private void LoadData()
{
string riskFreeRatesFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols3\cdi_20161124_154509.csv";
this.RiskFreeRates = this.GetRiskFreeRates(riskFreeRatesFile);
string underlyingMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols3\underlying_20161124_154509.csv";
this.UnderlyingOrderBook = this.GetUnderlyingMarketData(underlyingMarketDataFile);
string optionsMarketDataFile = @"C:\Users\Rubens\Google Drive\Mestrado\Projeto_Pesquisa\vols3\options_20161124_154509.csv";
this.OptionsMarketData = this.GetOptionsMarketData(optionsMarketDataFile);
this.VolSurface = this.GetVolSurface(this.RiskFreeRates, this.UnderlyingOrderBook, this.OptionsMarketData);
}
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;
}
