public bool TryGetRiskFreeRates(out RiskFreeRates riskFreeRate, out string message)
{
USTreasuryApiCaller.GetDailyTreasuryYieldCurveRateData(DateTime.Now.Year, DateTime.Now.Month, out string xml, out message);
XmlDocument doc = new XmlDocument();
doc.LoadXml(xml);
XmlElement root = doc.DocumentElement;
XmlNamespaceManager nsmgr = new XmlNamespaceManager(doc.NameTable);
nsmgr.AddNamespace("xx", "http://www.w3.org/2005/Atom");
nsmgr.AddNamespace("d", "http://schemas.microsoft.com/ado/2007/08/dataservices");
nsmgr.AddNamespace("m", "http://schemas.microsoft.com/ado/2007/08/dataservices/metadata");
//https://stackoverflow.com/questions/3786443/xpath-to-get-the-element-with-the-highest-id
var properties = root.SelectSingleNode("/xx:feed/xx:entry/xx:content/m:properties[not(/xx:feed/xx:entry/xx:content/m:properties/d:Id > d:Id)]", nsmgr);
var enus = new CultureInfo("en-US");
riskFreeRate = new RiskFreeRates();
riskFreeRate.Date = DateTime.ParseExact(properties.SelectSingleNode("d:NEW_DATE", nsmgr).InnerText, "s", enus);
riskFreeRate.OneMonth = double.Parse(properties.SelectSingleNode("d:BC_1MONTH", nsmgr).InnerText, enus) / 100;
riskFreeRate.TwoMonths = double.Parse(properties.SelectSingleNode("d:BC_3MONTH", nsmgr).InnerText, enus) / 100;
riskFreeRate.ThreeMonths = double.Parse(properties.SelectSingleNode("d:BC_3MONTH", nsmgr).InnerText, enus) / 100;
riskFreeRate.SixMonths = double.Parse(properties.SelectSingleNode("d:BC_6MONTH", nsmgr).InnerText, enus) / 100;
riskFreeRate.OneYear = double.Parse(properties.SelectSingleNode("d:BC_1YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.TwoYears = double.Parse(properties.SelectSingleNode("d:BC_2YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.ThreeYears = double.Parse(properties.SelectSingleNode("d:BC_3YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.FiveYears = double.Parse(properties.SelectSingleNode("d:BC_5YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.SevenYears = double.Parse(properties.SelectSingleNode("d:BC_7YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.TenYears = double.Parse(properties.SelectSingleNode("d:BC_10YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.TwentyYears = double.Parse(properties.SelectSingleNode("d:BC_20YEAR", nsmgr).InnerText, enus) / 100;
riskFreeRate.ThirtyYears = double.Parse(properties.SelectSingleNode("d:BC_30YEAR", nsmgr).InnerText, enus) / 100;
return(true);
}
public bool TryGetRiskFreeRates(out RiskFreeRates riskFreeRate, out string message)
{
return(riskFreeRatesDataSource.TryGetRiskFreeRates(out riskFreeRate, out message));
}
public static void CalculateTheoricalValue(PriceList prices, OptionsChain optionChain, RiskFreeRates riskFreeRates, double lastPrice, double volatility)
{
optionChain.HistoricalVolatility = volatility;
optionChain.Prices = prices;
optionChain.RiskFreeRates = riskFreeRates;
foreach (var options in optionChain)
{
foreach (Option option in options.Value)
{
if (option.IsCall)
{
option.TheoricalValue = CalculateCall(lastPrice, volatility, option, riskFreeRates.TwoYears);
}
else if (option.IsPut)
{
option.TheoricalValue = CalculatePut(lastPrice, volatility, option, riskFreeRates.TwoYears);
}
else
{
//Exotic Option
//https://www.investopedia.com/terms/e/exoticoption.asp
}
}
}
}
/// <summary>
/// It uses the Black-Scholes formula to calculate the theorical value of an european option.
///
/// See:
/// Book "Options, futures and other derivatives" from John Hull, 8th edition
/// Chapter 14 "The Black-Scholes-Merton model" (page 299)
/// </summary>
/// <param name="stock">Underlying asset</param>
/// <param name="prices">Daily prices of the underlying asset for the last year</param>
/// <param name="optionChain">Current options chain existing in the market</param>
/// <param name="riskFreeRate">
/// When the Black-Scholes formula is used in practice the interest rate r (risk free rate)
/// is set equal to the zero-coupon risk-free interest rate for a maturity T
/// </param>
public static void CalculateTheoricalValue(PriceList prices, OptionsChain optionChain, RiskFreeRates riskFreeRates, double lastPrice)
{
double volatility = CalculateVolatility(prices);
CalculateTheoricalValue(prices, optionChain, riskFreeRates, lastPrice, volatility);
}
