public void CalculateImpliedVolatility(string ammOptionsFile, string underlyingsMarketDataFile, string optionsMarketDataFile, double daysToMaturity, double riskFreeRate, ref VolSurface volSurface)
{
double workingDaysInTheYear = 252;
double timeToMaturity = daysToMaturity / workingDaysInTheYear;
Dictionary <string, OptionInfo> allAvailableOptions = this.ListAllAvailableOptions(ammOptionsFile);
Dictionary <string, OrderBook> underlyingsMarketData = this.GetMarketData(underlyingsMarketDataFile);
Dictionary <string, OrderBook> optionsMarketData = this.GetMarketData(optionsMarketDataFile);
foreach (var pair in optionsMarketData)
{
OrderBook optionOrderBook = pair.Value;
OptionInfo option = null;
if (allAvailableOptions.TryGetValue(optionOrderBook.Name, out option))
{
OrderBook underlyingOrderBook = null;
if (underlyingsMarketData.TryGetValue(option.Underlying, out underlyingOrderBook))
{
double spot = underlyingOrderBook.GetPriceMid();
double bid = (optionOrderBook.Bid != null) ? optionOrderBook.Bid.Value : 0.00;
double bidSize = (optionOrderBook.BidSize != null) ? optionOrderBook.BidSize.Value : 0.00;;
double ask = (optionOrderBook.Ask != null) ? optionOrderBook.Ask.Value : 0.00;;
double askSize = (optionOrderBook.AskSize != null) ? optionOrderBook.AskSize.Value : 0.00;;
BlackScholes bs = new BlackScholes();
double bidImpliedVolatility = 0.00;
double askImpliedVolatility = 0.00;
if (bid > 0.00 && bidSize > 0.00)
{
bidImpliedVolatility = bs.GetImpliedVolatility(option.Type, bid, spot, option.Strike, riskFreeRate, timeToMaturity);
}
if (ask > 0.00 && askSize > 0.00)
{
askImpliedVolatility = bs.GetImpliedVolatility(option.Type, ask, spot, option.Strike, riskFreeRate, timeToMaturity);
}
if (!(bidImpliedVolatility > 0.0000))
{
bidImpliedVolatility = 0.00;
}
if (!(askImpliedVolatility > 0.0000))
{
askImpliedVolatility = 0.00;
}
VolQuote volQuote = new VolQuote(bidSize, askSize, bidImpliedVolatility, askImpliedVolatility);
volSurface.Update(option.ExpiryDate, option.Strike, option.Type, volQuote);
}
}
}
}
private VolSurface GetVolSurface(SortedDictionary <DateTime, RiskFreeRate> riskFreeRates, OrderBook underlyingOrderBook, List <OptionMarketData> optionsMarketData)
{
double businessDaysInTheYear = 252;
VolSurface volSurface = new VolSurface();
double spot = underlyingOrderBook.GetPriceMid();
foreach (OptionMarketData option in optionsMarketData)
{
RiskFreeRate riskFreeRate = null;
riskFreeRates.TryGetValue(option.OptionInfo.ExpiryDate, out riskFreeRate);
double timeToMaturity = riskFreeRate.BusinessDays / businessDaysInTheYear;
double bid = (option.OrderBook.Bid != null) ? option.OrderBook.Bid.Value : 0.00;
double bidSize = (option.OrderBook.BidSize != null) ? option.OrderBook.BidSize.Value : 0.00;;
double ask = (option.OrderBook.Ask != null) ? option.OrderBook.Ask.Value : 0.00;;
double askSize = (option.OrderBook.AskSize != null) ? option.OrderBook.AskSize.Value : 0.00;;
BlackScholes bs = new BlackScholes();
double bidImpliedVolatility = 0.00;
double askImpliedVolatility = 0.00;
if (bid > 0.00 && bidSize > 0.00)
{
bidImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, bid, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
}
if (ask > 0.00 && askSize > 0.00)
{
askImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, ask, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
}
if (!(bidImpliedVolatility > 0.0000))
{
bidImpliedVolatility = 0.00;
}
if (!(askImpliedVolatility > 0.0000))
{
askImpliedVolatility = 0.00;
}
VolQuote volQuote = new VolQuote(bidSize, askSize, bidImpliedVolatility, askImpliedVolatility);
volSurface.Update(option.OptionInfo.ExpiryDate, option.OptionInfo.Strike, option.OptionInfo.Type, volQuote);
}
return(volSurface);
}
private void BuildChart(DateTime expiry)
{
VolExpiry volExpiry = null;
double strikeMin = 9999.00;
double strikeMax = 0.00;
double volMin = 9999.00;
double volMax = 0.00;
if (this.VolSurface.VolExpiries.TryGetValue(expiry, out volExpiry))
{
foreach (VolStrike volStrike in volExpiry.VolStrikes.Values)
{
if (volStrike.VolCallQuote != null)
{
VolQuote volCallQuote = volStrike.VolCallQuote;
if (this.IsValid(volCallQuote.BidImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volCallQuote.BidImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["call_bid"].Points.AddXY(strike, vol);
}
if (this.IsValid(volCallQuote.AskImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volCallQuote.AskImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["call_ask"].Points.AddXY(strike, vol);
}
}
if (volStrike.VolPutQuote != null)
{
VolQuote volPutQuote = volStrike.VolPutQuote;
if (this.IsValid(volPutQuote.BidImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volPutQuote.BidImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["put_bid"].Points.AddXY(strike, vol);
}
if (this.IsValid(volPutQuote.AskImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volPutQuote.AskImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["put_ask"].Points.AddXY(strike, vol);
}
}
}
}
chart1.ChartAreas[0].AxisX.Minimum = Math.Floor(strikeMin);
chart1.ChartAreas[0].AxisX.Maximum = Math.Ceiling(strikeMax);
chart1.ChartAreas[0].AxisX.Interval = 1;
chart1.ChartAreas[0].AxisY.Minimum = Math.Floor(volMin);
chart1.ChartAreas[0].AxisY.Maximum = Math.Ceiling(volMax);
chart1.ChartAreas[0].AxisY.Interval = 5;
}
