Exemple #1
0
        public void Update(MarketDetailsResponse marketDetails)
        {
            Bid = Convert.ToDouble(marketDetails.snapshot.bid);
            Ask = Convert.ToDouble(marketDetails.snapshot.offer);

            Prime  = (Bid + Ask) / 2;
            Spread = Ask - Bid;

            InterestRate = EuriborHelper.GetInterestRate(Expiry.Subtract(DateTime.Now));

            CurrentPrice = Convert.ToDouble(marketDetails.snapshot.netChange);
            var isCall = Directions == OptionDirections.Call;
            var time   = Expiry.Subtract(DateTime.Now).TotalDays / 365;

            var correctedPrime = Math.Min(Bid + Spread * (Bid / 20), Prime);

            Volatility = BlackScholesHelper.ImpliedVolatility(isCall, CurrentPrice, Strike, time, 0, correctedPrime);

            InterestRate = Math.Round(InterestRate * 100, 2);
            Volatility   = Math.Round(Volatility * 100, 2);
        }
Exemple #2
0
        public OptionItem(MarketDetailsResponse marketDetails)
        {
            Epic = marketDetails.instrument.epic;

            Quantity = 1;
            Name     = $"{marketDetails.instrument.name} ({marketDetails.instrument.expiry})";

            var infos = marketDetails.instrument.name.Split(' ');

            var dir    = infos[infos.Length - 1];
            var strike = infos[infos.Length - 2];

            Directions = dir.ToUpper() == "CALL" ? OptionDirections.Call : OptionDirections.Put;
            Strike     = Convert.ToDouble(strike);

            Expiry = Convert.ToDateTime(marketDetails.instrument.expiryDetails.lastDealingDate, CultureInfo.GetCultureInfo("fr-FR"));

            Bid = Convert.ToDouble(marketDetails.snapshot.bid);
            Ask = Convert.ToDouble(marketDetails.snapshot.offer);

            Prime        = (Bid + Ask) / 2;
            CurrentPrime = Prime;
            Spread       = Ask - Bid;

            PrimeString = $"({Ask}/{Bid})";

            InterestRate = EuriborHelper.GetInterestRate(Expiry.Subtract(DateTime.Now));

            CurrentPrice = Convert.ToDouble(marketDetails.snapshot.netChange);
            var isCall = Directions == OptionDirections.Call;
            var time   = Expiry.Subtract(DateTime.Now).TotalDays / 365;

            var correctedPrime = Math.Min(Bid + Spread * (Bid / 20), Prime);

            Volatility = BlackScholesHelper.ImpliedVolatility(isCall, CurrentPrice, Strike, time, 0, correctedPrime);

            InterestRate = Math.Round(InterestRate * 100, 2);
            Volatility   = Math.Round(Volatility * 100, 2);
        }