private void LoadData()
{
string riskFreeRatesFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols3\cdi_20161124_154509.csv";
this.RiskFreeRates = this.GetRiskFreeRates(riskFreeRatesFile);
string underlyingMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols3\underlying_20161124_154509.csv";
this.UnderlyingOrderBook = this.GetUnderlyingMarketData(underlyingMarketDataFile);
string optionsMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols3\options_20161124_154509.csv";
this.OptionsMarketData = this.GetOptionsMarketData(optionsMarketDataFile);
this.VolSurface = this.GetVolSurface(this.RiskFreeRates, this.UnderlyingOrderBook, this.OptionsMarketData);
}
static void Main(string[] args)
{
Test test = new Test();
test.SimpleImpliedVolatilityTest();
double riskFreeRate = 0.132343187;
string ammOptionsFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols\AMMOptions2016-04-04_56771925.csv";
string underlyingsMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols\bbas3_underlying_book.csv";
string optionsMarketDataFile = "";
double daysToMaturity = 0;
double volGuess = 0.00;
string outputFile = "";
VolSurface volSurface = new VolSurface();
if (true)
{
optionsMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols\bbas3_april_book.csv";
daysToMaturity = 11;
volGuess = 0.70;
outputFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols2\bbas3_april_vols.csv";
//test.CalculateImpliedVolatilityToFile(ammOptionsFile, underlyingsMarketDataFile, optionsMarketDataFile, outputFile, daysToMaturity, riskFreeRate, volGuess);
test.CalculateImpliedVolatility(ammOptionsFile, underlyingsMarketDataFile, optionsMarketDataFile, daysToMaturity, riskFreeRate, ref volSurface);
}
if (true)
{
optionsMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols\bbas3_may_book.csv";
daysToMaturity = 30;
volGuess = 0.70;
outputFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols2\bbas3_may_vols.csv";
//test.CalculateImpliedVolatilityToFile(ammOptionsFile, underlyingsMarketDataFile, optionsMarketDataFile, outputFile, daysToMaturity, riskFreeRate, volGuess);
test.CalculateImpliedVolatility(ammOptionsFile, underlyingsMarketDataFile, optionsMarketDataFile, daysToMaturity, riskFreeRate, ref volSurface);
}
if (true)
{
optionsMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols\bbas3_june_book.csv";
daysToMaturity = 54;
volGuess = 0.70;
outputFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols2\bbas3_june_vols.csv";
//test.CalculateImpliedVolatilityToFile(ammOptionsFile, underlyingsMarketDataFile, optionsMarketDataFile, outputFile, daysToMaturity, riskFreeRate, volGuess);
test.CalculateImpliedVolatility(ammOptionsFile, underlyingsMarketDataFile, optionsMarketDataFile, daysToMaturity, riskFreeRate, ref volSurface);
}
return;
}
private VolSurface GetVolSurface(SortedDictionary <DateTime, RiskFreeRate> riskFreeRates, OrderBook underlyingOrderBook, List <OptionMarketData> optionsMarketData)
{
double businessDaysInTheYear = 252;
VolSurface volSurface = new VolSurface();
double spot = underlyingOrderBook.GetPriceMid();
foreach (OptionMarketData option in optionsMarketData)
{
RiskFreeRate riskFreeRate = null;
riskFreeRates.TryGetValue(option.OptionInfo.ExpiryDate, out riskFreeRate);
double timeToMaturity = riskFreeRate.BusinessDays / businessDaysInTheYear;
double bid = (option.OrderBook.Bid != null) ? option.OrderBook.Bid.Value : 0.00;
double bidSize = (option.OrderBook.BidSize != null) ? option.OrderBook.BidSize.Value : 0.00;;
double ask = (option.OrderBook.Ask != null) ? option.OrderBook.Ask.Value : 0.00;;
double askSize = (option.OrderBook.AskSize != null) ? option.OrderBook.AskSize.Value : 0.00;;
BlackScholes bs = new BlackScholes();
