Barrier,
double CapitalValue,
double ProtMinVal,
int Airbag,
int Sigma,
int Twinwin,
int Relief,
double FattoreAirbag,
int OneStar,
double TriggerOneStar,
double CAP,
double Leva)
{
double FairValue = 0;
string CasoFairValue = string.Empty;
FairValueResultArray fvr = new FairValueResultArray(); // Istanzio l'oggetto FairValue per ritornare più valori (FairValue,CasoFairValue)
double[][] S_t_mat = new double[DaysToMaturity + 1][];
double[] MinPricesUL = new double[DaysToMaturity + 1];
double[] PV_Digits = new double[num_sims];
for (int i = 0; i < num_sims; i++)
{
S_t_mat = CalcFunctions.GBMMultiEquity(PricesUL, cor_mat, numSottostanti, DaysToMaturity, TassoInteresse, Dividends, Volatility);
// Minimum stock price in % from all observed stock prices
double MinPrice = S_t_mat.SelectMany(x => x).Min();
// Stock price of the Worst performer at maturity
double MinPriceAtMaturity = MinArrayAtRow(S_t_mat, numSottostanti, DaysToMaturity);
double PV_digit = 0;
double memory_coupon = CouponInMemory;
double coupon_paid = 0;
for (int k = 0; k < DaysToObservation.Length; k++)
{
double minByRow = MinArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
if (minByRow >= AutocallTriggers[k]) // caso rimborso autocall
{
PV_digit = (AutocallValues[k] + memory_coupon) * Math.Exp(-TassoInteresse * DaysToObservationYFract[k]) + coupon_paid;
break;
}
else
if (minByRow >= CouponTriggers[k]) // caso coupon pagato
{
coupon_paid += (CouponValues[k] + memory_coupon) * Math.Exp(-TassoInteresse * DaysToObservationYFract[k]);
memory_coupon = 0;
}
else
{
memory_coupon += (MemoryFlags[k] * CouponValues[k]);
}
// Blocco aggiornato per la gestione dei casi Fair Value
if (k == DaysToObservation.Length - 1)
{
// === CASI GESTITI ===
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 0)
{
PV_digit = CasoStandard(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Standard";
}
if (Airbag == 1 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 0)
{
PV_digit = CasoAirbag(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, FattoreAirbag);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Airbag";
}
if (Airbag == 0 && Sigma == 1 && Relief == 0 && Twinwin == 0 && OneStar == 0)
{
PV_digit = CasoSigma(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Sigma";
}
if (Airbag == 0 && Sigma == 0 && Relief == 1 && Twinwin == 0 && OneStar == 0)
{
double SecondMinPriceAtMaturity = SecondMinArrayAtRow(S_t_mat, numSottostanti, DaysToMaturity);
PV_digit = CasoRelief(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, SecondMinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Relief";
}
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 1 && OneStar == 0)
{
PV_digit = CasoTwinWin(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike,
AutocallTriggers[k], CAP);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "TwinWin";
}
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
MaxPriceAtMaturity, PV_digit, memory_coupon, coupon_paid, k, TriggerOneStar,
CouponTriggers, CouponValues);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "OneStar";
}
// === NUOVI CASI COMBINATI ===
if (Airbag == 1 && Sigma == 0 && Relief == 0 && Twinwin == 0 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoAirbagOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, FattoreAirbag, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Airbag + OneStar";
}
if (Airbag == 0 && Sigma == 1 && Relief == 0 && Twinwin == 0 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoSigmaOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Sigma + OneStar";
}
if (Airbag == 0 && Sigma == 0 && Relief == 1 && Twinwin == 0 && OneStar == 1)
{
double SecondMinPriceAtMaturity = SecondMinArrayAtRow(S_t_mat, numSottostanti, DaysToMaturity);
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoReliefOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, SecondMinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Relief + OneStar";
}
if (Airbag == 0 && Sigma == 0 && Relief == 0 && Twinwin == 1 && OneStar == 1)
{
double MaxPriceAtMaturity = MaxArrayAtRow(S_t_mat, numSottostanti, DaysToObservation[k]);
PV_digit = CasoTwinWinOneStar(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, MaxPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike, AutocallTriggers[k], CAP, TriggerOneStar);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "TwinWin + OneStar";
}
if (Airbag == 1 && Sigma == 0 && Relief == 0 && Twinwin == 1 && OneStar == 0)
{
PV_digit = CasoAirbagTwinWin(TassoInteresse, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k,
PDI_Strike, AutocallTriggers[k], CAP, FattoreAirbag);
if (String.IsNullOrEmpty(fvr.CasoFairValue)) fvr.CasoFairValue = "Airbag + TwinWin";
}
}
}
PV_Digits[i] = PV_digit;
}
for (int i = 0; i < PV_Digits.Length; i++) PV_Digits[i] = PV_Digits[i] * 100;
fvr.FairValueArray = PV_Digits;
return fvr;
}
public class FairValueResult
{
public double FairValue { get; set; }
public double[] FairValueArray { get; set; } // se serve per Array()
public double Stdev { get; set; } // per confronto GARCH
public int Simulations { get; set; } // per confronto GARCH
public string CasoFairValue { get; set; } // <-- questo ti manca
}
public class FairValueResultArray
{
public double[] FairValueArray { get; set; }
public string? CasoFairValue { get; set;}
}
//private static double CasoOneStar(double r, double[] DaysToObservationYFract, string? PDI_Style, double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity, double MaxPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k, double TriggerOneStar)
//{
// // Barriera Discreta (European)
// if (PDI_Style == "European" && MaxPriceAtMaturity >= TriggerOneStar) // E' Sopra triggeronestar
// {
// PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
// }
// if (PDI_Style == "European" && MaxPriceAtMaturity < TriggerOneStar) // E' sotto triggeronestar
// {
// if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Barrier) // Non ha rotto barriera
// {
// PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
// }
// if (PDI_Style == "European" && MinPriceAtMaturity < PDI_Barrier) // Ha rotto barriera
// {
// PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
// }
// }
// // Barriere Continue (American)
// if (PDI_Style == "American" && MinPrice >= PDI_Barrier) // non ha rotto barriera
// {
// PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
// }
// if (PDI_Style == "American" && MinPrice < PDI_Barrier)
// {
// PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
// }
// return PV_digit;
//}
private static double CasoOneStar(double r, double[] DaysToObservationYFract, string? PDI_Style,
double PDI_Barrier, double CapitalValue, double ProtMinVal,
double MinPrice, double MinPriceAtMaturity, double MaxPriceAtMaturity,
double PV_digit, double memory_coupon, double coupon_paid, int k,
double TriggerOneStar, double[] CouponTriggers, double[] CouponValues)
{
double payoutCapitale;
double payoutCedola = 0;
// === CAPITALE ===
if (MinPriceAtMaturity < PDI_Barrier)
{
if (MaxPriceAtMaturity < TriggerOneStar)
{
// Caso: sotto barriera e sotto trigger OneStar → perdita
payoutCapitale = Math.Max(ProtMinVal, MinPriceAtMaturity / 100.0);
}
else
{
// Caso: sotto barriera ma sopra trigger OneStar → capitale protetto
payoutCapitale = CapitalValue;
}
}
else
{
// Caso: sopra barriera → capitale protetto a prescindere
payoutCapitale = CapitalValue;
}
// === CEDOLA ===
if (MinPriceAtMaturity >= CouponTriggers[k])
{
payoutCedola = memory_coupon + CouponValues[k];
}
// === RISULTATO ===
return payoutCapitale * Math.Exp(-r * DaysToObservationYFract[k])
+ payoutCedola * Math.Exp(-r * DaysToObservationYFract[k])
+ coupon_paid;
}
private static double CasoTwinWin(double r, double[] DaysToObservationYFract, string? PDI_Style, double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k , double PDI_Strike, double TriggerAutocall, double CAP)
{
if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Strike && TriggerAutocall == 999)
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (memory_coupon + (Math.Min(MinPriceAtMaturity / 100,CAP)))) + coupon_paid;
}
// Barriera Discreta (European)
if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * ((2 * CapitalValue) + memory_coupon - (MinPriceAtMaturity / 100))) + coupon_paid;
}
if (PDI_Style == "European" && MinPriceAtMaturity < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
// Barriere Continue (American)
if (PDI_Style == "American" && MinPriceAtMaturity >= PDI_Strike && TriggerAutocall == 999)
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (memory_coupon + (Math.Min(MinPriceAtMaturity / 100, CAP)))) + coupon_paid;
}
if (PDI_Style == "American" && MinPrice >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * ((2 * CapitalValue) + memory_coupon - (MinPriceAtMaturity / 100))) + coupon_paid;
}
if (PDI_Style == "American" && MinPrice < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
return PV_digit;
}
private static double CasoRelief(double r, double[] DaysToObservationYFract, string? PDI_Style, double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity, double SecondMinPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k)
{
// Barriera Discreta (European)
if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "European" && MinPriceAtMaturity < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, SecondMinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
// Barriere Continue (American)
if (PDI_Style == "American" && MinPrice >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "American" && MinPrice < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, SecondMinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
return PV_digit;
}
private static double CasoSigma(double r, double[] DaysToObservationYFract, string? PDI_Style, double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k, double PDI_Strike)
{
// Barriera Discreta (European)
