public static RiskyFlySurface GetSurfaceForCode(string nymexSymbol, string nymexOptionFilename, string qwackCode, PriceCurve priceCurve, ICalendarProvider calendarProvider, ICurrencyProvider currency)
{
var parsed = NYMEXOptionParser.Parse(nymexOptionFilename).Where(r => r.Symbol == nymexSymbol);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(nymexSymbol);
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var q = parsed.Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == "C"?OptionType.C:OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.Settle,
Strike = x.Strike,
UnderlyingFuturesCode = Year2to1(x.Contract.Split(' ')[0].Replace(nymexSymbol, qwackCode)),
ExpiryDate = OptionExpiryFromNymexRecord(x, calendarProvider),
ValDate = origin
}).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var surface = ListedSurfaceHelper.ToRiskyFlySurface(smiles, origin, smiles.Keys.Select(x => priceCurve.GetPriceForDate(x)).ToArray());
return(surface);
}
public static RiskyFlySurface GetMetalSurfaceForCode(string cmxSymbol, string cmxSettleFilename, ICurrencyProvider currency)
{
var blob = CMEFileParser.Instance.GetBlob(cmxSettleFilename);
var origin = blob.Batch.First().BizDt;
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(cmxSymbol);
var opts = blob.Batch.Where(b => b.Instrmt.Sym == cmxSymbol).Select(x => new ListedOptionSettlementRecord
{
Strike = Convert.ToDouble(x.Instrmt.StrkPx),
PV = Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px),
CallPut = x.Instrmt.PutCall ? OptionType.C : OptionType.P, //x.Instrmt.PutCall == 1 ? OptionType.C : OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
UnderlyingFuturesCode = $"{x.Undly.ID}~{x.Undly.MMY}",
ExpiryDate = x.Instrmt.MatDt,
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var underlyings = opts.Select(x => x.UnderlyingFuturesCode).Distinct().ToArray();
var ulCodes = underlyings.Select(x => x.Split('~')[0]).Distinct().ToArray();
var futRecords = blob.Batch.Where(b => b.Instrmt.SecTyp == "FUT" && ulCodes.Contains(b.Instrmt.ID));
var priceDict = futRecords.ToDictionary(x => $"{x.Instrmt.ID}~{x.Instrmt.MMY}", x => Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px));
ListedSurfaceHelper.ImplyVols(opts, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(opts, priceDict);
var expiries = smiles.Keys.OrderBy(x => x).ToArray();
var ulByExpiry = expiries.ToDictionary(x => x, x => opts.Where(qq => qq.ExpiryDate == x).First().UnderlyingFuturesCode);
var fwdByExpiry = ulByExpiry.ToDictionary(x => x.Key, x => priceDict[x.Value]);
var fwds = expiries.Select(e => fwdByExpiry[e]).ToArray();
var surface = ListedSurfaceHelper.ToRiskyFlySurface(smiles, origin, fwds, currency);
return(surface);
}
public static RiskyFlySurface GetFxSurfaceForCode(string cmeSymbol, string cmeFutureFilename, BasicPriceCurve priceCurve, ICurrencyProvider currency)
{
var parsed = CMEFileParser.Instance.Parse(cmeFutureFilename).Where(r => r.Sym == cmeSymbol && r.SecTyp == "OOF" && r.SettlePrice.HasValue);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(cmeSymbol);
var origin = DateTime.ParseExact(parsed.First().BizDt, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var q = parsed.Where(x => x.SettlePrice > 0).Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == 1 ? OptionType.C : OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.SettlePrice.Value,
Strike = x.StrkPx.Value,
UnderlyingFuturesCode = x.UndlyMMY,
ExpiryDate = DateTime.ParseExact(x.MatDt, "yyyy-MM-dd", CultureInfo.InvariantCulture),
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var expiries = smiles.Keys.OrderBy(x => x).ToArray();
var ulByExpiry = expiries.ToDictionary(x => x, x => q.Where(qq => qq.ExpiryDate == x).First().UnderlyingFuturesCode);
var fwdByExpiry = ulByExpiry.ToDictionary(x => x.Key, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x.Value)));
var fwds = expiries.Select(e => fwdByExpiry[e]).ToArray();
var surface = ListedSurfaceHelper.ToRiskyFlySurface(smiles, origin, fwds, currency);
return(surface);
}
public static RiskyFlySurface GetSurfaceForCode(string nymexSymbol, string nymexOptionFilename, string qwackCode, BasicPriceCurve priceCurve, ICalendarProvider calendarProvider, ICurrencyProvider currency, IFutureSettingsProvider futureSettingsProvider)
{
var parsed = NYMEXOptionParser.Instance.Parse(nymexOptionFilename).Where(r => r.Symbol == nymexSymbol);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(nymexSymbol);
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var q = parsed.Where(x => x.Settle > 0).Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == "C"?OptionType.C:OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.Settle,
Strike = x.Strike,
UnderlyingFuturesCode = Year2to1(x.Contract.Split(' ')[0].Replace(nymexSymbol, qwackCode)),
ExpiryDate = OptionExpiryFromNymexRecord(x, calendarProvider),
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var allOptionExpiries = new List <DateTime>();
var lastDate = q.Max(x => x.ExpiryDate);
var dummyFutureCode = $"{qwackCode}Z{DateExtensions.SingleDigitYear(DateTime.Today.Year + 2)}";
var c = new FutureCode(dummyFutureCode, DateTime.Today.Year - 2, futureSettingsProvider);
var contract = c.GetFrontMonth(origin, false);
var lastContract = c.GetFrontMonth(lastDate, false);
while (contract != lastContract)
{
var cc = new FutureCode(contract, origin.Year, futureSettingsProvider);
var exp = ListedUtils.FuturesCodeToDateTime(contract);
var record = new NYMEXOptionRecord
{
ContractMonth = exp.Month,
ContractYear = exp.Year,
Symbol = nymexSymbol
};
var optExpiry = OptionExpiryFromNymexRecord(record, calendarProvider);
if (optExpiry > origin)
{
allOptionExpiries.Add(optExpiry);
}
contract = cc.GetNextCode(false);
}
var surface = ListedSurfaceHelper.ToRiskyFlySurfaceStepFlat(smiles, origin, priceCurve, allOptionExpiries, currency);
return(surface);
}