public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, double ratePct, int barNum) { int barsCount = ContextBarsCount; if ((barNum < barsCount - 1) || (smile == null) || (optSer == null)) { return(Constants.EmptySeries); } SmileInfo oldInfo = smile.GetTag <SmileInfo>(); if ((oldInfo == null) || (oldInfo.ContinuousFunction == null) || (oldInfo.ContinuousFunctionD1 == null)) { return(Constants.EmptySeries); } int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1; DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date; bool wasInitialized = HandlerInitializedToday(now); double futPx = price; double dT = time; if (Double.IsNaN(dT) || (dT < Double.Epsilon)) { // [{0}] Time to expiry must be positive value. dT:{1} string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT); if (wasInitialized) { m_context.Log(msg, MessageType.Error, true); } return(Constants.EmptySeries); } if (Double.IsNaN(futPx) || (futPx < Double.Epsilon)) { // [{0}] Base asset price must be positive value. F:{1} string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx); if (wasInitialized) { m_context.Log(msg, MessageType.Error, true); } return(Constants.EmptySeries); } if (Double.IsNaN(ratePct)) { //throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate); return(Constants.EmptySeries); } double ivAtm, slopeAtm; if ((!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm)) || (!oldInfo.ContinuousFunctionD1.TryGetValue(futPx, out slopeAtm))) { return(Constants.EmptySeries); } if (m_setIvByHands) { ivAtm = m_ivAtmPct.Value / Constants.PctMult; } if (m_setSlopeByHands) { slopeAtm = m_internalSlopePct.Value / Constants.PctMult; slopeAtm = slopeAtm / futPx / Math.Sqrt(dT); } if (Double.IsNaN(ivAtm) || (ivAtm < Double.Epsilon)) { // [{0}] ivAtm must be positive value. ivAtm:{1} string msg = RM.GetStringFormat("OptHandlerMsg.IvAtmMustBePositive", GetType().Name, ivAtm); if (wasInitialized) { m_context.Log(msg, MessageType.Error, true); } return(Constants.EmptySeries); } if (Double.IsNaN(slopeAtm)) { // [{0}] Smile skew at the money must be some number. skewAtm:{1} string msg = RM.GetStringFormat("OptHandlerMsg.SkewAtmMustBeNumber", GetType().Name, slopeAtm); if (wasInitialized) { m_context.Log(msg, MessageType.Error, true); } return(Constants.EmptySeries); } //{ // string msg = String.Format("[DEBUG:{0}] ivAtm:{1}; shift:{2}; depth:{3}; F:{4}; dT:{5}; ", // GetType().Name, ivAtm, shift, depth, F, dT); // context.Log(msg, MessageType.Info, true); //} SmileFunction3 tempFunc = new SmileFunction3(ivAtm, m_shift, 0.5, futPx, dT); double depth = tempFunc.GetDepthUsingSlopeATM(slopeAtm); SmileFunction3 smileFunc = new SmileFunction3(ivAtm, m_shift, depth, futPx, dT); if (!m_setIvByHands) { m_ivAtmPct.Value = ivAtm * Constants.PctMult; } m_depthPct.Value = depth * Constants.PctMult; if (!m_setSlopeByHands) { double dSigmaDx = slopeAtm * futPx * Math.Sqrt(dT); m_internalSlopePct.Value = dSigmaDx * Constants.PctMult; } List <double> xs = new List <double>(); List <double> ys = new List <double>(); IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray(); if (pairs.Length < 2) { string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length); if (wasInitialized) { m_context.Log(msg, MessageType.Warning, true); } return(Constants.EmptySeries); } double minK = pairs[0].Strike; double dK = pairs[1].Strike - pairs[0].Strike; double width = (SigmaMult * ivAtm * Math.Sqrt(dT)) * futPx; width = Math.Max(width, 2 * dK); // Generate left invisible tail if (m_generateTails) { GaussSmile.AppendLeftTail(smileFunc, xs, ys, minK, dK, false); } List <InteractiveObject> controlPoints = new List <InteractiveObject>(); for (int j = 0; j < pairs.Length; j++) { bool showPoint = true; IOptionStrikePair pair = pairs[j]; // Сверхдалекие страйки игнорируем if ((pair.Strike < futPx - width) || (futPx + width < pair.Strike)) { showPoint = false; } double k = pair.Strike; double sigma = smileFunc.Value(k); double vol = sigma; if (Double.IsNaN(sigma) || Double.IsInfinity(sigma) || (sigma < Double.Epsilon)) { continue; } InteractivePointActive ip = new InteractivePointActive(k, vol); //ip.Color = (optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan; //ip.DragableMode = DragableMode.None; //ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect; // Иначе неправильно выставляются координаты??? //ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, PctMult * sigma); if (showPoint) { if (k <= futPx) // Puts { FillNodeInfo(ip, futPx, dT, pair, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_isVisiblePoints, ratePct); } else // Calls { FillNodeInfo(ip, futPx, dT, pair, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_isVisiblePoints, ratePct); } } InteractiveObject obj = new InteractiveObject(ip); if (showPoint) { controlPoints.Add(obj); } xs.Add(k); ys.Add(vol); } // ReSharper disable once UseObjectOrCollectionInitializer InteractiveSeries res = new InteractiveSeries(); res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints); double maxK = pairs[pairs.Length - 1].Strike; // Generate right invisible tail if (m_generateTails) { GaussSmile.AppendRightTail(smileFunc, xs, ys, maxK, dK, false); } var baseSec = optSer.UnderlyingAsset; DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date; // ReSharper disable once UseObjectOrCollectionInitializer SmileInfo info = new SmileInfo(); info.F = futPx; info.dT = dT; info.Expiry = optSer.ExpirationDate; info.ScriptTime = scriptTime; info.RiskFreeRate = ratePct; info.BaseTicker = baseSec.Symbol; info.ContinuousFunction = smileFunc; info.ContinuousFunctionD1 = smileFunc.DeriveD1(); res.Tag = info; SetHandlerInitialized(now); return(res); }
public InteractiveSeries Execute(double price, double time, IOptionSeries optSer, int barNum) { int barsCount = ContextBarsCount; if (barNum < barsCount - 1) { return(Constants.EmptySeries); } double f = price; double dT = time; if (Double.IsNaN(dT) || (dT < Double.Epsilon)) { // [{0}] Time to expiry must be positive value. dT:{1} string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT); m_context.Log(msg, MessageType.Error, true); return(Constants.EmptySeries); } if (Double.IsNaN(f) || (f < Double.Epsilon)) { // [{0}] Base asset price must be positive value. F:{1} string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f); m_context.Log(msg, MessageType.Error, true); return(Constants.EmptySeries); } //{ // string msg = String.Format("[DEBUG:{0}] ivAtm:{1}; shift:{2}; depth:{3}; F:{4}; dT:{5}; ", // GetType().Name, ivAtm, shift, depth, F, dT); // context.Log(msg, MessageType.Info, true); //} SmileFunction3 smileFunc = new SmileFunction3(m_ivAtm, m_shift, m_depth, f, dT); List <double> xs = new List <double>(); List <double> ys = new List <double>(); IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray(); if (pairs.Length < 2) { string msg = String.Format("[WARNING:{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length); m_context.Log(msg, MessageType.Warning, true); return(Constants.EmptySeries); } double minK = pairs[0].Strike; double dK = pairs[1].Strike - pairs[0].Strike; // Generate left invisible tail if (m_generateTails) { AppendLeftTail(smileFunc, xs, ys, minK, dK, false); } List <InteractiveObject> controlPoints = new List <InteractiveObject>(); for (int j = 0; j < pairs.Length; j++) { bool showPoint = true; IOptionStrikePair pair = pairs[j]; // Сверхдалекие страйки игнорируем if ((pair.Strike < m_minStrike) || (m_maxStrike < pair.Strike)) { showPoint = false; } double k = pair.Strike; double sigma = smileFunc.Value(k); double vol = sigma; InteractivePointActive ip = new InteractivePointActive(k, vol); //ip.Color = (optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan; //ip.DragableMode = DragableMode.None; //ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect; // Иначе неправильно выставляются координаты??? //ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, PctMult * sigma); if (showPoint) { if (k <= f) // Puts { FillNodeInfo(ip, f, dT, pair, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_isVisiblePoints); } else // Calls { FillNodeInfo(ip, f, dT, pair, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_isVisiblePoints); } } InteractiveObject obj = new InteractiveObject(ip); if (showPoint) { controlPoints.Add(obj); } xs.Add(k); ys.Add(vol); } // ReSharper disable once UseObjectOrCollectionInitializer InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints); double maxK = pairs[pairs.Length - 1].Strike; // Generate right invisible tail if (m_generateTails) { AppendRightTail(smileFunc, xs, ys, maxK, dK, false); } // ReSharper disable once UseObjectOrCollectionInitializer SmileInfo info = new SmileInfo(); info.F = f; info.dT = dT; info.RiskFreeRate = 0; info.ContinuousFunction = smileFunc; info.ContinuousFunctionD1 = smileFunc.DeriveD1(); res.Tag = info; return(res); }