if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "European" && MinPriceAtMaturity < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, (MinPriceAtMaturity + PDI_Strike - PDI_Barrier) / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
// Barriere Continue (American)
if (PDI_Style == "American" && MinPrice >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "American" && MinPrice < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, (MinPriceAtMaturity + PDI_Strike - PDI_Barrier) / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
return PV_digit;
}
private static double CasoAirbag(double r, double[] DaysToObservationYFract, string? PDI_Style, double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k, double FattoreAirbag)
{
// Barriera Discreta (European)
if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "European" && MinPriceAtMaturity < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) * FattoreAirbag + coupon_paid;
}
// Barriere Continue (American)
if (PDI_Style == "American" && MinPrice >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "American" && MinPrice < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) * FattoreAirbag + coupon_paid;
}
return PV_digit;
}
// === DEFINIZIONI DEI METODI COMBINATI ===
private static double CasoAirbagOneStar(double r, double[] DaysToObservationYFract, string? PDI_Style,
double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity,
double MaxPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k,
double FattoreAirbag, double TriggerOneStar)
{
if (MaxPriceAtMaturity >= TriggerOneStar)
return (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
return CasoAirbag(r, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, FattoreAirbag);
}
private static double CasoSigmaOneStar(double r, double[] DaysToObservationYFract, string? PDI_Style,
double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity,
double MaxPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k,
double PDI_Strike, double TriggerOneStar)
{
if (MaxPriceAtMaturity >= TriggerOneStar)
return (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
return CasoSigma(r, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k, PDI_Strike);
}
private static double CasoReliefOneStar(double r, double[] DaysToObservationYFract, string? PDI_Style,
double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity,
double SecondMinPriceAtMaturity, double MaxPriceAtMaturity, double PV_digit, double memory_coupon,
double coupon_paid, int k, double TriggerOneStar)
{
if (MaxPriceAtMaturity >= TriggerOneStar)
return (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
return CasoRelief(r, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity, SecondMinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k);
}
private static double CasoTwinWinOneStar(double r, double[] DaysToObservationYFract, string? PDI_Style,
double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity,
double MaxPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k,
double PDI_Strike, double AutocallTrigger, double CAP, double TriggerOneStar)
{
if (MaxPriceAtMaturity >= TriggerOneStar)
return (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
return CasoTwinWin(r, DaysToObservationYFract, PDI_Style, PDI_Barrier,
CapitalValue, ProtMinVal, MinPrice, MinPriceAtMaturity,
PV_digit, memory_coupon, coupon_paid, k,
PDI_Strike, AutocallTrigger, CAP);
}
private static double CasoAirbagTwinWin(double r, double[] DaysToObservationYFract, string? PDI_Style,
double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity,
double PV_digit, double memory_coupon, double coupon_paid, int k,
double PDI_Strike, double AutocallTrigger, double CAP, double FattoreAirbag)
{
if (MinPriceAtMaturity >= PDI_Barrier)
{
if (AutocallTrigger == 999 && MinPriceAtMaturity >= PDI_Strike)
{
return (Math.Exp(-r * DaysToObservationYFract[k]) * (memory_coupon + Math.Min(MinPriceAtMaturity / 100, CAP))) + coupon_paid;
}
return (Math.Exp(-r * DaysToObservationYFract[k]) * ((2 * CapitalValue) + memory_coupon - (MinPriceAtMaturity / 100))) + coupon_paid;
}
return (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) * FattoreAirbag + coupon_paid;
}
private static double CasoStandard(double r, double[] DaysToObservationYFract, string? PDI_Style, double PDI_Barrier, double CapitalValue, double ProtMinVal, double MinPrice, double MinPriceAtMaturity, double PV_digit, double memory_coupon, double coupon_paid, int k)
{
// Barriera Discreta (European)
if (PDI_Style == "European" && MinPriceAtMaturity >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "European" && MinPriceAtMaturity < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
// Barriere Continue (American)
if (PDI_Style == "American" && MinPrice >= PDI_Barrier) // non ha rotto barriera
{
PV_digit = (Math.Exp(-r * DaysToObservationYFract[k]) * (CapitalValue + memory_coupon)) + coupon_paid;
}
if (PDI_Style == "American" && MinPrice < PDI_Barrier)
{
PV_digit = (Math.Max(ProtMinVal, MinPriceAtMaturity / 100)) * Math.Exp(-r * DaysToObservationYFract[k]) + coupon_paid;
}
return PV_digit;
}
public static double[][] GBMMultiEquity(double[] PricesUL, double[,] cor_mat, int numSottostanti, int DaysToMaturity, double TassoInteresse, double[] q_assets, double[] vol_assets)
{
double dt = 1.0 / 252.0; // "daily"
// Dataframe containing the correlated random variables from a standard normal distribution used in the GBM
double[] mean = Enumerable.Repeat(0.0, numSottostanti).ToArray();
var dist = new MultivariateNormalDistribution(mean, cor_mat);
// Generate samples from this distribution:
double[][] df_W = dist.Generate(DaysToMaturity);
double[][] df_S = new double[DaysToMaturity + 1][]; // aggiunto +1 per considerare la riga dei prezzi aggiunta a df_S nel ciclo successivo // https://stackoverflow.com/questions/40333403/the-difference-between-and-in-c-sharp
for (int k = 0; k < DaysToMaturity + 1; k++)
{
df_S[k] = new double[numSottostanti];
}
// Assegna nella prima riga della matrice df_S i prices UL
for (int i = 0; i < numSottostanti; i++)
{
df_S[0][i] = PricesUL[i];
}
// Elabora il resto della matride df_S partendo da 1 fino a num_steps (incluso)
for (int i = 0; i < numSottostanti; i++)
{
double drift = ((TassoInteresse - q_assets[i]) - (0.5 * (Math.Pow(vol_assets[i],2))));
double[] tempArray = new double[DaysToMaturity];
for (int j = 0; j < DaysToMaturity; j++)
{
tempArray[j] = (drift * dt) + (vol_assets[i] * Math.Sqrt(dt) * df_W[j][i]);
}
double[] cumSumArray = new double[DaysToMaturity];
cumSumArray = CumulativeSums(tempArray);
for (int k = 1; k < DaysToMaturity + 1; k++)
{
df_S[k][i] = PricesUL[i] * Math.Exp(cumSumArray[k-1]);
}
}
return df_S;
}
public static double MaxArrayAtRow(double[][] jaggedArray, int numSottostanti, int RowIndex)
{
double value = -999999;
for (int j = 0; j < numSottostanti; j++)
{
if (jaggedArray[RowIndex][j] > value) value = jaggedArray[RowIndex][j];
}
return (value);
}
public static double MinArrayAtRow(double[][] jaggedArray, int numSottostanti, int RowIndex)
{
double value = 999999;
for (int j = 0; j < numSottostanti; j++)
{
if (jaggedArray[RowIndex][j] < value) value = jaggedArray[RowIndex][j];
}
return (value);
}
public static double SecondMinArrayAtRow(double[][] jaggedArray, int numSottostanti, int RowIndex)
{
double value = 999999;
double[] tempArray = new double[numSottostanti];
for (int j = 0; j < numSottostanti; j++)
{
tempArray[j] = jaggedArray[RowIndex][j];
}
tempArray.Sort(true,true); // Ordina i prezzi a scadenza in modo crescente (il primo parametro stable = true preserva l'ordine nel caso siano due numeri uguali nella sequenza)
if (tempArray.Length >= 2) value = tempArray[1]; // prende il secondo più piccolo
else value = tempArray[0]; // prende l'unico elemento esistente
return (value);
}
public static double[] CumulativeSums(double[] values)
{
if (values == null || values.Length == 0) return new double[0];
var results = new double[values.Length];
results[0] = values[0];
for (var i = 1; i < values.Length; i++)
{
results[i] = results[i - 1] + values[i];
}
return results;
}
/// <summary>
/// Calcola la deviazione standard a partire da una List di valori
/// </summary>
/// <param name="values"> La lista dei valori da cui ricavare la deviazione standard </param>
/// <returns></returns>
public static double StandardDeviation(double[] valori)
{
List<double> values = new List<double>();
values.AddRange(valori);
double average = values.Average();
double sumOfDerivation = 0;
foreach (double value in values)
{
sumOfDerivation += (value) * (value);
}
double sumOfDerivationAverage = sumOfDerivation / (values.Count - 1);
return Math.Sqrt(sumOfDerivationAverage - (average * average));
}
/// <summary>
/// Calcola la volatilità dei sottostanti a partire dall'ISIN del certificato
/// </summary>
/// <param name="ISIN">ISIN del certificato da cui verranno recuperati i sottostanti</param>
/// <param name="numPrezziEOD">Il numero di prezzi da considerare</param>
/// <param name="EnableWarning">Se true, consente di riprodurre un messaggio di warning nel caso onn siano reperibili abbastanza prezzi</param>
/// <returns>Un array di double con un valore per ogni sottostante</returns>
public static DataTable ArraytoDatatable(double[,] numbers, string[] columnNames)
{
DataTable dt = new DataTable();
for (int i = 0; i < numbers.GetLength(1); i++)
{
//dt.Columns.Add("Column" + (i + 1));
dt.Columns.Add(columnNames[i]);
}
for (var i = 0; i < numbers.GetLength(0); ++i)
{
DataRow row = dt.NewRow();
for (var j = 0; j < numbers.GetLength(1); ++j)
{
row[j] = Math.Round(numbers[i, j],4);
}
dt.Rows.Add(row);
}
return dt;
}
public static DataTable ArrayJaddedtoDatatable(double[][] numbers, string[] columnNames)
{
DataTable dt = new DataTable();
for (int i = 0; i < columnNames.Length; i++)
{
dt.Columns.Add(columnNames[i]);
}
for (var i = 0; i < numbers.GetLength(0); ++i)
{
DataRow row = dt.NewRow();
for (var j = 0; j < columnNames.Length; ++j)
{
row[j] = Math.Round(numbers[i][j],4);
}
dt.Rows.Add(row);
}
return dt;
}
}
}

