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);
}