/// <summary>
/// Set how the underlying price ("at the money") is determined
/// <see cref="MamdaOptionAtTheMoneyCompareType"/>
/// </summary>
/// <param name="atTheMoneyType"></param>
public void setAtTheMoneyType(MamdaOptionAtTheMoneyCompareType atTheMoneyType)
{
if (mAtTheMoneyType != atTheMoneyType)
{
mAtTheMoneyType = atTheMoneyType;
resetRange();
}
}
/// <summary>
/// Return whether the price is within a % of the money.
/// Determine whether some price (e.g. a strike price) is within a
/// given percentage range of the underlying (at the money) price.
/// </summary>
/// <param name="price">The strike price to check.</param>
/// <param name="percentage">What % to check the strike price against.</param>
/// <param name="compareType">What price we are checking against <see cref="MamdaOptionAtTheMoneyCompareType">(see MamdaOptionAtTheMoneyCompareType)</see></param>
/// <returns>Whether the price is within % of the money.</returns>
public bool getIsPriceWithinPercentOfMoney(
double price,
double percentage,
MamdaOptionAtTheMoneyCompareType compareType)
{
double atTheMoney = getAtTheMoney(compareType);
if (atTheMoney == 0.0)
{
return(false);
}
return(((1.0 - percentage) <= price) || (price <= (1.0 + percentage)));
}
/// <summary>
/// Get the price of the option underlying.
/// Determine the underlying price ("at the money"), based on the
/// mode of calculation.
/// </summary>
/// <param name="compareType">The mode of calculation
/// <see cref="MamdaOptionAtTheMoneyCompareType">(MamdaOptionAtTheMoneyCompareType)</see></param>
/// <returns>The price of the underlying.</returns>
public double getAtTheMoney(MamdaOptionAtTheMoneyCompareType compareType)
{
double atTheMoney = 0.0;
switch (compareType)
{
case MamdaOptionAtTheMoneyCompareType.MID_QUOTE:
if (mQuoteListener == null)
{
return(0.0);
}
atTheMoney = (mQuoteListener.getBidPrice().getValue() + mQuoteListener.getAskPrice().getValue()) / 2.0;
break;
case MamdaOptionAtTheMoneyCompareType.BID:
if (mQuoteListener == null)
{
return(0.0);
}
atTheMoney = mQuoteListener.getBidPrice().getValue();
break;
case MamdaOptionAtTheMoneyCompareType.ASK:
if (mQuoteListener == null)
{
return(0.0);
}
atTheMoney = mQuoteListener.getAskPrice().getValue();
break;
case MamdaOptionAtTheMoneyCompareType.LAST_TRADE:
if (mTradeListener == null)
{
return(0.0);
}
atTheMoney = mTradeListener.getLastPrice().getValue();
break;
}
return(atTheMoney);
}
/// <summary>
/// Determine the set of strike prices that are included in a given
/// percentage range of the underlying price. If there are no
/// strikes within the percentage range, then both strike prices
/// are set to zero.
/// <see cref="MamdaOptionAtTheMoneyCompareType"/>
/// </summary>
/// <param name="percentage">The percentage range of the underlying price.</param>
/// <param name="compareType">Which underlying price to compare to.</param>
/// <returns>Set of strike prices.</returns>
public SortedSet getStrikesWithinPercent(
double percentage,
MamdaOptionAtTheMoneyCompareType compareType)
{
percentage /= 100.0;
if (percentage <= 0.0)
{
return(null);
}
double atTheMoney = getAtTheMoney(compareType);
if (atTheMoney == 0.0)
{
return(null);
}
double lowPercent = atTheMoney * (1.0 - percentage);
double highPercent = atTheMoney * (1.0 + percentage);
SortedSet strikeSubSet = mStrikePrices.subSet(lowPercent, highPercent);
return(strikeSubSet);
}
/// <summary>
/// Set how the underlying price ("at the money") is determined
/// <see cref="MamdaOptionAtTheMoneyCompareType"/>
/// </summary>
/// <param name="atTheMoneyType"></param>
public void setAtTheMoneyType(MamdaOptionAtTheMoneyCompareType atTheMoneyType)
{
if (mAtTheMoneyType != atTheMoneyType)
{
mAtTheMoneyType = atTheMoneyType;
resetRange();
}
}
/// <summary>
/// Determine the set of strike prices that are included in a given
/// fixed size range of strikes surrounding the underlying price.
/// If rangeLen is odd, then the strike price nearest to the
/// underlying price is treated as a higher strike price. If
/// rangeLen is even and the underlying price is exactly equal to a
/// strike price, then that strike price is treated as a higher
/// strike price.
/// <see cref="MamdaOptionAtTheMoneyCompareType"/>
/// </summary>
/// <param name="rangeLength">Number of strike prices to include in result. </param>
/// <param name="compareType">What underlying price to use as a comparator.</param>
/// <returns>Resulting set of strike prices.</returns>
public SortedSet getStrikesWithinRangeSize (
int rangeLength,
MamdaOptionAtTheMoneyCompareType compareType)
{
if (rangeLength <= 0)
return null;
double atTheMoney = getAtTheMoney(compareType);
if (atTheMoney == 0.0)
return null;
int countToMoney = 0;
int countFromMoney = 0;
double halfRangeLength = rangeLength / 2.0;
double lowerBound = Double.NaN;
double upperBound = Double.NaN;
// First loop determines the upper bound and count the number
// of strikes that are less than the "money".
