/// <summary>
/// 将datatable转化为数组格式
/// </summary>
/// <param name="str">交易代码</param>
/// <param name="dt">数据</param>
/// <returns>数组形式数据</returns>
public levelOne[] DataTable2Array(string str, DataTable dt)
{
levelOne[] dtArr = new levelOne[28802];
for (int i = 0; i < dt.Rows.Count; i++)
{
levelOne data0 = new levelOne();
data0.code = str;
int time = Convert.ToInt32(dt.Rows[i]["ttime"]);
int index = TradeDays.TimeToIndex(time);
if (index < 0 || index > 28801)
{
continue;
}
data0.time = time;
data0.last = Convert.ToDouble(dt.Rows[i]["cp"]);
data0.ask = Convert.ToDouble(dt.Rows[i]["S1"]);
data0.askv = Convert.ToDouble(dt.Rows[i]["SV1"]);
data0.bid = Convert.ToDouble(dt.Rows[i]["B1"]);
data0.bidv = Convert.ToDouble(dt.Rows[i]["BV1"]);
dtArr[index] = data0;
}
for (int i = 1; i < 28802; i++)
{
if (dtArr[i].last == 0)
{
dtArr[i] = new levelOne(dtArr[i - 1].code, dtArr[i - 1].time, dtArr[i - 1].last, dtArr[i - 1].ask, dtArr[i - 1].askv, dtArr[i - 1].bid, dtArr[i - 1].bidv);
}
}
return(dtArr);
}
/// <summary>
/// 计算隐含波动率及其他希腊值的类。
/// </summary>
/// <param name="option">期权类型</param>
/// <param name="optionData">期权数据</param>
/// <param name="etfData">etf数据</param>
/// <param name="duration">到期时间</param>
public Impv(optionFormat option, levelOne optionData, levelOne etfData, double duration)
{
this.option = option;
this.optionData = optionData;
this.etfData = etfData;
this.duration = duration;
}
/// <summary>
/// 计算隐含波动率
/// </summary>
/// <param name="myData">数据</param>
/// <param name="index">时间下标</param>
public void ComputeVolDaily(GetDataDaily myData, int index)
{
levelOne etfData = myData.dataDaily["510050.SH"][index];
foreach (int code in optionListInt)
{
string codeStr = code.ToString() + ".SH";
optionFormat option = OptionInformation.myOptionList[code];
levelOne optionData = myData.dataDaily[codeStr][index];
double duration = TradeDays.GetTimeSpan(date, option.endDate);
Impv vol = new Impv(option, optionData, etfData, duration);
double sigma = vol.computeVol();
GetCurve(option.strike, option.optionType, duration, sigma);
}
}
