private double getOptionDelta(double strike, double duration, double r, double dividend, double vol, double stockPrice)
{
double delta = 0;
delta = ImpliedVolatilityExtension.ComputeOptionDelta(strike, duration, r, dividend, "认购", vol, stockPrice);
return(delta);
}
private double getOptionDelta(DateTime date, string BondCode, string stockCode)
{
double delta = 0.5;
var bondInfo = getBondDailyInfo(date, BondCode);
int days = DateTimeExtension.DateUtils.GetSpanOfTradeDays(date, bondInfo.conversionEndDate);
double duration = (double)days / 252.0;
var stockList = getPreviousStockCloseList(date, stockCode, days);
var stockLastClose = stockList[stockList.Count() - 1];
double volatility = HistoricalVolatilityExtension.getHistoricalVolatilityByClosePrice(stockList);
double strike = bondInfo.conversionPrice;
delta = ImpliedVolatilityExtension.ComputeOptionDelta(strike, duration, 0.04, 0, "认购", volatility, stockLastClose);
return(delta);
}
//计算从开始日期到结束日期的对冲成本
private double deltaHedgePerDate(DateTime startDate, DateTime endDate, Dictionary <DateTime, double> vol)
{
double option = 0;
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
int deltaIndex = 220;
//计算历史波动率参数
string hedgeCode = "";
double deltaNow = 0;
double pnl = 0;
double cash = 0;
//按第一天的开盘价确定期初价格和行权价
var stock = stockDailyRepo.GetStockTransactionWithRedis(indexCode, startDate, endDate);
double startPrice = stock[0].Open;
double strike = startPrice;
foreach (var date in tradedays)
{
//获取当日期货合约代码
var list = getSpecialFutureList(date);
//获取当日收盘前标的价格
// var index = stockMinutelyRepo.GetStockTransactionWithRedis(indexCode, date, date);
var index = allData[date][indexCode];
var indexPrice = index[deltaIndex].Close;
double duration = (DateUtils.GetSpanOfTradeDays(date, endDate) + 1 / 12) / 252.0;
//按标的计算收盘前delta值
double deltaTarget = ImpliedVolatilityExtension.ComputeOptionDelta(strike, duration, 0.04, 0, "认沽", vol[date], indexPrice);
//对冲未开仓进行开仓
if (hedgeCode == "")
{
hedgeCode = list.Last().Value.code;
double futurePrice = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += -futurePrice * deltaTarget;
deltaNow = deltaTarget;
}
//如果对冲的合约快到期时，进行移仓操作，移仓到季月合约
if (list.ContainsKey(hedgeCode) && list[hedgeCode].expireDate.Date.AddDays(-7) <= date.Date)
{
double futurePriceFront = allData[date][hedgeCode][deltaIndex + 1].Close;
hedgeCode = list.Last().Value.code;
double futurePriceNext = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += futurePriceFront * deltaNow - futurePriceNext * deltaTarget;
deltaNow = deltaTarget;
}
else if (list.ContainsKey(hedgeCode)) //对冲的合约未到期，继续对冲
{
double futurePrice = allData[date][hedgeCode][deltaIndex + 1].Close;
cash += -futurePrice * (deltaTarget - deltaNow);
deltaNow = deltaTarget;
}
//错误情况
if (list.ContainsKey(hedgeCode) == false && hedgeCode != "")
{
throw new ArgumentOutOfRangeException("对冲选取错误!!");
}
}
//计算最后一天的PNL=cash+期货值的钱+付出去的期权收益
var lastDate = tradedays.Last();
double futureLastPrice = allData[lastDate][hedgeCode][239].Close;
double indexLastPrice = stock.Last().Close;
pnl = -(cash + deltaNow * futureLastPrice - Math.Max(startPrice - indexLastPrice, 0));
option = pnl / startPrice;
return(option);
}
private Dictionary <string, optionGreeks> getGreekInformation(DateTime date, StockTransaction underlyingData, Dictionary <string, StockOptionInformationWithModified> optionList, List <StockOptionTransaction> optionData)
{
double oneYearDays = 280;
double underlyingClose = Math.Round(underlyingData.Close, 3);
Dictionary <string, optionGreeks> greeks = new Dictionary <string, optionGreeks>();
Dictionary <DateTime, double> durationDic = new Dictionary <DateTime, double>();
Dictionary <DateTime, List <double> > strikeDic = new Dictionary <DateTime, List <double> >();
Dictionary <DateTime, double> basisList = new Dictionary <DateTime, double>();
//希腊值的处理
//预处理到期日和行权价
foreach (var option in optionData)
{
var info = optionList[option.Code];
var expiredate = info.expireDate;