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LibraryPricer/ConsoleSpinner.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
// ref link: http://dontcodetired.com/blog/post/Creating-a-Spinner-Animation-in-a-Console-Application-in-C
namespace LibraryPricer
{
/* non funziona bene
//var s = new ConsoleSpinner();
//double fv = 0;
//while (fv == 0)
//{
// //Thread.Sleep(100); // simulate some work being done
// fv = CalcFunctions.FairValue(PricesUL, corrMatrix, numSottostanti, num_sims, r, DaysToMaturity, Dividends, Volatility, DaysToObservation, DaysToObservationYFract, CouponValues, CouponTriggers, AutocallValues, AutocallTriggers, MemoryFlags, PDI_Style, PDI_Strike, PDI_Barrier, CapitalValue);
// s.UpdateProgress();
//}
*/
public class ConsoleSpinner
{
private int _currentAnimationFrame;
public ConsoleSpinner()
{
SpinnerAnimationFrames = new[]
{
'|',
'/',
'-',
'\\'
};
}
public char[] SpinnerAnimationFrames { get; set; }
public void UpdateProgress()
{
// Store the current position of the cursor
var originalX = Console.CursorLeft;
var originalY = Console.CursorTop;
// Write the next frame (character) in the spinner animation
Console.Write(SpinnerAnimationFrames[_currentAnimationFrame]);
// Keep looping around all the animation frames
_currentAnimationFrame++;
if (_currentAnimationFrame == SpinnerAnimationFrames.Length)
{
_currentAnimationFrame = 0;
}
// Restore cursor to original position
Console.SetCursorPosition(originalX, originalY);
}
}
}

