/***************************************************************
*
* ComputeProbITM for given option
*
* ************************************************************/
private void ComputeProbITM(OptionInfo opt)
{
if (opt.ImpliedVolatility == null)
{
m_Log.Log(ErrorLevel.logERR, string.Format("BESTSTRANGLE ComputeProbITM unable to compute Prob ITM for {0}, strike {1}", opt.Ticker, opt.Strike.ToString()));
return;
}
double vol = (double)opt.ImpliedVolatility / Math.Sqrt(365);
double K = opt.Strike;
double S = opt.UndPrice;
/* If the underlying price is 0
* ----------------------------
* then fetch the last price from the database. This sometimes happens off-hours for some
* reason.... the underlying price is not returned */
if (S == 0.0)
{
m_Log.Log(ErrorLevel.logERR, string.Format("BESTSTRANGLE ComputeProbITM underlying strike price is undefined. {0}, strike {1}", opt.Ticker, opt.Strike.ToString()));
return;
}
// DateTime Expires = DateTime.ParseExact (opt.Expiry, "yyyyMMdd", CultureInfo.InvariantCulture);
DateTime Expires = opt.Expiry;
int DaysToExpire = (Expires - DateTime.Now).Days;
double variance = vol * vol;
double d2 = Math.Log(S / K, Math.E);
d2 += -variance / 2 * DaysToExpire;
d2 /= vol;
d2 /= Math.Sqrt(DaysToExpire);
if (!opt.IfCall)
{
opt.ProbITM = Phi.phi(-d2);
}
else
{
opt.ProbITM = Phi.phi(d2);
}
}
/************************************************************
*
* Cell value has changed
*
* *********************************************************/
private void dgvBestStrangle_CellEndEdit(object sender, DataGridViewCellEventArgs e)
{
OptionInfo opt = (OptionInfo)dgvBestStrangle.Rows[e.RowIndex].DataBoundItem;
if (e.ColumnIndex == colbsSTRIKE)
{
foreach (var o in m_Options)
{
if ((opt.IfCall == o.IfCall) && opt.Strike == o.Strike)
{
opt.Price = o.Price;
opt.Delta = o.Delta;
opt.BuyingPowerReduction = ComputeBuyingPowerReduction((double)o.UndPrice, (double)o.Strike, (double)o.Price);
ComputeProbITM(opt);
dgvBestStrangle.InvalidateRow(e.RowIndex);
break;
}
}
}
}
/************************************************************
*
* tbBsTargetMargin_Validated
*
* **********************************************************/
private void tbBsTargetMargin_Validated(object sender, EventArgs e)
{
double bpr = 0;
foreach (DataGridViewRow r in dgvBestStrangle.Rows)
{
OptionInfo opt = (OptionInfo)r.DataBoundItem;
if (opt.BuyingPowerReduction > bpr)
{
bpr = opt.BuyingPowerReduction;
}
}
int no_contracts = (int)Math.Round(m_iTargetMargin / bpr);
foreach (DataGridViewRow r in dgvBestStrangle.Rows)
{
OptionInfo opt = (OptionInfo)r.DataBoundItem;
opt.NoContracts = no_contracts;
dgvBestStrangle.InvalidateCell(r.Cells[colbsNOCONTRACTS]);
}
}
