public UnlTradingData CalculateWhatIf(double ivChange, int daysLeftChange)
{
IVChange = ivChange;
DaysLeftChange = daysLeftChange;
var positionList = UnlManager.PositionsDataBuilder.PositionDataDic.Values;
List <BnSCalculationData> bnSCalculationDataList = new List <BnSCalculationData>();
BnSCalcHelpper bnSCalcHelpper = new BnSCalcHelpper();
foreach (OptionsPositionData position in positionList)
{
BnSCalculationData bnSCalculationData =
bnSCalcHelpper.CalculateValuesByBnS(position.OptionData, DaysLeftChange, IVChange);
bnSCalculationData.Position = position.Position;
bnSCalculationDataList.Add(bnSCalculationData);
}
WhatIfPositionsSummaryData =
new PositionsSummaryData
{
CostTotal = bnSCalculationDataList.Sum(pd => pd.Cost),
DeltaTotal = bnSCalculationDataList.Sum(pd => pd.DeltaTotal),
GammaTotal = bnSCalculationDataList.Sum(pd => pd.GammaTotal),
ThetaTotal = bnSCalculationDataList.Sum(pd => pd.ThetaTotal),
VegaTotal = bnSCalculationDataList.Sum(pd => pd.VegaTotal),
MarketValue = bnSCalculationDataList.Sum(pd => pd.PositionPrice),
Shorts = bnSCalculationDataList.Where(pd => pd.Position < 0).Sum(pd => Abs(pd.Position)),
Longs = bnSCalculationDataList.Where(pd => pd.Position > 0).Sum(pd => pd.Position),
IVWeightedAvg = bnSCalculationDataList.Sum(pd => pd.ImpliedVolatilitiesForCalc * pd.Quantity) /
bnSCalculationDataList.Sum(pd => pd.Quantity)
};
WhatIfUnlTradingData.PositionsSummaryData = WhatIfPositionsSummaryData;
return(WhatIfUnlTradingData);
}
/// <summary>
/// Insert the new calculated values to the OptionData object, instead of the old values.
/// </summary>
/// <param name="bnSCalculationData"></param>
/// <param name="optionData"></param>
private void UpdateOptionData(BnSCalculationData bnSCalculationData, OptionData optionData)
{
optionData.ImpliedVolatility = bnSCalculationData.ImpliedVolatilitiesBase;
optionData.Delta = bnSCalculationData.ResultDataValues.Delta;
optionData.Gamma = bnSCalculationData.ResultDataValues.Gamma;
optionData.Theta = bnSCalculationData.ResultDataValues.Theta;
optionData.Vega = bnSCalculationData.ResultDataValues.Vega;
}
/// <summary>
/// Calculate the values according the Bns calculations
/// </summary>
/// <param name="optionData"> </param>
/// <param name="daysLeftChange">the change on the left daye to expiry.</param>
/// <param name="ivChange">the change on the IV</param>
/// <returns></returns>
public BnSCalculationData CalculateValuesByBnS(OptionData optionData, int daysLeftChange = 0, double ivChange = 0)
{
//First calculate the IV according the actual prices, UNL and option price.
var calculatedIV = CalculateIVByOptionPrice(optionData);
//Create object for calculation and store the results:
var parametersForCalc =
new ParametersForCalc(optionData, daysLeftChange, ivChange)
{
ImpliedVolatilitiesBase = calculatedIV
};
var bnSCalculationData = new BnSCalculationData(parametersForCalc);
//Do BnS calculations:
CalculateBnSValues(bnSCalculationData);
return(bnSCalculationData);
}
/// <summary>
/// Use BnS equation to calculate the values (Greek parameters).
/// </summary>
/// <param name="bnSCalculationData"></param>
private void CalculateBnSValues(BnSCalculationData bnSCalculationData)
{
var blackNScholesCaculator = new BlackNScholesCaculator
{
DayLefts = bnSCalculationData.DayLeftsForCalc,
ImpliedVolatilities = bnSCalculationData.ImpliedVolatilitiesForCalc,
RiskFreeInterestRate = RiskFreeInterestRate,
StockPrice = bnSCalculationData.StockPrice,
Strike = bnSCalculationData.Strike,
Multiplier = bnSCalculationData.Multiplier
};
int multiplier = bnSCalculationData.Multiplier;
blackNScholesCaculator.CalculateAll();
if (bnSCalculationData.OptionType == EOptionType.Call)
{
bnSCalculationData.ResultDataValues.OptionPrice = double.IsNaN(blackNScholesCaculator.CallValue)
? 0
: blackNScholesCaculator.CallValue;
bnSCalculationData.ResultDataValues.Delta = blackNScholesCaculator.DeltaCall / multiplier;
bnSCalculationData.ResultDataValues.Gamma = blackNScholesCaculator.GamaCall / multiplier;
bnSCalculationData.ResultDataValues.Theta = blackNScholesCaculator.ThetaCall / multiplier;
bnSCalculationData.ResultDataValues.Vega = blackNScholesCaculator.VegaCall / multiplier;
}
else
{
bnSCalculationData.ResultDataValues.OptionPrice = double.IsNaN(blackNScholesCaculator.PutValue)
? 0
: blackNScholesCaculator.PutValue;
bnSCalculationData.ResultDataValues.Delta = blackNScholesCaculator.DeltaPut / multiplier;
bnSCalculationData.ResultDataValues.Gamma = blackNScholesCaculator.GamaPut / multiplier;
bnSCalculationData.ResultDataValues.Theta = blackNScholesCaculator.ThetaPut / multiplier;
bnSCalculationData.ResultDataValues.Vega = blackNScholesCaculator.VegaPut / multiplier;
}
}