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using ConsoleTableExt;
using LibraryPricer.Payoffs;
using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;
using System.Text;
using System.Drawing;
using System.Drawing.Imaging;
namespace LibraryPricer
{
public static class FairValueComparison
{
public static PayoffContext CloneContext(PayoffContext original)
{
return new PayoffContext
{
DaysToMaturity = original.DaysToMaturity,
r = original.r,
CapitalValue = original.CapitalValue,
ProtMinVal = original.ProtMinVal,
PDI_Barrier = original.PDI_Barrier,
PDI_Style = original.PDI_Style,
CouponInMemory = original.CouponInMemory,
DaysToObsYFract = (double[])original.DaysToObsYFract.Clone(),
CouponTriggers = (double[])original.CouponTriggers.Clone(),
CouponValues = (double[])original.CouponValues.Clone(),
AutocallTriggers = (double[])original.AutocallTriggers.Clone(),
AutocallValues = (double[])original.AutocallValues.Clone(),
MemoryFlags = (int[])original.MemoryFlags.Clone(),
Caso = original.Caso,
PDI_Strike = original.PDI_Strike,
FattoreAirbag = original.FattoreAirbag,
TriggerOneStar = original.TriggerOneStar,
CAP = original.CAP,
DaysToObs = (int[])original.DaysToObs.Clone(),
Airbag = original.Airbag,
Sigma = original.Sigma,
Relief = original.Relief,
TwinWin = original.TwinWin,
OneStar = original.OneStar,
Leva = original.Leva,
Volatility = (double[])original.Volatility.Clone(),
PricesUL = (double[])original.PricesUL.Clone(),
NominalAmount = original.NominalAmount
};
}
public static void CompareFairValues(
int numSimulations,
double[][] pricesUL,
double[,] corrMatrix,
int numAssets,
int daysToMaturity,
double r,
double[] dividends,
PayoffContext context,
double nominalAmount,
string isin,
double ask,
double bid,
DateTime lastDate,
string category,
DateTime[]? obsDates = null)
{
Console.WriteLine($"Motore GBM con payoff engine '{context.Caso}'");
var payoffEvaluator = PayoffFactory.GetEvaluator(context.Caso);
double[] results = new double[numSimulations];
int barrierBreaksAtMaturity = 0;
int autocallFirstObsIndex = -1;
double autocallFirstTrigger = 0.0;
int autocallAtFirstObsCount = 0;
int oneStarObsIndex = -1;
int oneStarTriggerHits = 0;
if (context.AutocallTriggers != null && context.DaysToObs != null)
{
for (int k = 0; k < context.AutocallTriggers.Length && k < context.DaysToObs.Length; k++)
{
double trigger = context.AutocallTriggers[k];
if (trigger != 999 && trigger != 0)
{
autocallFirstObsIndex = k;
autocallFirstTrigger = trigger;
break;
}
}
}
if (autocallFirstObsIndex < 0 && context.AutocallTriggers != null && context.DaysToObs != null && context.AutocallValues != null)
{
for (int k = 0; k < context.AutocallTriggers.Length && k < context.DaysToObs.Length && k < context.AutocallValues.Length; k++)
{
double trigger = context.AutocallTriggers[k];
if (trigger != 999 && context.AutocallValues[k] > 0)
{
autocallFirstObsIndex = k;
autocallFirstTrigger = trigger;
break;
}
}
}
if (context.OneStar == 1 && context.DaysToObs != null && context.DaysToObs.Length > 0 && context.TriggerOneStar > 0)
{
oneStarObsIndex = context.DaysToObs.Length - 1;
}
for (int i = 0; i < numSimulations; i++)
{
try
{
var path = CalcFunctions.GBMMultiEquity(
pricesUL[i],
corrMatrix,
numAssets,
daysToMaturity,
r,
dividends,
context.Volatility
);
if (context.PDI_Barrier > 0)
{
double minAtMaturity = CalcFunctions.MinArrayAtRow(path, numAssets, daysToMaturity);
if (minAtMaturity < context.PDI_Barrier)
{
barrierBreaksAtMaturity++;
}
}
if (autocallFirstObsIndex >= 0)
{
int obsDay = context.DaysToObs[autocallFirstObsIndex];
double minAtObs = CalcFunctions.MinArrayAtRow(path, numAssets, obsDay);
if (minAtObs >= autocallFirstTrigger)
{
autocallAtFirstObsCount++;
}
}
if (oneStarObsIndex >= 0)
{
int obsDay = context.DaysToObs[oneStarObsIndex];
double maxAtObs = CalcFunctions.MaxArrayAtRow(path, numAssets, obsDay);
if (maxAtObs >= context.TriggerOneStar)
{
oneStarTriggerHits++;
}
}
var payoff = payoffEvaluator.Evaluate(path, context);
results[i] = payoff * 100.0;
}
catch (Exception ex)
{
Console.WriteLine($"[SIM {i}] Errore: {ex.Message}");
results[i] = 0.0;
}
}
double sum = results.Sum();
double mean = sum / numSimulations;
double variance = results.Select(val => Math.Pow(val - mean, 2)).Sum() / numSimulations;
double stddev = Math.Sqrt(variance);
double fairValueScaled = mean * nominalAmount / 100.0;
int[] fairValues = results.Select(x => (int)Math.Floor(x * nominalAmount / 100)).ToArray();
// Report sintetico in console (senza dipendenze esterne)
Console.WriteLine($"Caso calcolo Fair value {isin} = {category}");
Console.WriteLine($"Fair value {isin} ({numSimulations} iter.) = {fairValueScaled:F2} (Bid = {bid:F2}, Ask = {ask:F2}, Last updated on {lastDate:dd/MM/yyyy HH:mm:ss})");
if (context.PDI_Barrier > 0)
{
double pctBarrierBreak = 100.0 * barrierBreaksAtMaturity / Math.Max(1, numSimulations);
Console.WriteLine($"Probabilita rottura barriera a scadenza: {pctBarrierBreak:F2}% (Barriera {context.PDI_Barrier:F4})");
}
if (autocallFirstObsIndex >= 0)
{
double pctAutocallFirstObs = 100.0 * autocallAtFirstObsCount / Math.Max(1, numSimulations);
string obsLabel = (obsDates != null && autocallFirstObsIndex < obsDates.Length)
? obsDates[autocallFirstObsIndex].ToString("dd/MM/yyyy")
: context.DaysToObs[autocallFirstObsIndex].ToString();
Console.WriteLine($"Probabilita rimborso anticipato alla prima osservazione autocall: {pctAutocallFirstObs:F2}% (Trigger {autocallFirstTrigger:F4}, Obs {obsLabel})");
}
else
{
Console.WriteLine("Probabilita rimborso anticipato alla prima osservazione autocall: N/D (nessun trigger autocall valorizzato)");
}
if (oneStarObsIndex >= 0)
{
double pctOneStar = 100.0 * oneStarTriggerHits / Math.Max(1, numSimulations);
string obsLabel = (obsDates != null && oneStarObsIndex < obsDates.Length)
? obsDates[oneStarObsIndex].ToString("dd/MM/yyyy")
: context.DaysToObs[oneStarObsIndex].ToString();
Console.WriteLine($"Probabilita attivazione OneStar: {pctOneStar:F2}% (Trigger {context.TriggerOneStar:F4}, Obs {obsLabel})");
}
double referencePrice = ask > 0 ? ask : (bid > 0 ? bid : 0.0);
string referenceLabel = ask > 0 ? "Ask" : "Bid";
if (referencePrice > 0)
{
double[] above = fairValues.Where(v => v >= referencePrice).Select(v => (double)v).ToArray();
double[] below = fairValues.Where(v => v < referencePrice).Select(v => (double)v).ToArray();
double pctAbove = 100.0 * above.Length / Math.Max(1, fairValues.Length);
double pctBelow = 100.0 * below.Length / Math.Max(1, fairValues.Length);
Console.WriteLine($"Sopra {referenceLabel} nel {pctAbove:F2}% dei casi, sotto {referenceLabel} nel {pctBelow:F2}% dei casi");
double avgAbove = above.Length > 0 ? above.Average() : 0.0;
double avgBelow = below.Length > 0 ? below.Average() : 0.0;
Console.WriteLine($"Valore medio casi sopra {referenceLabel}: {avgAbove:F2}");
Console.WriteLine($"Valore medio casi sotto {referenceLabel}: {avgBelow:F2}");
double gainAvg = avgAbove - referencePrice;
double lossAvg = referencePrice - avgBelow;
Console.WriteLine($"Gain medio: {avgAbove:F2} - {referencePrice:F2} = {gainAvg:F2}");
Console.WriteLine($"Loss medio: {referencePrice:F2} - {avgBelow:F2} = {lossAvg:F2}");
double pctGain = referencePrice > 0 ? 100.0 * gainAvg / referencePrice : 0.0;
double pctLoss = referencePrice > 0 ? 100.0 * lossAvg / referencePrice : 0.0;
Console.WriteLine($"Perc media Gain: {gainAvg:F2} / {referencePrice:F2} = {pctGain:F2}%");
Console.WriteLine($"Perc media Loss: {lossAvg:F2} / {referencePrice:F2} = {pctLoss:F2}%");
double expectedValue = (gainAvg * (pctAbove / 100.0)) - (lossAvg * (pctBelow / 100.0));
Console.WriteLine($"Expected value: {expectedValue:F2}");
double[] returnsPct = fairValues.Select(v => 100.0 * (v - referencePrice) / referencePrice).ToArray();
if (returnsPct.Length > 0)
{
double minRet = returnsPct.Min();
double maxRet = returnsPct.Max();
if (Math.Abs(maxRet - minRet) < 1e-9)
{
Console.WriteLine($"Distribuzione rendimenti vs {referenceLabel}: tutti i casi {returnsPct[0]:F2}%");
}
else
{
Console.WriteLine($"Distribuzione rendimenti vs {referenceLabel} (10 bins):");
int bins = 10;
double width = (maxRet - minRet) / bins;
int[] counts = new int[bins];
foreach (double ret in returnsPct)
{
int idx = (int)Math.Floor((ret - minRet) / width);
if (idx >= bins) idx = bins - 1;
if (idx < 0) idx = 0;
counts[idx]++;
}
int maxCount = counts.Max();
for (int b = 0; b < bins; b++)
{
double start = minRet + b * width;
double end = (b == bins - 1) ? maxRet : (start + width);
int count = counts[b];
double pct = 100.0 * count / Math.Max(1, returnsPct.Length);
int barLen = maxCount > 0 ? (int)Math.Round(50.0 * count / maxCount) : 0;
string bar = new string('#', barLen);
Console.WriteLine($"[{start,7:F2}% .. {end,7:F2}%] {count,5} ({pct,5:F2}%) | {bar}");
}
string safeLabel = referenceLabel.Replace(" ", "");
string fileName = $"returns_hist_{isin}_{safeLabel}.png";
string outDir = Path.Combine(GetProjectRoot(), "output");
Directory.CreateDirectory(outDir);
string outPath = Path.Combine(outDir, fileName);
WriteHistogramPng(outPath, minRet, maxRet, counts, referenceLabel, isin);
Console.WriteLine($"Plot salvato: {outPath}");
}
}
}
}
private static void WriteHistogramPng(string path, double minRet, double maxRet, int[] counts, string referenceLabel, string isin)
{
const int width = 900;
const int height = 520;
const int marginLeft = 70;
const int marginRight = 30;
const int marginTop = 50;
const int marginBottom = 90;
int bins = counts.Length;
int maxCount = counts.Max();
double plotWidth = width - marginLeft - marginRight;
double plotHeight = height - marginTop - marginBottom;
double barWidth = plotWidth / Math.Max(1, bins);
double range = Math.Max(1e-9, maxRet - minRet);
using var bmp = new Bitmap(width, height);
using var g = Graphics.FromImage(bmp);
g.Clear(Color.White);
g.SmoothingMode = System.Drawing.Drawing2D.SmoothingMode.AntiAlias;
using var axisPen = new Pen(Color.FromArgb(51, 51, 51), 1);
using var textBrush = new SolidBrush(Color.FromArgb(51, 51, 51));
using var titleBrush = new SolidBrush(Color.FromArgb(17, 17, 17));
using var blueBrush = new SolidBrush(Color.FromArgb(74, 123, 209));
using var redBrush = new SolidBrush(Color.FromArgb(209, 100, 74));
using var fontTitle = new Font("Segoe UI", 14);
using var fontLabel = new Font("Segoe UI", 10);
using var fontTick = new Font("Segoe UI", 9);
g.DrawString($"Distribuzione rendimenti vs {referenceLabel} - {isin}", fontTitle, titleBrush, marginLeft, 20);
// Axes
g.DrawLine(axisPen, marginLeft, marginTop, marginLeft, height - marginBottom);
g.DrawLine(axisPen, marginLeft, height - marginBottom, width - marginRight, height - marginBottom);
// Bars
for (int i = 0; i < bins; i++)
{
double ratio = maxCount > 0 ? (double)counts[i] / maxCount : 0.0;
double barHeight = ratio * plotHeight;
double x = marginLeft + i * barWidth + 2;
double y = (height - marginBottom) - barHeight;
double bw = Math.Max(1, barWidth - 4);
double binCenter = minRet + (i + 0.5) * (range / bins);
var brush = binCenter < 0 ? redBrush : blueBrush;
g.FillRectangle(brush, (float)x, (float)y, (float)bw, (float)barHeight);
}
// X-axis labels (min, 0 if in range, max)
g.DrawString($"{minRet:F2}%", fontLabel, textBrush, marginLeft, height - marginBottom + 35);
if (minRet < 0 && maxRet > 0)
{
double xZero = marginLeft + ((0 - minRet) / range) * plotWidth;
using var dashPen = new Pen(Color.FromArgb(153, 153, 153), 1);
dashPen.DashPattern = new float[] { 4, 3 };
g.DrawLine(dashPen, (float)xZero, marginTop, (float)xZero, height - marginBottom);
g.DrawString("0%", fontLabel, textBrush, (float)(xZero - 10), height - marginBottom + 35);
}
g.DrawString($"{maxRet:F2}%", fontLabel, textBrush, width - marginRight - 60, height - marginBottom + 35);
g.DrawString("Rendimento (%)", fontLabel, textBrush, width - marginRight - 140, height - 25);
// Y-axis labels (0 and max)
g.DrawString("0", fontLabel, textBrush, marginLeft - 25, height - marginBottom - 5);
g.DrawString($"{maxCount}", fontLabel, textBrush, marginLeft - 35, marginTop - 5);
g.DrawString("Conteggi", fontLabel, textBrush, marginLeft - 55, marginTop - 25);
// Bin labels
using var centerFormat = new StringFormat { Alignment = StringAlignment.Center };
for (int i = 0; i < bins; i++)
{
double start = minRet + i * (range / bins);
double end = (i == bins - 1) ? maxRet : (start + (range / bins));
string label = $"{start:F1}..{end:F1}%";
float x = (float)(marginLeft + i * barWidth + barWidth / 2);
float y = height - marginBottom + 55;
g.DrawString(label, fontTick, textBrush, x, y, centerFormat);
}
bmp.Save(path, ImageFormat.Png);
}
private static string GetProjectRoot()
{
DirectoryInfo? dir = new DirectoryInfo(Directory.GetCurrentDirectory());
while (dir != null)
{
bool hasSln = dir.EnumerateFiles("*.sln").Any();
bool hasPricer = Directory.Exists(Path.Combine(dir.FullName, "Pricer"));
bool hasLibrary = Directory.Exists(Path.Combine(dir.FullName, "LibraryPricer"));
if (hasSln || (hasPricer && hasLibrary))
{
return dir.FullName;
}
dir = dir.Parent;
}
return Directory.GetCurrentDirectory();
}
}
}

