private static void FutureOptionPrice(DataForFutureOptionPrices data, double[] callSigma, double[] putSigma, double spotPrice,
double interestRate, out double[] callPrice, out double[] putPrice)
{
int arrayLength = data.DaysToExpiry.Length;
int priceArrysLength = data.DaysToExpiry[arrayLength - 1];
callPrice = new double[priceArrysLength];
putPrice = new double[priceArrysLength];
for (int i = 0; i < arrayLength; i++)
{
int de = data.DaysToExpiry[i];
callPrice[de - 1] = new BlackScholesModel(de, spotPrice, interestRate, spotPrice, 0, 0, 0, LegType.Call).GetEuroPrice(callSigma[i]);
putPrice[de - 1] = new BlackScholesModel(de, spotPrice, interestRate, spotPrice, 0, 0, 0, LegType.Put).GetEuroPrice(putSigma[i]);
}
int firstExpiry = data.DaysToExpiry[0];
for (int i = 0; i < firstExpiry - 1; i++)
{
callPrice[i] = (i + 1) * callPrice[firstExpiry - 1] / firstExpiry;
putPrice[i] = (i + 1) * putPrice[firstExpiry - 1] / firstExpiry;
}
for (int i = 0; i < arrayLength - 1; i++)
{
int currExp = data.DaysToExpiry[i];
int nextExp = data.DaysToExpiry[i + 1];
for (int j = currExp; j < nextExp - 1; j++)
{
callPrice[j] = DoLinearInterpolation(currExp, nextExp, callPrice[currExp - 1], callPrice[nextExp - 1], j + 1);
putPrice[j] = DoLinearInterpolation(currExp, nextExp, putPrice[currExp - 1], putPrice[nextExp - 1], j + 1);
}
}
}
private static void StrikeInterpolation(DataForFutureOptionPrices data, double spotPrice, out double[] callSigma, out double[] putSigma)
{
int arrayLength = data.DaysToExpiry.Length;
callSigma = new double[arrayLength];
putSigma = new double[arrayLength];
for (int i = 0; i < arrayLength; i++)
{
callSigma[i] = DoLinearInterpolation(data.Strike1[i], data.Strike2[i], data.CallSigma1[i], data.CallSigma2[i], spotPrice);
putSigma[i] = DoLinearInterpolation(data.Strike1[i], data.Strike2[i], data.PutSigma1[i], data.PutSigma2[i], spotPrice);
}
}
public static FutureOptionPrices GetFutureOptionPrices(double spotPrice, double interestRate, DataForFutureOptionPrices data)
{
double[] callSigma, putSigma;
StrikeInterpolation(data, spotPrice, out callSigma, out putSigma);
double[] callPrice, putPrice;
FutureOptionPrice(data, callSigma, putSigma, spotPrice, interestRate, out callPrice, out putPrice);
FutureOptionPrices result = new FutureOptionPrices();
result.CurrentPlusCall = callPrice.Select(d => spotPrice + d).ToArray();
result.CurrentMinusPut = putPrice.Select(d => spotPrice - d).ToArray();
return(result);
}
