public IEnumerable <ISingleAssetOption> ReadCsv(string filename)
{
// open the file "data.csv" which is a CSV file with headers
using (var inputData =
new CsvReader(new StreamReader(filename), true))
{
var fieldCount = inputData.FieldCount;
string[] formats = { "MM/dd/yyyy" };
ISingleAssetOption returnValue;
var headers = inputData.GetFieldHeaders();
while (inputData.ReadNextRecord())
{
try
{
returnValue = new SingleAssetOption
{
Underlying = inputData[1],
Maturity = DateTime.ParseExact(inputData[7], formats,
new CultureInfo("US-us"), DateTimeStyles.AdjustToUniversal),
Strike = double.Parse(inputData[8], new CultureInfo("US-us")),
OptionType = (eOptionType)Enum.Parse(typeof(eOptionType),
inputData[9]),
Nominal = 10.0 * 100.0,
StockPrice = double.Parse(inputData[16], new CultureInfo("US-us")),
Premium = (double.Parse(inputData[11], new CultureInfo("US-us")) +
double.Parse(inputData[12], new CultureInfo("US-us"))) / 2.0,
ValuationDate = DateTime.ParseExact(inputData[4], "yyyy-MM-dd", new CultureInfo("US-us"),
DateTimeStyles.AdjustToUniversal)
};
}
catch (Exception)
{
//Trace.WriteLine(inputData[1]);
returnValue = new SingleAssetOption
{
ValuationDate = new DateTime(1900, 1, 1),
Maturity = new DateTime(1901, 1, 1),
OptionType = eOptionType.C
};
}
yield return(returnValue);
}
}
}
private void AddJointOption(
Dictionary <DateTime, Dictionary <DateTime, Dictionary <double, ISingleAssetOption> > > referenceDictionary,
ISingleAssetOption referenceOption, ref List <ISingleAssetOption> listOfJointOption)
{
if (!referenceDictionary.ContainsKey(referenceOption.ValuationDate) ||
!referenceDictionary[referenceOption.ValuationDate].ContainsKey(referenceOption.Maturity) ||
!referenceDictionary[referenceOption.ValuationDate][referenceOption.Maturity]
.ContainsKey(referenceOption.Strike))
{
return;
}
SingleAssetOption optionDiffPremium;
if (referenceOption.OptionType == eOptionType.C)
{
optionDiffPremium = new SingleAssetOption
{
StockPrice = referenceOption.StockPrice,
Currency = referenceOption.Currency,
DiscountFactor = referenceOption.DiscountFactor,
DividendDiscountFactor = referenceOption.DividendDiscountFactor,
Maturity = referenceOption.Maturity,
Premium = referenceOption.Premium -
referenceDictionary[referenceOption.ValuationDate][referenceOption.Maturity][
referenceOption.Strike].Premium,
Strike = referenceOption.Strike
}
}
;
else
{
optionDiffPremium = new SingleAssetOption
{
StockPrice = referenceOption.StockPrice,
Currency = referenceOption.Currency,
DiscountFactor = referenceOption.DiscountFactor,
DividendDiscountFactor = referenceOption.DividendDiscountFactor,
Maturity = referenceOption.Maturity,
Premium = referenceDictionary[referenceOption.ValuationDate][referenceOption.Maturity][
referenceOption.Strike].Premium - referenceOption.Premium,
Strike = referenceOption.Strike
}
};
listOfJointOption.Add(optionDiffPremium);
}
public ISingleAssetOption LoadOptionDataFromCsvFileFast(string inputLine)
{
var inputData = inputLine.Split(',');
string[] formats = { "MM/dd/yyyy" };
ISingleAssetOption returnValue;
try
{
returnValue = new SingleAssetOption
{
Underlying = inputData[1],
Maturity = DateTime.ParseExact(inputData[7], formats,
new CultureInfo("US-us"), DateTimeStyles.AdjustToUniversal),
Strike = double.Parse(inputData[8], new CultureInfo("US-us")),
OptionType = (eOptionType)Enum.Parse(typeof(eOptionType),
inputData[9]),
Nominal = 10.0 * 100.0,
StockPrice = double.Parse(inputData[16], new CultureInfo("US-us")),
Premium = (double.Parse(inputData[11], new CultureInfo("US-us")) +
double.Parse(inputData[12], new CultureInfo("US-us"))) / 2.0,
ValuationDate = DateTime.ParseExact(inputData[4], "yyyy-MM-dd", new CultureInfo("US-us"),
DateTimeStyles.AdjustToUniversal)
};
}
catch (Exception)
{
//Trace.WriteLine(inputLine);
returnValue = new SingleAssetOption
{
ValuationDate = new DateTime(1900, 1, 1),
Maturity = new DateTime(1901, 1, 1),
OptionType = eOptionType.C
};
}
return(returnValue);
}
/// <summary>
/// Loads the option data.