16
LibraryPricer/FairValues.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace LibraryPricer
{
public class FairValues
{
public string ISIN { get; set; }
public double FairValue { get; set; }
}
}

40
LibraryPricer/GbmEngine.cs Normal file
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using System;
using System.Linq;
namespace LibraryPricer.Engines
{
public static class GbmEngine
{
public static double RunSimulation(
double[] pricesUL,
double[,] corrMatrix,
int numAssets,
int daysToMaturity,
int numSimulations,
double rate,
double[] dividends,
double[] volatilities,
Payoffs.PayoffContext context)
{
double[] results = new double[numSimulations];
var evaluator = Payoffs.PayoffFactory.GetEvaluator(context.Caso);
for (int i = 0; i < numSimulations; i++)
{
var path = CalcFunctions.GBMMultiEquity(
pricesUL,
corrMatrix,
numAssets,
daysToMaturity,
rate,
dividends,
volatilities
);
results[i] = evaluator.Evaluate(path, context) * 100.0; // Scale to FV
}
return results.Average();
}
}
}

22
LibraryPricer/LibraryPricer.csproj Normal file
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<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net6.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>disable</Nullable>
<UseSystemDrawing>true</UseSystemDrawing>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="Accord.Statistics" Version="3.8.0" />
<PackageReference Include="ConsoleTableExt" Version="3.3.0" />
<PackageReference Include="Dapper" Version="2.0.143" />
<PackageReference Include="MathNet.Numerics" Version="5.0.0" />
<PackageReference Include="Microsoft.Data.Analysis" Version="0.20.1" />
<PackageReference Include="Microsoft.Extensions.Configuration.Json" Version="7.0.0" />
<PackageReference Include="SqlServerBulkTools.Core" Version="1.0.0" />
<PackageReference Include="System.Data.SqlClient" Version="4.8.6" />
<PackageReference Include="System.Drawing.Common" Version="7.0.0" />
</ItemGroup>
</Project>

56
LibraryPricer/Models/DetailsCTFModel.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace LibraryPricer.Models
{
public class DetailsCTFModel
{
public double TassoInteresse { get; set; }
public int DaysToMaturity { get; set; }
public string PDI_Style { get; set; }
public double PDI_Strike { get; set; }
public double PDI_Barrier { get; set; }
public double CapitalValue { get; set; }
public double NominalAmount { get; set; }
public double Bid { get; set; }
public double Ask { get; set; }
public DateTime LastDatePrice { get; set; }
public double CouponInMemory { get; set; }
public double ProtMinVal { get; set; }
public int AirBag { get; set; }
public double FattoreAirbag { get; set; }
public int OneStar { get; set; }
public double TriggerOnestar { get; set; }
public int TwinWin { get; set; }
public int Sigma { get; set; }
public int Relief { get; set; }
public int Domino { get; set; }
public string Category { get; set; }
public double CAP { get; set; }
public double Leva { get; set; }
}
}

27
LibraryPricer/Models/DetailsEventModel.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace LibraryPricer.Models
{
public class DetailsEventModel
{
public int DaysToObs { get; set; }
public int DaysToExDate { get; set; }
public double DaysToObsYFract { get; set; }
public double CouponValue { get; set; }
public double CouponTrigger { get; set; }
public double AutocallValue { get; set; }
public double AutocallTrigger { get; set; }
public int Memory { get; set; }
}
}

