/// <summary>
/// Создать <see cref="InnerModel"/>.
/// </summary>
/// <param name="model">Модель расчета значений "греков" по формуле Блэка-Шоулза.</param>
/// <param name="positionManager">Менеджер позиции.</param>
public InnerModel(BlackScholes model, IPositionManager positionManager)
{
if (model == null)
{
throw new ArgumentNullException("model");
}
if (positionManager == null)
{
throw new ArgumentNullException("positionManager");
}
Model = model;
PositionManager = positionManager;
}
private void Calculate_Click(object sender, RoutedEventArgs e)
{
var option = SelectedOption;
var volatility = Volatility.Text.To<decimal>() / 100;
var bs = new BlackScholes(option);
Delta.Text = bs.Delta(volatility).ToString("0.000");
Gamma.Text = bs.Gamma(volatility).ToString("0.000000");
Vega.Text = bs.Vega(volatility).ToString("0.00");
Theta.Text = bs.Theta(volatility).ToString("0.00");
Rho.Text = bs.Rho(volatility).ToString("0.00");
if (option.LastTrade != null)
IV.Text = bs.IV(option.LastTrade.Price).ToString("0.00");
}
/// <summary>
/// To create the volatility order book from usual order book.
/// </summary>
/// <param name="depth">The order book quotes of which will be changed to volatility quotes.</param>
/// <param name="model">The model for calculating Greeks values by the Black-Scholes formula.</param>
/// <param name="currentTime">The current time.</param>
/// <returns>The order book volatility.</returns>
public static MarketDepth ImpliedVolatility(this MarketDepth depth, BlackScholes model, DateTimeOffset currentTime)
{
if (depth == null)
{
throw new ArgumentNullException(nameof(depth));
}
if (model == null)
{
throw new ArgumentNullException(nameof(model));
}
QuoteChange Convert(QuoteChange quote)
{
quote.Price = model.ImpliedVolatility(currentTime, quote.Price) ?? 0;
return(quote);
}
return(new MarketDepth(depth.Security).Update(depth.Bids2.Select(Convert).ToArray(), depth.Asks2.Select(Convert).ToArray(), depth.LastChangeTime));
}
/// <summary>
/// To create the volatility order book from usual order book.
/// </summary>
/// <param name="depth">The order book quotes of which will be changed to volatility quotes.</param>
/// <param name="model">The model for calculating Greeks values by the Black-Scholes formula.</param>
/// <param name="currentTime">The current time.</param>
/// <returns>The order book volatility.</returns>
public static MarketDepth ImpliedVolatility(this MarketDepth depth, BlackScholes model, DateTimeOffset currentTime)
{
if (depth == null)
{
throw new ArgumentNullException(nameof(depth));
}
if (model == null)
{
throw new ArgumentNullException(nameof(model));
}
Func <Quote, Quote> convert = quote =>
{
quote = quote.Clone();
quote.Price = model.ImpliedVolatility(currentTime, quote.Price) ?? 0;
return(quote);
};
return(new MarketDepth(depth.Security).Update(depth.Bids.Select(convert), depth.Asks.Select(convert), true, depth.LastChangeTime));
}
internal void ApplyModel()
{
Model = _desk.UseBlackModel ? new Black(Option, _desk.SecurityProvider, _desk.MarketDataProvider) : new BlackScholes(Option, _desk.SecurityProvider, _desk.MarketDataProvider);
}
/// <summary>
/// To create the volatility order book from usual order book.
/// </summary>
/// <param name="depth">The order book quotes of which will be changed to volatility quotes.</param>
/// <param name="model">The model for calculating Greeks values by the Black-Scholes formula.</param>
/// <param name="currentTime">The current time.</param>
/// <returns>The order book volatility.</returns>
public static MarketDepth ImpliedVolatility(this MarketDepth depth, BlackScholes model, DateTimeOffset currentTime)
{
if (depth == null)
throw new ArgumentNullException("depth");
if (model == null)
throw new ArgumentNullException("model");
Func<Quote, Quote> convert = quote =>
{
quote = quote.Clone();
quote.Price = model.ImpliedVolatility(currentTime, quote.Price) ?? 0;
return quote;
};
return new MarketDepth(depth.Security).Update(depth.Bids.Select(convert), depth.Asks.Select(convert), true, depth.LastChangeTime);
}
