PortFolio.cpp

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#include "./PortFolio.h"

Portfolio::Portfolio(char* name,Currency currency)
{
        char* _name=new char[MAX_SIZE_NAME];
        _name=name;
        _currency=currency;
        _nbRainbowOptions=0;
        _nbVanSwaps=0;
        _nbVarSwaps=0;
        _nbBonds=0;
        _nbAssets=0;
        _optionStrategy=OptionStrategy();
        _rainbowOptions.resize(MAX_SIZE);
        _vanSwaps.resize(MAX_SIZE);
        _varSwaps.resize(MAX_SIZE);
        _bonds.resize(MAX_SIZE);
        _assets.resize(MAX_SIZE);
}

Portfolio::~Portfolio(void)
{
}

char* Portfolio::getName() {
        return _name;
}

Currency Portfolio::getCurrency() {
        return _currency;
}

char* Portfolio::getCurrencyAsString() {
        char* result=new char[MAX_SIZE_NAME];
        switch (_currency) {
                case (USD):
                        sprintf(result,"USD");
                        break;
                case (EUR):
                        sprintf(result,"EUR");
                        break;
                case (CAD):
                        sprintf(result,"CAD");
                        break;
                default:
                        break;
        }
        return result;
}

void Portfolio::addOptionStrategy(OptionStrategy* optionStrategy) {
        _optionStrategy=*optionStrategy;
}

void Portfolio::addRainbowOption(RainbowOption* rainbowOption, Real quantity) {
        _rainbowOptions[_nbRainbowOptions]=rainbowOption;
        _quantityRainbowOptions[_nbRainbowOptions]=quantity;
        _nbRainbowOptions++;
}

void Portfolio::addExoticOption(Exotics* exoticOption, Real quantity) {
        _exoticsOptions[_nbExoticsOptions]=exoticOption;
        _quantityExoticsOptions[_nbExoticsOptions]=quantity;
        _nbExoticsOptions++;
}

void Portfolio::addVanillaSwap(VanillaSwap* vanillaSwap, Real quantity) {
        _vanSwaps[_nbVanSwaps]=vanillaSwap;
        _quantityVanSwaps[_nbVanSwaps]=quantity;
        _nbVanSwaps++;
}

void Portfolio::addVarianceSwap(VarianceSwap* varSwap, Real quantity) {
        _varSwaps[_nbVarSwaps]=varSwap;
        _quantityVarSwaps[_nbVarSwaps]=quantity;
        _nbVarSwaps++;
}

void Portfolio::addBond(bond* oneBond, Real quantity) {
        _bonds[_nbBonds]=oneBond;
        _quantityBonds[_nbBonds]=quantity;
        _nbBonds++;
}

void Portfolio::addAsset(asset* oneAsset, Real quantity) {
        _assets[_nbAssets]=oneAsset;
        _quantityAssets[_nbAssets]=quantity;
        _nbAssets++;
}

Real Portfolio::getPrice() {
        Real result=0.;
        result+=_optionStrategy.returnPrice();
        for (Integer i=0;i<(Integer)_nbRainbowOptions;i++) {
                result+=_rainbowOptions[i]->getPrice();
        }
        for (Integer i=0;i<(Integer)_nbExoticsOptions;i++) {
                result+=_exoticsOptions[i]->getPrice();
        }
        for (Integer i=0;i<(Integer)_nbVarSwaps;i++) {
                result+=_varSwaps[i]->getPrice();
        }
        for (Integer i=0;i<(Integer)_nbVanSwaps;i++) {
                result+=_vanSwaps[i]->returnPrice();
        }
        for (Integer i=0;i<(Integer)_nbBonds;i++) {
                result+=_bonds[i]->fairvalue(Date());
        }
        for (Integer i=0;i<(Integer)_nbAssets;i++) {
                result+=_assets[i]->getPrice();
        }
        return result;
}

Real Portfolio::returnSensibilityToRate() {
        Real result=0;
        result+=_optionStrategy.getGlobalRho();
        for (Integer i=0;i<(Integer)_nbRainbowOptions;i++) {
                result+=_rainbowOptions[i]->getRho();
        }
        for (Integer i=0;i<(Integer)_nbExoticsOptions;i++) {
                result+=_exoticsOptions[i]->getRho();
        }
        for (Integer i=0;i<(Integer)_nbVanSwaps;i++) {
                result+=_vanSwaps[i]->getRho();
        }
        for (Integer i=0;i<(Integer)_nbVarSwaps;i++) {
                result+=_varSwaps[i]->getRho();
        }
        for (Integer i=0;i<(Integer)_nbBonds;i++) {
                result+=_bonds[i]->duration(Date());
        }
        for (Integer i=0;i<(Integer)_nbAssets;i++) {
                result+=_assets[i]->getRho(1.); //TOBECHANGED******************
        }
        return result;
}

Real Portfolio::returnSensibilityToVol() {
        Real result=0;
        result+=_optionStrategy.getGlobalVega();
        for (Integer i=0;i<(Integer)_nbRainbowOptions;i++) {
                result+=_rainbowOptions[i]->getVega();
        }
        for (Integer i=0;i<(Integer)_nbExoticsOptions;i++) {
                result+=_exoticsOptions[i]->getVega();
        }
        for (Integer i=0;i<(Integer)_nbVarSwaps;i++) {
                result+=_varSwaps[i]->getVega();
        }
        return result;
}

Real Portfolio::returnSensibilityToTime() {
        Real result=0;
        result+=_optionStrategy.getGlobalTheta();
        for (Integer i=0;i<(Integer)_nbRainbowOptions;i++) {
                result+=_rainbowOptions[i]->getTheta();
        }
        for (Integer i=0;i<(Integer)_nbExoticsOptions;i++) {
                result+=_exoticsOptions[i]->getTheta();
        }
        for (Integer i=0;i<(Integer)_nbVanSwaps;i++) {
                result+=_vanSwaps[i]->getTheta();
        }
        for (Integer i=0;i<(Integer)_nbVarSwaps;i++) {
                result+=_varSwaps[i]->getTheta();
        }
        return result;
}

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