31
LibraryPricer/Models/DetailsULModel.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace LibraryPricer.Models
{
public class DetailsULModel
{
public int IDUnderlyings { get; set; }
public string Sottostante { get; set; }
public DateTime MaturityDate { get; set; } // non usato, da togliere sia qui che in sp pricer_ULDetails (proprietà spostata in DetailsCTFModel!)
public double LastPrice { get; set; }
public double Strike { get; set; }
public double SpotPriceNormalized { get; set; }
public double Dividend { get; set; }
public double Volatility { get; set; }
public int DaysToMaturity { get; set; } // non usato, da togliere sia qui che in sp pricer_ULDetails (proprietà spostata in DetailsCTFModel!)
public double TassoInteresse { get; set; } // non usato, da togliere sia qui che in sp pricer_ULDetails (proprietà spostata in DetailsCTFModel!)
}
}

20
LibraryPricer/Models/HistPriceULModel.cs Normal file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace LibraryPricer.Models
{
public class HistPriceULModel
{
public int IDUnderlyings { get; set; }
public string Sottostante { get; set; }
public double Px_close { get; set; }
public DateTime Px_date { get; set; }
}
}

693
LibraryPricer/PayoffEngine.cs Normal file
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using System.Diagnostics.Metrics;
namespace LibraryPricer.Payoffs;
public interface IPayoffEvaluator
{
double Evaluate(double[][] path, PayoffContext context);
}
public class PayoffContext
{
public int DaysToMaturity;
public double r;
public double CapitalValue;
public double ProtMinVal;
public double PDI_Barrier;
public string PDI_Style;
public double CouponInMemory;
public double[] DaysToObsYFract;
public double[] CouponTriggers;
public double[] CouponValues;
public double[] AutocallTriggers;
public double[] AutocallValues;
public int[] MemoryFlags;
public string Caso;
public double PDI_Strike;
public double FattoreAirbag;
public double TriggerOneStar;
public double CAP;
public int[] DaysToObs;
public double[] Volatility;
public int Airbag;
public int Sigma;
public int Relief;
public int TwinWin;
public int OneStar;
public double Leva { get; set; }
public double NominalAmount { get; set; }
public double[] PricesUL { get; set; }
public bool EnableDebug { get; set; }
}
public static class PayoffFactory
{
public static IPayoffEvaluator GetEvaluator(string caso)
{
return caso switch
{
"Standard" => new PayoffStandard(),
"Airbag" => new PayoffAirbag(),
"Sigma" => new PayoffSigma(),
"Relief" => new PayoffRelief(),
"TwinWin" => new PayoffTwinWin(),
"OneStar" => new PayoffOneStar(),
"Airbag + OneStar" => new PayoffAirbagOneStar(),
"Sigma + OneStar" => new PayoffSigmaOneStar(),
"Relief + OneStar" => new PayoffReliefOneStar(),
"TwinWin + OneStar" => new PayoffTwinWinOneStar(),
_ => throw new ArgumentException($"Payoff '{caso}' non gestito."),
};
}
}
public class PayoffStandard : IPayoffEvaluator
{
public string LastLabel { get; private set; } = "";
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
double payoff = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall
if (min >= c.AutocallTriggers[k])
{
payoff = (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
LastLabel = $"Autocall ␦ Trigger={c.AutocallTriggers[k]:F2}, Min={min:F2} ␦ Payoff={payoff:F2}";
if (c.EnableDebug) Console.WriteLine("DEBUG " + LastLabel);
return payoff;
}
// Cedola
if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Scadenza
if (k == c.DaysToObs.Length - 1)
{
double minMat = path[c.DaysToMaturity].Min(); // Worst at maturity
double minTotal = path.SelectMany(p => p).Min(); // Worst overall
double barrierCheckValue = (c.PDI_Style == "European") ? minMat : minTotal;
if (barrierCheckValue >= c.PDI_Barrier)
{
payoff = (c.CapitalValue + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
LastLabel = $"RIMBORSO standard ␦ minMat={minMat:F4}, minTotal={minTotal:F4} ␦ Payoff={payoff:F2}";
}
else
{
payoff = Math.Max(c.ProtMinVal, minMat / 100.0) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
LastLabel = $"PERDITA standard ␦ minMat={minMat:F4}, minTotal={minTotal:F4} ␦ Payoff={payoff:F2}";
}
if (c.EnableDebug) Console.WriteLine("DEBUG " + LastLabel);
return payoff;
}
}
LastLabel = "UNKNOWN";
if (c.EnableDebug) Console.WriteLine("DEBUG " + LastLabel);
return 0;
}
}
public class PayoffAirbag : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
else if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
memory += c.MemoryFlags[k] * c.CouponValues[k];
if (k == c.DaysToObs.Length - 1)
{
double minMat = path[c.DaysToMaturity].Min();
double minTotal = path.SelectMany(p => p).Min();
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier)
|| (c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double payoff;
if (sopraBarriera)
payoff = c.CapitalValue + memory;
else
payoff = Math.Max(c.ProtMinVal, (minMat * c.FattoreAirbag / 100.0));
return payoff * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
}
}
return 0;
}
}
public class PayoffTwinWin : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
// Coupon pagato
else if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
// Coupon in memoria
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Ultima osservazione: valutazione payoff finale
if (k == c.DaysToObs.Length - 1)
{
double minMat = path[c.DaysToMaturity].Min(); // Minimo al tempo di maturità
double minTotal = path.SelectMany(p => p).Min(); // Minimo assoluto di tutto il path
bool sopraStrike = minMat >= c.PDI_Strike && c.AutocallTriggers[k] == 999;
// Barriera europea → minMat; americana → minTotal
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier) ||
(c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double payoff;
if (sopraStrike)
{
payoff = memory + Math.Min(minMat / 100.0, c.CAP);
}
else if (sopraBarriera)
{
// TwinWin attivo: payoff speculare inverso
payoff = (200.0 - minMat) * c.CapitalValue / 100.0 + memory;
}
else
{
// Sotto barriera → perdita parziale
payoff = Math.Max(c.ProtMinVal, minMat / 100.0) + memory;
}
return payoff * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
}
}
return 0;
}
}
public class PayoffOneStar : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall: rimborso anticipato
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
// Coupon trigger
if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Scadenza
if (k == c.DaysToObs.Length - 1)
{
double maxMat = path[c.DaysToObs[k]].Max(); // Best
double minMat = path[c.DaysToMaturity].Min(); // Worst alla scadenza
double minTotal = path.SelectMany(p => p).Min(); // Worst su tutto il periodo
bool sopraTrigger = maxMat >= c.TriggerOneStar;
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier)
|| (c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
// === Capitale ===
double capitale = sopraTrigger || sopraBarriera
? c.CapitalValue
: Math.Max(c.ProtMinVal, minMat / 100.0);
// === Cedole finali solo se supera la barriera cedola ===
double cedolaFinale = 0;
if (minMat >= c.CouponTriggers[k])
cedolaFinale = memory + c.CouponValues[k];
return capitale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ cedolaFinale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ coupons;
}
}
return 0;
}
}
public class PayoffSigma : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
else if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
memory += c.MemoryFlags[k] * c.CouponValues[k];
if (k == c.DaysToObs.Length - 1)
{
double minMat = path[c.DaysToMaturity].Min();
double minTotal = path.SelectMany(p => p).Min();
bool sopraBarriera =
(c.PDI_Style == "European" && minMat >= c.PDI_Barrier) ||
(c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double payoff;
if (sopraBarriera)
payoff = c.CapitalValue + memory;
else
payoff = Math.Max(c.ProtMinVal, (minMat + c.PDI_Strike - c.PDI_Barrier) / 100.0);
return payoff * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
}
}
return 0;
}
}
public class PayoffRelief : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
else if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
memory += c.MemoryFlags[k] * c.CouponValues[k];
if (k == c.DaysToObs.Length - 1)
{
double[] pricesAtMat = path[c.DaysToMaturity];
double secondMin = pricesAtMat.OrderBy(x => x).Skip(1).FirstOrDefault();
double minMat = pricesAtMat.Min();
double minTotal = path.SelectMany(p => p).Min();
bool sopraBarriera =
(c.PDI_Style == "European" && minMat >= c.PDI_Barrier) ||
(c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double payoff;
if (sopraBarriera)
payoff = c.CapitalValue + memory;
else
payoff = Math.Max(c.ProtMinVal, secondMin / 100.0);
return payoff * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
}
}
return 0;
}
}
public class PayoffAirbagOneStar : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall: uscita anticipata
if (min >= c.AutocallTriggers[k])
{
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
}
// Cedola
if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Scadenza
if (k == c.DaysToObs.Length - 1)
{
double maxMat = path[c.DaysToObs[k]].Max(); // Best performer finale
double minMat = path[c.DaysToMaturity].Min(); // Worst performer finale
double minTotal = path.SelectMany(p => p).Min(); // Worst performer sull'intero path
bool sopraTrigger = maxMat >= c.TriggerOneStar;
// Barriera osservata in stile europeo (minMat) o americano (minTotal)
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier)
|| (c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double capitale;
string debugLabel;
if (sopraTrigger || sopraBarriera)
{
capitale = c.CapitalValue;
debugLabel = sopraTrigger ? "ONESTAR" : "BARRIERA";
}
else
{
double perc = Math.Max(c.ProtMinVal, minMat / 100.0) * c.FattoreAirbag;
capitale = Math.Min(c.CapitalValue, perc);
debugLabel = "AIRBAG";
}
// Cedola finale solo se worst performer finale ≥ trigger cedola
double cedolaFinale = 0;
if (minMat >= c.CouponTriggers[k])
{
cedolaFinale = memory + c.CouponValues[k];
}
//Console.WriteLine($"DEBUG minMat={minMat:F4}, maxMat={maxMat:F4} ? {debugLabel}");
return capitale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ cedolaFinale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ coupons;
}
}
return 0;
}
}
public class PayoffSigmaOneStar : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
// Cedola
if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Scadenza
if (k == c.DaysToObs.Length - 1)
{
double maxMat = path[c.DaysToObs[k]].Max();
double minMat = path[c.DaysToMaturity].Min();
double minTotal = path.SelectMany(p => p).Min();
bool sopraTrigger = maxMat >= c.TriggerOneStar;
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier)
|| (c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double capitale;
if (sopraTrigger || sopraBarriera)
{
// Capitale protetto
capitale = c.CapitalValue;
}
else
{
// Sigma fallback logic
capitale = Math.Max(c.ProtMinVal, (minMat + c.PDI_Strike - c.PDI_Barrier) / 100.0);
}
// Cedola finale solo se worst sopra coupon trigger
double cedolaFinale = 0;
if (minMat >= c.CouponTriggers[k])
{
cedolaFinale = memory + c.CouponValues[k];
}
return capitale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ cedolaFinale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ coupons;
}
}
return 0;
}
}
public class PayoffReliefOneStar : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
// Coupon
if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Scadenza
if (k == c.DaysToObs.Length - 1)
{
double[] pricesAtMat = path[c.DaysToMaturity];
double secondMin = pricesAtMat.OrderBy(x => x).Skip(1).FirstOrDefault();
double minMat = pricesAtMat.Min();
double maxMat = path[c.DaysToObs[k]].Max();
double minTotal = path.SelectMany(p => p).Min();
bool sopraTrigger = maxMat >= c.TriggerOneStar;
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier)
|| (c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double capitale;
if (sopraTrigger || sopraBarriera)
{
capitale = c.CapitalValue;
}
else
{
capitale = Math.Max(c.ProtMinVal, secondMin / 100.0);
}
double cedolaFinale = 0;
if (minMat >= c.CouponTriggers[k])
{
cedolaFinale = memory + c.CouponValues[k];
}
return capitale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ cedolaFinale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ coupons;
}
}
return 0;
}
}
public class PayoffTwinWinOneStar : IPayoffEvaluator
{
public double Evaluate(double[][] path, PayoffContext c)
{
double memory = c.CouponInMemory;
double coupons = 0;
for (int k = 0; k < c.DaysToObs.Length; k++)
{
double min = path[c.DaysToObs[k]].Min();
// Autocall
if (min >= c.AutocallTriggers[k])
return (c.AutocallValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]) + coupons;
// Cedola
if (min >= c.CouponTriggers[k])
{
coupons += (c.CouponValues[k] + memory) * Math.Exp(-c.r * c.DaysToObsYFract[k]);
memory = 0;
}
else
{
memory += c.MemoryFlags[k] * c.CouponValues[k];
}
// Scadenza
if (k == c.DaysToObs.Length - 1)
{
double maxMat = path[c.DaysToObs[k]].Max(); // Best performer
double minMat = path[c.DaysToMaturity].Min(); // Worst at maturity
double minTotal = path.SelectMany(p => p).Min(); // Worst on full path
bool sopraStrike = minMat >= c.PDI_Strike;
bool sopraBarriera = (c.PDI_Style == "European" && minMat >= c.PDI_Barrier)
|| (c.PDI_Style == "American" && minTotal >= c.PDI_Barrier);
double capitale;
string debugLabel;
if (sopraStrike)
{
capitale = Math.Min(minMat / 100.0, c.CAP);
debugLabel = "PARTECIPAZIONE";
}
else if (sopraBarriera)
{
capitale = (2 * c.CapitalValue) - (minMat / 100.0);
debugLabel = "TWINWIN";
}
else
{
if (maxMat >= c.TriggerOneStar)
{
capitale = c.CapitalValue;
debugLabel = "ONESTAR";
}
else
{
capitale = Math.Max(c.ProtMinVal, minMat / 100.0);
debugLabel = "PERDITA";
}
}
//Console.WriteLine($"DEBUG minMat={minMat:F4}, maxMat={maxMat:F4} ? {debugLabel}");
double cedolaFinale = 0;
if (minMat >= c.CouponTriggers[k])
{
cedolaFinale = memory + c.CouponValues[k];
}
return capitale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ cedolaFinale * Math.Exp(-c.r * c.DaysToObsYFract[k])
+ coupons;
}
}
return 0;
}
}

