public static AugmentedGreeks OptionModelWrapper(string modelName, string ticker, string optionType, double strike, MySqlConnection conn,
DateTime calculationDate, double optionPrice = double.NaN, double impliedVol = double.NaN, double underlyingPrice = double.NaN, DateTime?interestRateDate = null)
{
if (interestRateDate == null)
{
interestRateDate = calculationDate;
}
AugmentedGreeks AugmentedGreeksOutput = new AugmentedGreeks();
string UnderlyingTicker = GetOptionUnderlying(ticker);
if (double.IsNaN(underlyingPrice))
{
DataTable UnderlyingDataFrame = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(ticker: UnderlyingTicker,
dateTimeFrom: calculationDate, dateTimeTo: calculationDate, conn: conn);
if (UnderlyingDataFrame.Rows.Count == 0)
{
return(AugmentedGreeksOutput);
}
underlyingPrice = (double)(UnderlyingDataFrame.Rows[0].Field <decimal>("close_price"));
}
ContractUtilities.ContractSpecs ContractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: UnderlyingTicker);
string TickerHead = ContractSpecsOut.tickerHead;
double ContractMultiplier = ContractUtilities.ContractMetaInfo.ContractMultiplier[TickerHead];
string ExerciseType = ContractUtilities.ContractMetaInfo.GetOptionExerciseType(TickerHead);
DateTime ExpirationDate = (DateTime)Expiration.getExpirationFromDB(ticker: ticker, instrument: "options", conn: conn);
double InterestRate = InterestCurve.RateFromStir.GetSimpleRate(asOfDate: (DateTime)interestRateDate,
dateFrom: (DateTime)interestRateDate,
dateTo: ExpirationDate, tickerHead: "ED", conn: conn);
if (Double.IsNaN(InterestRate))
{
return(AugmentedGreeksOutput);
}
else
{
Greeks GreeksOutput = QuantlibOptionModels.GetOptionOnFutureGreeks(underlyingPrice: underlyingPrice, strike: strike, riskFreeRate: InterestRate,
expirationDate: ExpirationDate, calculationDate: calculationDate, optionType: optionType, exerciseType: ExerciseType, optionPrice: optionPrice, impliedVol: impliedVol);
AugmentedGreeksOutput.OptionPrice = GreeksOutput.OptionPrice;
AugmentedGreeksOutput.ImpliedVol = 100 * GreeksOutput.ImpliedVol;
AugmentedGreeksOutput.Delta = GreeksOutput.Delta;
AugmentedGreeksOutput.Vega = GreeksOutput.Vega;
AugmentedGreeksOutput.Theta = GreeksOutput.Theta;
AugmentedGreeksOutput.CalDte = GreeksOutput.CalDte;
AugmentedGreeksOutput.Gamma = GreeksOutput.Gamma;
AugmentedGreeksOutput.DollarVega = GreeksOutput.Vega * ContractMultiplier / 100;
AugmentedGreeksOutput.DollarTheta = GreeksOutput.Theta * ContractMultiplier;
AugmentedGreeksOutput.DollarGamma = GreeksOutput.Gamma * ContractMultiplier;
AugmentedGreeksOutput.InterestRate = InterestRate;
}
return(AugmentedGreeksOutput);
}
public static AugmentedGreeks OptionModelWrapper(string modelName,string ticker, string optionType, double strike,MySqlConnection conn,
DateTime calculationDate,double optionPrice=double.NaN,double impliedVol=double.NaN,double underlyingPrice=double.NaN,DateTime? interestRateDate = null)
{
if (interestRateDate==null)
{
interestRateDate = calculationDate;
}
AugmentedGreeks AugmentedGreeksOutput = new AugmentedGreeks();
string UnderlyingTicker = GetOptionUnderlying(ticker);
if (double.IsNaN(underlyingPrice))
{
DataTable UnderlyingDataFrame = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(ticker: UnderlyingTicker,
dateTimeFrom: calculationDate, dateTimeTo: calculationDate, conn: conn);
if (UnderlyingDataFrame.Rows.Count == 0)
{
return AugmentedGreeksOutput;
}
underlyingPrice = (double)(UnderlyingDataFrame.Rows[0].Field<decimal>("close_price"));
}
ContractUtilities.ContractSpecs ContractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: UnderlyingTicker);
string TickerHead = ContractSpecsOut.tickerHead;
double ContractMultiplier = ContractUtilities.ContractMetaInfo.ContractMultiplier[TickerHead];
string ExerciseType = ContractUtilities.ContractMetaInfo.GetOptionExerciseType(TickerHead);
DateTime ExpirationDate = (DateTime)Expiration.getExpirationFromDB(ticker: ticker, instrument: "options", conn: conn);
double InterestRate = InterestCurve.RateFromStir.GetSimpleRate(asOfDate: (DateTime)interestRateDate,
dateFrom: (DateTime)interestRateDate,
dateTo: ExpirationDate, tickerHead: "ED", conn: conn);
if (Double.IsNaN(InterestRate))
{
return AugmentedGreeksOutput;
}
else
{
Greeks GreeksOutput = QuantlibOptionModels.GetOptionOnFutureGreeks(underlyingPrice: underlyingPrice, strike: strike, riskFreeRate: InterestRate,
expirationDate: ExpirationDate, calculationDate: calculationDate, optionType: optionType, exerciseType: ExerciseType, optionPrice: optionPrice,impliedVol:impliedVol);
AugmentedGreeksOutput.OptionPrice = GreeksOutput.OptionPrice;
AugmentedGreeksOutput.ImpliedVol = 100*GreeksOutput.ImpliedVol;
AugmentedGreeksOutput.Delta = GreeksOutput.Delta;
AugmentedGreeksOutput.Vega = GreeksOutput.Vega;
AugmentedGreeksOutput.Theta = GreeksOutput.Theta;
AugmentedGreeksOutput.CalDte = GreeksOutput.CalDte;
AugmentedGreeksOutput.Gamma = GreeksOutput.Gamma;
AugmentedGreeksOutput.DollarVega = GreeksOutput.Vega*ContractMultiplier/100;
AugmentedGreeksOutput.DollarTheta = GreeksOutput.Theta*ContractMultiplier;
AugmentedGreeksOutput.DollarGamma = GreeksOutput.Gamma*ContractMultiplier;
AugmentedGreeksOutput.InterestRate = InterestRate;
}
return AugmentedGreeksOutput;
}
