public OptionTribeElementListData(CallPutFlag cp, double strike)
{
this.ElwWEs = new List<WatchElement>();
OptionTribe ot = ElwOptionUtil.GetOptionTribe(strike, cp);
InitOptionDataPart(ot);
InitElwDataPart(ot);
}
public static Detail.ProductType ConvertToDetailProductType(CallPutFlag callPut)
{
if (callPut == CallPutFlag.Call)
{
return Detail.ProductType.CallOption;
}
else if (callPut == CallPutFlag.Put)
{
return Detail.ProductType.PutOption;
}
return Detail.ProductType.Unknown;
}
/// <summary>
/// Claculate Price With BlackScholes Algorithm
/// </summary>
/// <param name="callPutFlag">Call Put Flag => Send c or p</param>
/// <param name="stockPrice">Stock Price</param>
/// <param name="strikePrice">Strike Price </param>
/// <param name="yearsToExpire">Years To Expire</param>
/// <param name="riskFreeRate">Risk-Free Rate</param>
/// <param name="volatilitys">Volatilitys</param>
/// <returns></returns>
public double CalculateBlackScholes(CallPutFlag callPutFlag, double stockPrice, double strikePrice, double yearsToExpire, double riskFreeRate, double volatilitys)
{
double d1 = 0.0;
double d2 = 0.0;
double dBlackScholes = 0.0;
d1 = (Math.Log(stockPrice / strikePrice) + (riskFreeRate + volatilitys * volatilitys / 2.0) * yearsToExpire) / (volatilitys * Math.Sqrt(yearsToExpire));
d2 = d1 - volatilitys * Math.Sqrt(yearsToExpire);
if (callPutFlag == CallPutFlag.C)
{
dBlackScholes = stockPrice * CND(d1) - strikePrice * Math.Exp(-riskFreeRate * yearsToExpire) * CND(d2);
}
else if (callPutFlag == CallPutFlag.P)
{
dBlackScholes = strikePrice * Math.Exp(-riskFreeRate * yearsToExpire) * CND(-d2) - stockPrice * CND(-d1);
}
return(dBlackScholes);
}
public static KospiOptionInfo GetKOI(double strike, CallPutFlag callPut, DateTime maturity)
{
foreach (KospiOptionInfo info in KOIs.Values)
{
double diff = info.Strike - strike;
if (info.CallPut == callPut && Math.Abs(diff) < 0.1)
{
if (Util.IsSameDay(info.Maturity, maturity))
{
return info;
}
else
{
logger.Warn("허용되지 않은 만기 사용");
}
}
}
return null;
}
public OptionTribe(CallPutFlag cp, double strike, DateTime maturity)
{
CP = cp;
Strike = strike;
Maturity = maturity;
KOI = OptionUtil.GetKOI(Strike, CP, maturity);
ElwInfos = ElwUtil.GetSameStrikeElw(Strike, CP);
if (KOI == null)
{
IsValid = false;
}
else
{
IsValid = true;
CandidateCodes = ElwOptionUtil.GetSameCandidateCodes(KOI.Code);
}
OtLeft = null;
OtRight = null;
}
double GetDoorRefStrike(double strike, CallPutFlag cp)
{
if (cp == CallPutFlag.Call)
{
double doorStrike = 2.5 + strike;
return doorStrike;
}
else
{
double doorStrike = strike - 2.5;
return doorStrike;
}
}
public static String GetKOIKey(CallPutFlag cp, double strike)
{
return String.Format("{0}_{1:n2}", cp.ToString(), strike);
}
public static List<double> GetSortedStrikeList(CallPutFlag cp)
{
if (cp == CallPutFlag.Call)
{
return SortedCallStrikes;
}
return SortedPutStrikes;
}
public static OptionTribe GetOptionTribe(double strike, CallPutFlag cp)
{
String key = OptionUtil.GetKOIKey(cp, strike);
return GetOptionTribeFromKey(key);
}
ArrayList GetCCOrderViaCallPutFlag(ArrayList arr, CallPutFlag cp)
{
ArrayList ret = new ArrayList();
foreach (CodeCount cc in arr)
{
Detail.ProductType mpt = ProductUtil.Ins().GetProductType(cc.Code);
if (mpt == Detail.ProductType.ELW)
{
ElwInfo ei = ElwUtil.GetElwInfo(cc.Code);
if (ei.CallPut == cp)
{
ret.Add(cc);
}
}
else if (mpt == Detail.ProductType.CallOption || mpt == Detail.ProductType.PutOption)
{
KospiOptionInfo koi = OptionUtil.GetKOI(cc.Code);
if (koi.CallPut == cp)
{
ret.Add(cc);
}
}
}
return ret;
}
double GetDoorStrike(double strike, CallPutFlag cp, double offset)
{
if (cp == CallPutFlag.Call)
{
double doorStrike = (offset * 2.5) + strike;
return doorStrike;
}
else
{
double doorStrike = (-1) * (offset * 2.5) + strike;
return doorStrike;
}
}
EDoorEachMonitorEnterController GetController(
Queue<EDoorEachMonitorEnterController> queue,
CallPutFlag cp, int index)
{
List<EDoorEachMonitorEnterController> l =
new List<EDoorEachMonitorEnterController>();
l.AddRange(queue.ToArray());
int count = 0;
foreach (EDoorEachMonitorEnterController controller in queue)
{
EDoorEachMonitorEnterController_Accessor each =
new EDoorEachMonitorEnterController_Accessor(
new PrivateObject(controller));
if (each._data.EI.CallPut == cp)
{
if (count == index)
{
return controller;
}
++count;
}
}
// call, put 종류 잘 골라서 넘겨준다.
Assert.AreEqual(true, false); // 여기 오면 안된다.
return null;
}
public SameStrikeInstrument(double strike, CallPutFlag cp)
{
DateTime maturity = Util.GetSystemOptionMaturity();
KOI = OptionUtil.GetKOI(strike, cp, maturity);
ElwInfos = ElwUtil.GetSameStrikeElw(strike, cp);
}
public ArrayList GetExposure100k(CallPutFlag cp)
{
if (cp == CallPutFlag.Call)
{
ArrayList ret = GetExposureCC100k_Raw(_dicCall);
return ret;
}
else
{
ArrayList ret = GetExposureCC100k_Raw(_dicPut);
return ret;
}
}
// 'n' times 걸린다. 스케줄 안에서 이것을 돌리는 일은 없도록 한다.
public static List<ElwInfo> GetSameStrikeElw(double strike, CallPutFlag callPut)
{
List<ElwInfo> arr = new List<ElwInfo>();
foreach (ElwInfo data in ElwInfos.Values)
{
if (Math.Abs(strike - data.Strike) <= 0.001 && callPut == data.CallPut)
{
arr.Add(data);
}
}
return arr;
}
double GetDoorStrike(double strike, CallPutFlag cp)
{
if (cp == CallPutFlag.Call)
{
double doorStrike = (_parent.Parent.Input.DoorStrikeOffset * 2.5) + strike;
return doorStrike;
}
else
{
double doorStrike = (-1) * (_parent.Parent.Input.DoorStrikeOffset * 2.5) + strike;
return doorStrike;
}
}
public WasEachController(CallPutFlag cp, double strike)
{
_watchElementListData = new OptionTribeElementListData(cp, strike);
_eoDiffData = new WasEoDiffData(_watchElementListData);
_eoDiffController = new WasEoDiffController();
}