15
LibraryPricer/PrezziSottostanti.cs Normal file
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@@ -0,0 +1,15 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace LibraryPricer
{
public class PrezziSottostanti
{
public int IDUnderlyings { get; set; }
public string Sottostante { get; set; }
public double[] PrezziClose { get; set; }
}
}

7
LibraryPricer/UnderlyingStats.cs Normal file
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@@ -0,0 +1,7 @@
public class UnderlyingStats
{
public string Nome { get; set; } // Nome del sottostante
public double[] Prezzi { get; set; } // Prezzi storici
public double[] LogReturns { get; set; } // Rendimenti logaritmici
public double Volatility { get; set; } // Volatilità annualizzata (std. dev. dei log-return * sqrt(T))
}

7
LibraryPricer/bin/Debug/net6.0/Accord.dll.config Normal file
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@@ -0,0 +1,7 @@
<!-- Mono library mapping mechanism -->
<configuration>
<dllmap dll="ntdll.dll">
<dllentry os="osx" dll="libc.dylib"/>
<dllentry os="linux,solaris,freebsd" dll="libc.so.6"/>
</dllmap>
</configuration>

639
LibraryPricer/bin/Debug/net6.0/LibraryPricer.deps.json Normal file
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@@ -0,0 +1,639 @@
{
"runtimeTarget": {
"name": ".NETCoreApp,Version=v6.0",
"signature": ""
},
"compilationOptions": {},
"targets": {
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},
"runtime": {
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}
},
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"fileVersion": "3.8.0.6134"
}
}
},
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},
"runtime": {
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"assemblyVersion": "3.8.0.0",
"fileVersion": "3.8.0.6134"
},
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LibraryPricer/bin/Lite/net6.0/LibraryPricer.pdb Normal file
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4
LibraryPricer/obj/Debug/net6.0/.NETCoreApp,Version=v6.0.AssemblyAttributes.cs Normal file
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// <autogenerated />
using System;
using System.Reflection;
[assembly: global::System.Runtime.Versioning.TargetFrameworkAttribute(".NETCoreApp,Version=v6.0", FrameworkDisplayName = ".NET 6.0")]

22
LibraryPricer/obj/Debug/net6.0/LibraryPricer.AssemblyInfo.cs Normal file
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@@ -0,0 +1,22 @@
//------------------------------------------------------------------------------
// <auto-generated>
// This code was generated by a tool.
//
// Changes to this file may cause incorrect behavior and will be lost if
// the code is regenerated.
// </auto-generated>
//------------------------------------------------------------------------------
using System;
using System.Reflection;
[assembly: System.Reflection.AssemblyCompanyAttribute("LibraryPricer")]
[assembly: System.Reflection.AssemblyConfigurationAttribute("Debug")]
[assembly: System.Reflection.AssemblyFileVersionAttribute("1.0.0.0")]
[assembly: System.Reflection.AssemblyInformationalVersionAttribute("1.0.0")]
[assembly: System.Reflection.AssemblyProductAttribute("LibraryPricer")]
[assembly: System.Reflection.AssemblyTitleAttribute("LibraryPricer")]
[assembly: System.Reflection.AssemblyVersionAttribute("1.0.0.0")]
// Generated by the MSBuild WriteCodeFragment class.

