public OptionManagerViewModel()
{
this.callOptionViewModelList_ = new ObservableCollection <OptionViewModel>();
this.putOptionViewModelList_ = new ObservableCollection <OptionViewModel>();
this.call_strikeData_ = new List <double>();
this.put_strikeData_ = new List <double>();
this.call_imvolData_ = new List <double>();
this.put_imvolData_ = new List <double>();
this.gbmParaViewModel_ = new GBMParaViewModel();
this.gbmParaViewModel_.ReferenceDate_ = DateTime.Now;
}
public OptionGreekPositionViewModel_1928()
{
this.Calculated_ = false;
this.optionViewModelList_ = new ObservableCollection <OptionViewModel_1928>();
this.call_strikeData_ = new List <double>();
this.put_strikeData_ = new List <double>();
this.call_imvolData_ = new List <double>();
this.put_imvolData_ = new List <double>();
this.gbmParaViewModel_ = new GBMParaViewModel();
this.gbmParaViewModel_.ReferenceDate_ = DateTime.Now.Date;
}
public OptionGreekPositionViewModel_1928()
{
this.Calculated_ = false;
this.optionViewModelList_ = new ObservableCollection<OptionViewModel_1928>();
this.call_strikeData_ = new List<double>();
this.put_strikeData_ = new List<double>();
this.call_imvolData_ = new List<double>();
this.put_imvolData_ = new List<double>();
this.gbmParaViewModel_ = new GBMParaViewModel();
this.gbmParaViewModel_.ReferenceDate_ = DateTime.Now.Date;
}
public void calculate(double[] p, GBMParaViewModel para)
{
this.xData_ = p;
this.yData_ = new double[p.Length];
double sellBuySign = 1.0;
if (this.sellBuy_ == "매도")
{
sellBuySign = -1.0;
}
else
{
}
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
if (this.callPutEnum_ == Option.Type.Call)
{
this.imVol_ = para.Call_Interpolation_.value(this.strike_);
}
else if (this.callPutEnum_ == Option.Type.Put)
{
this.imVol_ = para.Put_Interpolation_.value(this.strike_);
}
double volatility = (this.imVol_) / 100;
Date maturity = new Date(this.maturiry_.AddDays(1));
if (this.callPutEnum_ == 0)
{
this.deltaCal_ = 1.0;
this.gammaCal_ = 0.0;
this.vegaCal_ = 0.0;
this.thetaCal_ = 0.0;
this.rhoCal_ = 0.0;
this.deltaPosition_ = sellBuySign * this.unit_ * 500000 * underlying;
this.deltaRisk_ = this.deltaPosition_ * 0.09;
this.gammaRisk_ = 0.0;
this.vegaRisk_ = 0.0;
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
return;
}
DayCounter dayCounter = new Actual365Fixed();
Exercise europeanExercise = new EuropeanExercise(maturity);
SimpleQuote quote = new SimpleQuote(underlying);
Handle <Quote> underlyingH = new Handle <Quote>(quote);
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(), 6);
this.deltaCal_ = sellBuySign * Math.Round(europeanOption.delta(), 6);
this.gammaCal_ = sellBuySign * Math.Round(europeanOption.gamma(), 6);
this.vegaCal_ = sellBuySign * Math.Round(europeanOption.vega() / 100, 6);
this.thetaCal_ = sellBuySign * Math.Round(europeanOption.theta() / 365, 6);
this.rhoCal_ = sellBuySign * Math.Round(europeanOption.rho() / 100, 6);
this.deltaPosition_ = Math.Round(this.deltaCal_ * this.unit_ * 500000 * underlying, 0);
this.deltaRisk_ = Math.Round(this.deltaPosition_ * 0.09, 0);
this.gammaRisk_ = Math.Round(0.5 * this.gammaCal_ * (underlying * underlying * 0.08 * 0.08) * this.unit_ * 500000, 0);
this.vegaRisk_ = Math.Round(this.vegaCal_ * this.imVol_ * 0.25 * this.unit_ * 500000, 0);
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
for (int i = 0; i < this.xData_.Length; i++)
{
quote.setValue(this.xData_[i]);
this.yData_[i] = 500000.0 * (double)this.unit_ * europeanOption.NPV();
}
}
public OptionManagerViewModel()
{
this.callOptionViewModelList_ = new ObservableCollection<OptionViewModel>();
this.putOptionViewModelList_ = new ObservableCollection<OptionViewModel>();
this.call_strikeData_ = new List<double>();
this.put_strikeData_ = new List<double>();
this.call_imvolData_ = new List<double>();
this.put_imvolData_ = new List<double>();
this.gbmParaViewModel_ = new GBMParaViewModel();
this.gbmParaViewModel_.ReferenceDate_ = DateTime.Now;
}
public void calculate(GBMParaViewModel para)
{
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
double volatility = 0.0;
if (this.callPutEnum_ == Option.Type.Call)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_, true), 1);
}
}
else if (this.callPutEnum_ == Option.Type.Put)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_, true), 1);
}
}
Date maturity = new Date(this.maturiry_);
DayCounter dayCounter = new Actual365Fixed();
