public SimulationOutput ComputeSimulation(SimulationInput input)
{
var securities = _repository.GetSecurities();
var underlying = securities.FirstOrDefault(x => x.SecurityType == SecurityType.Underlying);
var future = securities.FirstOrDefault(x => x.SecurityType == SecurityType.Future);
var call = securities.FirstOrDefault(x => x.SecurityType == SecurityType.Option);
ReturnCalculator.ComputeReturn(underlying.DataSeries);
var output = new SimulationOutput();
output.Type = SimulationType.FixedVol;
if (input != null && input.TimeWindow.HasValue)
{
output.TimeWindow = input.TimeWindow;
}
else
{
output.TimeWindow = 252;
}
if (input != null && input.Sigma.HasValue && input.Sigma.Value != 0)
{
output.Sigma = input.Sigma / 100;
}
else
{
output.Sigma = StdDev.ComputeStdDev(underlying.DataSeries, 252);
}
if (input != null && input.RiskFree.HasValue)
{
output.RiskFree = input.RiskFree / 100;
}
else
{
output.RiskFree = 4.5 / 100;
}
var minDate = call.DataSeries.Min(x => x.Date);
var initialVol = EWMA.ComputeInitalVol(underlying.DataSeries, input.Lambda.Value, minDate, input.TimeWindow.Value);
var count = 0;
double volYesterday = 0, returnYesterday = 0;
call.DataSeries
.OrderByDescending(x => x.Date)
.ToList()
.ForEach(x =>
{
var underPrice = future.DataSeries.Where(y => y.Date == x.Date).FirstOrDefault();
if (underPrice != null)
{
var simulationDataSerie = new SimulationDataSerie();
simulationDataSerie.Volatility = output.Sigma.Value;
simulationDataSerie.Date = x.Date;
simulationDataSerie.BlackAndScholesPrice =
BlackAndScholes.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, output.Sigma.Value, (x.TTM.Value / 252.0), 0);
simulationDataSerie.Black76Price =
Black76.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, output.Sigma.Value, (x.TTM.Value / 252.0), 0);
simulationDataSerie.UnderlyingPrice = underPrice.Price;
simulationDataSerie.MarketPrice = x.Price;
if (count == 0)
{
simulationDataSerie.EWMAVol = initialVol;
}
else
{
simulationDataSerie.EWMAVol = EWMA.ComputeVol(volYesterday, returnYesterday, input.Lambda.Value);
}
simulationDataSerie.BlackAndScholesPriceEWMA =
BlackAndScholes.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, simulationDataSerie.EWMAVol * 100, (x.TTM.Value / 252.0), 0);
simulationDataSerie.Black76PriceEWMA =
Black76.ComputePrice(underPrice.Price, call.Strike, output.RiskFree.Value, simulationDataSerie.EWMAVol, (x.TTM.Value / 252.0), 0);
returnYesterday = underlying.DataSeries.OrderByDescending(y => y.Date).First(y => y.Date < x.Date).Return;
volYesterday = simulationDataSerie.EWMAVol;
output.DataSeries.Add(simulationDataSerie);
count++;
}
});
output.DataSeries = output.DataSeries.OrderBy(x => x.Date).ToList();
return(output);
}