/// </summary>
/// <param name="inputLine">The input line.</param>
/// <param name="columnMapper">The column mapper.</param>
/// <param name="seperator">The seperator.</param>
/// <returns></returns>
public ISingleAssetOption LoadOptionDataFromCsvFile(string inputLine,
Dictionary <string, int> columnMapper = null,
char seperator = ',')
{
if (columnMapper == null)
{
columnMapper = new Dictionary <string, int>
{
{ "Underlying", 1 },
{ "ValuationDate", 14 },
{ "MaturityDate", 4 },
{ "Strike", 5 },
{ "OptionType", 6 },
{ "PremiumBid", 9 },
{ "PremiumAsk", 8 },
{ "StockPrice", 2 }
}
}
;
var inputData = inputLine.Split(seperator);
string[] formats = { "MM/dd/yyyy" };
var inputSingleAssetOption = new SingleAssetOption();
inputSingleAssetOption.ValuationDate = new DateTime(1900, 1, 1);
inputSingleAssetOption.Maturity = new DateTime(1901, 1, 1);
inputSingleAssetOption.OptionType = eOptionType.C;
try
{
inputSingleAssetOption = new SingleAssetOption
{
Underlying = inputData[columnMapper["Underlying"]],
Maturity = DateTime.ParseExact(inputData[columnMapper["MaturityDate"]], formats,
new CultureInfo("US-us"), DateTimeStyles.AdjustToUniversal),
Strike = double.Parse(inputData[columnMapper["Strike"]], new CultureInfo("US-us")),
//Currency =
// (eCurrency) Enum.Parse(typeof(eCurrency), inputLine[columnMapper["Currency"]].ToString()),
OptionType = (eOptionType)Enum.Parse(typeof(eOptionType),
inputData[columnMapper["OptionType"]]),
Nominal = 10.0 * 100.0,
StockPrice = double.Parse(inputData[columnMapper["StockPrice"]], new CultureInfo("US-us"))
};
if (columnMapper.ContainsKey("ImpliedVolatility"))
{
inputSingleAssetOption.ImpliedVolatility =
double.Parse(inputData[columnMapper["ImpliedVolatility"]]);
}
if (columnMapper.ContainsKey("PremiumAsk") && columnMapper.ContainsKey("PremiumBid"))
{
inputSingleAssetOption.Premium =
(double.Parse(inputData[columnMapper["PremiumAsk"]], new CultureInfo("US-us")) +
double.Parse(inputData[columnMapper["PremiumAsk"]], new CultureInfo("US-us"))) / 2.0;
}
if (columnMapper.ContainsKey("ValuationTime"))
{
inputSingleAssetOption.ValuationDate =
DateTime.Parse(inputData[columnMapper["ValuationDate"]] + " " +
inputData[columnMapper["ValuationTime"]]);
}
inputSingleAssetOption.ValuationDate =
DateTime.Parse(inputData[columnMapper["ValuationDate"]]);
}
catch (Exception)
{
//Trace.WriteLine(inputLine);
}
return(inputSingleAssetOption);
}