//// write column headings
//int[] widths = new int[] { 35, 14, 14, 14 };
//Console.Write("{0,-" + widths[0] + "}", "Method");
//Console.Write("{0,-" + widths[1] + "}", "European");
//Console.Write("{0,-" + widths[2] + "}", "Bermudan");
//Console.WriteLine("{0,-" + widths[3] + "}", "American");
//List<Date> exerciseDates = new List<Date>(); ;
//for (int i = 1; i <= 4; i++)
// exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
//Exercise bermudanExercise = new BermudanExercise(exerciseDates);
//Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle <Quote> underlyingH = new Handle <Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(), 6);
this.deltaCal_ = Math.Round(europeanOption.delta(), 6);
this.gammaCal_ = Math.Round(europeanOption.gamma(), 6);
this.vegaCal_ = Math.Round(europeanOption.vega() / 100, 6);
this.thetaCal_ = Math.Round(europeanOption.theta() / 365, 6);
this.rhoCal_ = Math.Round(europeanOption.rho() / 100, 6);
}
public void calculate(GBMParaViewModel para)
{
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
double volatility = 0.0;
if (this.callPutEnum_ == Option.Type.Call)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_,true), 1);
}
}
else if (this.callPutEnum_ == Option.Type.Put)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_,true), 1);
}
}
Date maturity = new Date(this.maturiry_);
DayCounter dayCounter = new Actual365Fixed();
//// write column headings
//int[] widths = new int[] { 35, 14, 14, 14 };
//Console.Write("{0,-" + widths[0] + "}", "Method");
//Console.Write("{0,-" + widths[1] + "}", "European");
//Console.Write("{0,-" + widths[2] + "}", "Bermudan");
//Console.WriteLine("{0,-" + widths[3] + "}", "American");
//List<Date> exerciseDates = new List<Date>(); ;
//for (int i = 1; i <= 4; i++)
// exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
//Exercise bermudanExercise = new BermudanExercise(exerciseDates);
//Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(),6);
this.deltaCal_ = Math.Round(europeanOption.delta(),6);
this.gammaCal_= Math.Round(europeanOption.gamma(),6);
this.vegaCal_ = Math.Round(europeanOption.vega()/ 100, 6);
this.thetaCal_= Math.Round(europeanOption.theta()/ 365,6) ;
this.rhoCal_ = Math.Round(europeanOption.rho() / 100, 6);
}
public void calculate(double[] p, GBMParaViewModel para)
{
this.xData_ = p;
this.yData_ = new double[p.Length];
double sellBuySign = 1.0;
if (this.sellBuy_ == "매도")
{
sellBuySign = -1.0;
}
else
{
}
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
if (this.callPutEnum_ == Option.Type.Call)
{
this.imVol_ = para.Call_Interpolation_.value(this.strike_);
}
else if (this.callPutEnum_ == Option.Type.Put)
{
this.imVol_ = para.Put_Interpolation_.value(this.strike_);
}
double volatility = (this.imVol_ ) / 100;
Date maturity = new Date(this.maturiry_.AddDays(1));
if (this.callPutEnum_ == 0)
{
this.deltaCal_ = 1.0;
this.gammaCal_ = 0.0;
this.vegaCal_ = 0.0;
this.thetaCal_ = 0.0;
this.rhoCal_ = 0.0;
this.deltaPosition_ = sellBuySign * this.unit_ * 500000 * underlying;
this.deltaRisk_ = this.deltaPosition_ * 0.09;
this.gammaRisk_ = 0.0;
this.vegaRisk_ = 0.0;
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
return;
}
DayCounter dayCounter = new Actual365Fixed();
Exercise europeanExercise = new EuropeanExercise(maturity);
SimpleQuote quote = new SimpleQuote(underlying);
Handle<Quote> underlyingH = new Handle<Quote>(quote);
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(), 6);
this.deltaCal_ = sellBuySign * Math.Round(europeanOption.delta(), 6);
this.gammaCal_ = sellBuySign * Math.Round(europeanOption.gamma(), 6);
this.vegaCal_ = sellBuySign * Math.Round(europeanOption.vega() / 100, 6);
this.thetaCal_ = sellBuySign * Math.Round(europeanOption.theta() / 365, 6);
this.rhoCal_ = sellBuySign * Math.Round(europeanOption.rho() / 100, 6);
this.deltaPosition_ = Math.Round(this.deltaCal_ * this.unit_ * 500000 * underlying,0);
this.deltaRisk_ = Math.Round(this.deltaPosition_ * 0.09,0);
this.gammaRisk_ = Math.Round(0.5 * this.gammaCal_ * (underlying * underlying * 0.08 * 0.08) * this.unit_ * 500000, 0);
this.vegaRisk_ = Math.Round(this.vegaCal_ * this.imVol_ * 0.25 * this.unit_ * 500000, 0);
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
for (int i = 0; i < this.xData_.Length; i++)
{
quote.setValue(this.xData_[i]);
this.yData_[i] = 500000.0 * (double)this.unit_ * europeanOption.NPV();
}
}
