public void ComputeVol(int date, int[] time)
{
if (date < 20150416)
{
IHList = null;//2015年4月16之前IH不存在。
}
if (date < 20150209)
{
optionList = null;//2015年2月9日之前50ETF期权不存在。
}
OptionInformation myOption = new OptionInformation(date);
optionList = myOption.GetOptionCodeByDate(date);
optionListInt = myOption.GetOptionNameByDate(date);
GetDataDaily myData = new GetDataDaily(date, IHList, optionList);
foreach (var time0 in time)
{
this.time = time0;
int index = TradeDays.TimeToIndex(time0);
ImpvCurveOfCallMid = new SortedDictionary <double, SortedDictionary <double, double> >();
ImpvCurveOfPutMid = new SortedDictionary <double, SortedDictionary <double, double> >();
ComputeVolDaily(myData, index);
string CsvName = "VolatilitySurfaceCallMid" + date.ToString() + time0.ToString() + ".csv";
SaveVolToCsv(CsvName, "call", "mid", ImpvCurveOfCallMid);
CsvName = "VolatilitySurfacePutMid" + date.ToString() + time0.ToString() + ".csv";
SaveVolToCsv(CsvName, "put", "mid", ImpvCurveOfPutMid);
}
}
/// <summary>
/// 将datatable转化为数组格式
/// </summary>
/// <param name="str">交易代码</param>
/// <param name="dt">数据</param>
/// <returns>数组形式数据</returns>
public levelOne[] DataTable2Array(string str, DataTable dt)
{
levelOne[] dtArr = new levelOne[28802];
for (int i = 0; i < dt.Rows.Count; i++)
{
levelOne data0 = new levelOne();
data0.code = str;
int time = Convert.ToInt32(dt.Rows[i]["ttime"]);
int index = TradeDays.TimeToIndex(time);
if (index < 0 || index > 28801)
{
continue;
}
data0.time = time;
data0.last = Convert.ToDouble(dt.Rows[i]["cp"]);
data0.ask = Convert.ToDouble(dt.Rows[i]["S1"]);
data0.askv = Convert.ToDouble(dt.Rows[i]["SV1"]);
data0.bid = Convert.ToDouble(dt.Rows[i]["B1"]);
data0.bidv = Convert.ToDouble(dt.Rows[i]["BV1"]);
dtArr[index] = data0;
}
for (int i = 1; i < 28802; i++)
{
if (dtArr[i].last == 0)
{
dtArr[i] = new levelOne(dtArr[i - 1].code, dtArr[i - 1].time, dtArr[i - 1].last, dtArr[i - 1].ask, dtArr[i - 1].askv, dtArr[i - 1].bid, dtArr[i - 1].bidv);
}
}
return(dtArr);
}
/// <summary>
/// 计算隐含波动率
/// </summary>
/// <param name="myData">数据</param>
/// <param name="index">时间下标</param>
public void ComputeVolDaily(GetDataDaily myData, int index)
{
levelOne etfData = myData.dataDaily["510050.SH"][index];
foreach (int code in optionListInt)
{
string codeStr = code.ToString() + ".SH";
optionFormat option = OptionInformation.myOptionList[code];
levelOne optionData = myData.dataDaily[codeStr][index];
double duration = TradeDays.GetTimeSpan(date, option.endDate);
Impv vol = new Impv(option, optionData, etfData, duration);
double sigma = vol.computeVol();
GetCurve(option.strike, option.optionType, duration, sigma);
}
}
/// <summary>
/// 按日期遍历，添加期权信息。写入静态哈希表myOptionList。
/// </summary>
/// <param name="startDate">开始日期</param>
/// <param name="endDate">结束日期</param>
private void GetOptionInformationList(int startDate, int endDate)
{
//定义交易日期的类。
TradeDays myTradeDays = new TradeDays(startDate, endDate);
//从数据库表中获取信息，如果已经是完整信息就不需要连接万德数据库。
if (GetOptionListFromTable(startDate, endDate) == true)
{
return;
}
//按日期遍历，添加期权信息。
WindAPI w = new WindAPI();
w.start();
foreach (int today in myTradeDays.myTradeDays)
{
if (TradeDays.IsOptionExerciseDate(today) || today == myTradeDays.myTradeDays[myTradeDays.myTradeDays.Count - 1])
{
WindData optionToday = w.wset("OptionChain", "date=" + today.ToString() + ";us_code=" + Configuration.underlyingAsset + ";option_var=;month=全部;call_put=全部");
object[] optionList = optionToday.data as object[];
int num = optionList.Length / 13;
for (int i = 0; i < num; i++)
{
optionFormat option = new optionFormat();
string codeString = (string)optionList[i * 13 + 4 - 1];
option.optionCode = Convert.ToInt32(codeString.Substring(0, 8));
option.market = codeString.Substring(9, 2);
option.optionName = (string)optionList[i * 13 + 5 - 1];
option.executeType = (string)optionList[i * 13 + 6 - 1];
option.strike = (double)optionList[i * 13 + 7 - 1];
option.optionType = (string)optionList[i * 13 + 9 - 1];
option.startDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 10 - 1]);
option.endDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 11 - 1]);
if (myOptionList.ContainsKey(option.optionCode) == false)
{
myOptionList.Add(option.optionCode, option);
}
}
}
}
w.stop();
}