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LibraryPricer/obj/Debug/net6.0/LibraryPricer.AssemblyInfoInputs.cache Normal file
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LibraryPricer/obj/Debug/net6.0/LibraryPricer.GeneratedMSBuildEditorConfig.editorconfig Normal file
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is_global = true
build_property.TargetFramework = net6.0
build_property.TargetPlatformMinVersion =
build_property.UsingMicrosoftNETSdkWeb =
build_property.ProjectTypeGuids =
build_property.InvariantGlobalization =
build_property.PlatformNeutralAssembly =
build_property.EnforceExtendedAnalyzerRules =
build_property._SupportedPlatformList = Linux,macOS,Windows
build_property.RootNamespace = LibraryPricer
build_property.ProjectDir = C:\Users\Admin\Sviluppo\PricerAPI\LibraryPricer\
build_property.EnableComHosting =
build_property.EnableGeneratedComInterfaceComImportInterop =
build_property.EffectiveAnalysisLevelStyle = 6.0
build_property.EnableCodeStyleSeverity =

8
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// <auto-generated/>
global using global::System;
global using global::System.Collections.Generic;
global using global::System.IO;
global using global::System.Linq;
global using global::System.Net.Http;
global using global::System.Threading;
global using global::System.Threading.Tasks;

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C:\Users\Admin\Sviluppo\PricerAPI\LibraryPricer\bin\Debug\net6.0\Accord.dll.config
C:\Users\Admin\Sviluppo\PricerAPI\LibraryPricer\bin\Debug\net6.0\LibraryPricer.deps.json
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{
"format": 1,
"restore": {
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},
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"outputPath": "C:\\Users\\Admin\\Sviluppo\\PricerAPI\\LibraryPricer\\obj\\",
"projectStyle": "PackageReference",
"fallbackFolders": [
"C:\\Program Files (x86)\\Microsoft Visual Studio\\Shared\\NuGetPackages"
],
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"C:\\Users\\Admin\\AppData\\Roaming\\NuGet\\NuGet.Config",
"C:\\Program Files (x86)\\NuGet\\Config\\Microsoft.VisualStudio.FallbackLocation.config",
"C:\\Program Files (x86)\\NuGet\\Config\\Microsoft.VisualStudio.Offline.config"
],
"originalTargetFrameworks": [
"net6.0"
],
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"C:\\Program Files (x86)\\Microsoft SDKs\\NuGetPackages\\": {},
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},
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}
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]
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"auditMode": "direct"
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},
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},
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}
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"imports": [
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],
"assetTargetFallback": true,
"warn": true,
"frameworkReferences": {
"Microsoft.NETCore.App": {
"privateAssets": "all"
}
},
"runtimeIdentifierGraphPath": "C:\\Program Files\\dotnet\\sdk\\9.0.307\\RuntimeIdentifierGraph.json"
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}
}

16
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<?xml version="1.0" encoding="utf-8" standalone="no"?>
<Project ToolsVersion="14.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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<RestoreSuccess Condition=" '$(RestoreSuccess)' == '' ">True</RestoreSuccess>
<RestoreTool Condition=" '$(RestoreTool)' == '' ">NuGet</RestoreTool>
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<NuGetPackageFolders Condition=" '$(NuGetPackageFolders)' == '' ">C:\Users\Admin\.nuget\packages\;C:\Program Files (x86)\Microsoft Visual Studio\Shared\NuGetPackages</NuGetPackageFolders>
<NuGetProjectStyle Condition=" '$(NuGetProjectStyle)' == '' ">PackageReference</NuGetProjectStyle>
<NuGetToolVersion Condition=" '$(NuGetToolVersion)' == '' ">6.14.0</NuGetToolVersion>
</PropertyGroup>
<ItemGroup Condition=" '$(ExcludeRestorePackageImports)' != 'true' ">
<SourceRoot Include="C:\Users\Admin\.nuget\packages\" />
<SourceRoot Include="C:\Program Files (x86)\Microsoft Visual Studio\Shared\NuGetPackages\" />
</ItemGroup>
</Project>

7
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<?xml version="1.0" encoding="utf-8" standalone="no"?>
<Project ToolsVersion="14.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
<ImportGroup Condition=" '$(ExcludeRestorePackageImports)' != 'true' ">
<Import Project="$(NuGetPackageRoot)system.text.json\7.0.0\buildTransitive\net6.0\System.Text.Json.targets" Condition="Exists('$(NuGetPackageRoot)system.text.json\7.0.0\buildTransitive\net6.0\System.Text.Json.targets')" />
<Import Project="$(NuGetPackageRoot)accord\3.8.0\build\Accord.targets" Condition="Exists('$(NuGetPackageRoot)accord\3.8.0\build\Accord.targets')" />
</ImportGroup>
</Project>

4
LibraryPricer/obj/Lite/net6.0/.NETCoreApp,Version=v6.0.AssemblyAttributes.cs Normal file
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// <autogenerated />
using System;
using System.Reflection;
[assembly: global::System.Runtime.Versioning.TargetFrameworkAttribute(".NETCoreApp,Version=v6.0", FrameworkDisplayName = ".NET 6.0")]

22
LibraryPricer/obj/Lite/net6.0/LibraryPricer.AssemblyInfo.cs Normal file
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//------------------------------------------------------------------------------
// <auto-generated>
// This code was generated by a tool.
//
// Changes to this file may cause incorrect behavior and will be lost if
// the code is regenerated.
// </auto-generated>
//------------------------------------------------------------------------------
using System;
using System.Reflection;
[assembly: System.Reflection.AssemblyCompanyAttribute("LibraryPricer")]
[assembly: System.Reflection.AssemblyConfigurationAttribute("Lite")]
[assembly: System.Reflection.AssemblyFileVersionAttribute("1.0.0.0")]
[assembly: System.Reflection.AssemblyInformationalVersionAttribute("1.0.0")]
[assembly: System.Reflection.AssemblyProductAttribute("LibraryPricer")]
[assembly: System.Reflection.AssemblyTitleAttribute("LibraryPricer")]
[assembly: System.Reflection.AssemblyVersionAttribute("1.0.0.0")]
// Generato dalla classe WriteCodeFragment di MSBuild.

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LibraryPricer/obj/Lite/net6.0/LibraryPricer.GeneratedMSBuildEditorConfig.editorconfig Normal file
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is_global = true
build_property.TargetFramework = net6.0
build_property.TargetPlatformMinVersion =
build_property.UsingMicrosoftNETSdkWeb =
build_property.ProjectTypeGuids =
build_property.InvariantGlobalization =
build_property.PlatformNeutralAssembly =
build_property.EnforceExtendedAnalyzerRules =
build_property._SupportedPlatformList = Linux,macOS,Windows
build_property.RootNamespace = LibraryPricer
build_property.ProjectDir = C:\Users\Admin\Sviluppo\PricerAPI\LibraryPricer\
build_property.EnableComHosting =
build_property.EnableGeneratedComInterfaceComImportInterop =
build_property.EffectiveAnalysisLevelStyle = 6.0
build_property.EnableCodeStyleSeverity =

8
LibraryPricer/obj/Lite/net6.0/LibraryPricer.GlobalUsings.g.cs Normal file
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// <auto-generated/>
global using global::System;
global using global::System.Collections.Generic;
global using global::System.IO;
global using global::System.Linq;
global using global::System.Net.Http;
global using global::System.Threading;
global using global::System.Threading.Tasks;

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