double strike = info.strike;
double unit = info.unit;
if (info.existsModified == true && date < info.dividendDate)
{
strike = info.strike;
unit = info.unitBeforeModifed;
}
if (durationDic.ContainsKey(expiredate) == false)
{
double modifiedDays = getModifiedDuration(date, expiredate, durationModifiedCoff);
oneYearDays = getModifiedDuration(expiredate.AddYears(-1), expiredate, durationModifiedCoff);
double duration = modifiedDays / oneYearDays;
durationDic.Add(expiredate, duration);
}
if (strikeDic.ContainsKey(expiredate) == false)
{
List <double> strikeList = new List <double>();
strikeList.Add(strike);
strikeDic.Add(expiredate, strikeList);
}
else
{
if (strikeDic[expiredate].Contains(strike) == false)
{
strikeDic[expiredate].Add(strike);
}
}
}
//逐月逐行权价，计算基差,同时计算基本信息
foreach (var list in strikeDic)
{
DateTime expireDate = list.Key;
double avgBasis = 0;
Dictionary <double, double> basisByStrike = new Dictionary <double, double>();
foreach (var item in list.Value)
{
double strike = item;
double callPrice = 0;
double putPrice = 0;
foreach (var option in optionData)
{
var info = optionList[option.Code];
//找出认购期权
if (info.type == "认购" && info.expireDate == expireDate)
{
if (info.existsModified == true && date < info.dividendDate)
{
if (info.strikeBeforeModified == strike)
{
callPrice = option.Close;
}
}
if (info.existsModified == false && info.strike == strike)
{
callPrice = option.Close;
}
}
//找出认沽期权
if (info.type == "认沽" && info.expireDate == expireDate)
{
if (info.existsModified == true && date < info.dividendDate)
{
if (info.strikeBeforeModified == strike)
{
putPrice = option.Close;
}
}
if (info.existsModified == false && info.strike == strike)
{
putPrice = option.Close;
}
}
}
double durationOfInterest = getInterestDuartion(date, expireDate);
double basis = callPrice - putPrice + strike * Math.Exp(-rate * durationOfInterest) - underlyingClose;
basisByStrike.Add(strike, basis);
}
List <double> strikeOrdered = list.Value.OrderBy(x => Math.Abs(x - underlyingClose)).ToList();
for (int i = 0; i < 3; i++)
{
avgBasis += basisByStrike[strikeOrdered[i]];
}
avgBasis = avgBasis / 3;
basisList.Add(expireDate, avgBasis);
}
//逐合约计算波动率及希腊值
foreach (var option in optionData)
{
optionGreeks greek = new optionGreeks();
var info = optionList[option.Code];
double strike = info.strike;
double optionPrice = option.Close;
int unit = info.unit;
if (info.existsModified == true && date < info.dividendDate)
{
strike = info.strike;
unit = info.unitBeforeModifed;
}
greek.strike = strike;
greek.name = info.name;
greek.underlying = info.underlying;
greek.underlyPrice = underlyingClose;
greek.unit = unit;
greek.today = date;
greek.code = info.code;
greek.expireDate = info.expireDate;
greek.duration = getInterestDuartion(date, info.expireDate);
greek.modifiedDuration = getModifiedDuration(date, info.expireDate, durationModifiedCoff) / getModifiedDuration(info.expireDate.AddYears(-1), info.expireDate, durationModifiedCoff);
greek.Basis = basisList[info.expireDate];
greek.optionPrice = optionPrice;
greek.type = info.type;
double optionPriceWithBasis = greek.underlyPrice + greek.Basis;
//计算波动率
greek.impliedVol = ImpliedVolatilityExtension.ComputeImpliedVolatility(greek.strike, greek.modifiedDuration, rate, 0, greek.type, greek.optionPrice, optionPriceWithBasis);
greek.delta = ImpliedVolatilityExtension.ComputeOptionDelta(greek.strike, greek.modifiedDuration, rate, 0, greek.type, greek.impliedVol, optionPriceWithBasis);
greek.cashDelta = greek.delta * greek.unit * greek.underlyPrice * 0.01;
greek.vega = ImpliedVolatilityExtension.ComputeOptionVega(greek.strike, greek.modifiedDuration, rate, 0, greek.impliedVol, optionPriceWithBasis);
greek.cashVega = greek.vega * greek.unit;
greek.cashGamma = 0.5 * greek.gamma * Math.Pow((greek.unit * greek.underlyPrice * 0.01), 2);
greek.cashBasis = greek.Basis * greek.delta * greek.unit;
//讲信息写入希腊值列表
greeks.Add(info.code, greek);
}
return(greeks);
}