double bidImpliedVolatility = 0.00;
double askImpliedVolatility = 0.00;
if (bid > 0.00 && bidSize > 0.00)
{
bidImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, bid, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
}
if (ask > 0.00 && askSize > 0.00)
{
askImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, ask, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
}
if (!(bidImpliedVolatility > 0.0000))
{
bidImpliedVolatility = 0.00;
}
if (!(askImpliedVolatility > 0.0000))
{
askImpliedVolatility = 0.00;
}
VolQuote volQuote = new VolQuote(bidSize, askSize, bidImpliedVolatility, askImpliedVolatility);
volSurface.Update(option.OptionInfo.ExpiryDate, option.OptionInfo.Strike, option.OptionInfo.Type, volQuote);
}
return(volSurface);
}
public override VolSurface RequestVolSurface(Product prod, int tenorType, int surfaceType,
DateTime marketDate, DateTime fromDate, DateTime toDate)
{
VolSurface myVolSurface = new VolSurface(prod, SOURCE_TYPE.RWE_DS, tenorType, surfaceType, marketDate);
object[,] vol_raw = RWE_API.MarketDataLoader_Wrapper.GetVolGrid("iVol_NG_" + prod.Name + "_P_" + (tenorType == TENOR_TYPE.DAY? "D" : "M"),
marketDate, fromDate, toDate);
// convert object[,] to SortedDict
DateTime delDate;
SortedDictionary<DateTime, SortedDictionary<double, double>> vol = new SortedDictionary<DateTime, SortedDictionary<double, double>>();
for (int i = 1; i < vol_raw.GetLength(0); i++)
{
delDate = (DateTime)vol_raw[i,0];
vol.Add(delDate, new SortedDictionary<double,double>());
for (int j = 1; j < vol_raw.GetLength(1); j++)
{
vol[delDate].Add((double)vol_raw[0, j], (double)vol_raw[i, j]);
}
}
myVolSurface.SetSurface(vol);
return myVolSurface;
}
public void CalculateImpliedVolatility(string ammOptionsFile, string underlyingsMarketDataFile, string optionsMarketDataFile, double daysToMaturity, double riskFreeRate, ref VolSurface volSurface)
{
double workingDaysInTheYear = 252;
double timeToMaturity = daysToMaturity / workingDaysInTheYear;
Dictionary <string, OptionInfo> allAvailableOptions = this.ListAllAvailableOptions(ammOptionsFile);
Dictionary <string, OrderBook> underlyingsMarketData = this.GetMarketData(underlyingsMarketDataFile);
Dictionary <string, OrderBook> optionsMarketData = this.GetMarketData(optionsMarketDataFile);
foreach (var pair in optionsMarketData)
{
OrderBook optionOrderBook = pair.Value;
OptionInfo option = null;
if (allAvailableOptions.TryGetValue(optionOrderBook.Name, out option))
{
OrderBook underlyingOrderBook = null;
if (underlyingsMarketData.TryGetValue(option.Underlying, out underlyingOrderBook))
{
double spot = underlyingOrderBook.GetPriceMid();
double bid = (optionOrderBook.Bid != null) ? optionOrderBook.Bid.Value : 0.00;
double bidSize = (optionOrderBook.BidSize != null) ? optionOrderBook.BidSize.Value : 0.00;;
double ask = (optionOrderBook.Ask != null) ? optionOrderBook.Ask.Value : 0.00;;
double askSize = (optionOrderBook.AskSize != null) ? optionOrderBook.AskSize.Value : 0.00;;
BlackScholes bs = new BlackScholes();
double bidImpliedVolatility = 0.00;
double askImpliedVolatility = 0.00;
if (bid > 0.00 && bidSize > 0.00)
{
bidImpliedVolatility = bs.GetImpliedVolatility(option.Type, bid, spot, option.Strike, riskFreeRate, timeToMaturity);
}
if (ask > 0.00 && askSize > 0.00)
{
askImpliedVolatility = bs.GetImpliedVolatility(option.Type, ask, spot, option.Strike, riskFreeRate, timeToMaturity);
}
if (!(bidImpliedVolatility > 0.0000))
{
bidImpliedVolatility = 0.00;
}
if (!(askImpliedVolatility > 0.0000))
{
askImpliedVolatility = 0.00;
}
VolQuote volQuote = new VolQuote(bidSize, askSize, bidImpliedVolatility, askImpliedVolatility);
volSurface.Update(option.ExpiryDate, option.Strike, option.Type, volQuote);
}
}
}
}
