/// <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));
}
/// <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);
}