Iterator strikeIter = mStrikePrices.iterator();
while (strikeIter.hasNext())
{
double strikePrice = (double)strikeIter.next();
if (strikePrice < atTheMoney)
{
// We're still less than the "money", so keep counting up.
countToMoney++;
}
else
{
// Check the upper bound. Take a price that is
// slightly higher than this strike price because we
// want to include it (Set.subSet excludes the
// toElement).
countFromMoney++;
upperBound = strikePrice + 0.00001;
if (countFromMoney >= halfRangeLength)
{
// We've passed the upper end of the range
break;
}
}
}
// Second loop determines the lower bound.
int targetCount = countToMoney - (rangeLength - countFromMoney);
strikeIter = mStrikePrices.iterator();
while (strikeIter.hasNext())
{
double strikePrice = (double)strikeIter.next();
if (targetCount > 0)
{
// We have not yet hit the lowerBound.
targetCount--;
}
else
{
lowerBound = strikePrice;
break;
}
}
if (Double.IsNaN(lowerBound))
lowerBound = 0.0;
if (Double.IsNaN(upperBound))
upperBound = Double.MaxValue;
SortedSet result = mStrikePrices.subSet(lowerBound, upperBound);
lowerBound = (double)result.first();
upperBound = (double)result.last();
return result;
}
/// <summary>
/// Determine the set of strike prices that are included in a given
/// percentage range of the underlying price. If there are no
/// strikes within the percentage range, then both strike prices
/// are set to zero.
/// <see cref="MamdaOptionAtTheMoneyCompareType"/>
/// </summary>
/// <param name="percentage">The percentage range of the underlying price.</param>
/// <param name="compareType">Which underlying price to compare to.</param>
/// <returns>Set of strike prices.</returns>
public SortedSet getStrikesWithinPercent(
double percentage,
MamdaOptionAtTheMoneyCompareType compareType)
{
percentage /= 100.0;
if (percentage <= 0.0)
return null;
double atTheMoney = getAtTheMoney(compareType);
if (atTheMoney == 0.0)
return null;
double lowPercent = atTheMoney * (1.0 - percentage);
double highPercent = atTheMoney * (1.0 + percentage);
SortedSet strikeSubSet = mStrikePrices.subSet(lowPercent, highPercent);
return strikeSubSet;
}
/// <summary>
/// Return whether the price is within a % of the money.
/// Determine whether some price (e.g. a strike price) is within a
/// given percentage range of the underlying (at the money) price.
/// </summary>
/// <param name="price">The strike price to check.</param>
/// <param name="percentage">What % to check the strike price against.</param>
/// <param name="compareType">What price we are checking against <see cref="MamdaOptionAtTheMoneyCompareType">(see MamdaOptionAtTheMoneyCompareType)</see></param>
/// <returns>Whether the price is within % of the money.</returns>
public bool getIsPriceWithinPercentOfMoney(
double price,
double percentage,
MamdaOptionAtTheMoneyCompareType compareType)
{
double atTheMoney = getAtTheMoney(compareType);
if (atTheMoney == 0.0)
return false;
return (((1.0 - percentage) <= price) || (price <= (1.0 + percentage)));
}
/// <summary>
/// Get the price of the option underlying.
/// Determine the underlying price ("at the money"), based on the
/// mode of calculation.
/// </summary>
/// <param name="compareType">The mode of calculation
/// <see cref="MamdaOptionAtTheMoneyCompareType">(MamdaOptionAtTheMoneyCompareType)</see></param>
/// <returns>The price of the underlying.</returns>
public double getAtTheMoney(MamdaOptionAtTheMoneyCompareType compareType)
{
double atTheMoney = 0.0;
switch (compareType)
{
case MamdaOptionAtTheMoneyCompareType.MID_QUOTE:
if (mQuoteListener == null) return 0.0;
atTheMoney = (mQuoteListener.getBidPrice().getValue() + mQuoteListener.getAskPrice().getValue()) / 2.0;
break;
case MamdaOptionAtTheMoneyCompareType.BID:
if (mQuoteListener == null) return 0.0;
atTheMoney = mQuoteListener.getBidPrice().getValue();
break;
case MamdaOptionAtTheMoneyCompareType.ASK:
if (mQuoteListener == null) return 0.0;
atTheMoney = mQuoteListener.getAskPrice().getValue();
break;
case MamdaOptionAtTheMoneyCompareType.LAST_TRADE:
if (mTradeListener == null) return 0.0;
atTheMoney = mTradeListener.getLastPrice().getValue();
break;
}
return atTheMoney;
}
/// <summary>
/// Determine the set of strike prices that are included in a given
/// fixed size range of strikes surrounding the underlying price.
/// If rangeLen is odd, then the strike price nearest to the
/// underlying price is treated as a higher strike price. If
/// rangeLen is even and the underlying price is exactly equal to a
/// strike price, then that strike price is treated as a higher
/// strike price.
/// <see cref="MamdaOptionAtTheMoneyCompareType"/>
/// </summary>
/// <param name="rangeLength">Number of strike prices to include in result. </param>
/// <param name="compareType">What underlying price to use as a comparator.</param>
/// <returns>Resulting set of strike prices.</returns>
public SortedSet getStrikesWithinRangeSize(
int rangeLength,
MamdaOptionAtTheMoneyCompareType compareType)
{
if (rangeLength <= 0)
{
return(null);
}
double atTheMoney = getAtTheMoney(compareType);
if (atTheMoney == 0.0)
{
return(null);
}
int countToMoney = 0;
int countFromMoney = 0;
double halfRangeLength = rangeLength / 2.0;
double lowerBound = Double.NaN;
double upperBound = Double.NaN;
// First loop determines the upper bound and count the number
// of strikes that are less than the "money".
Iterator strikeIter = mStrikePrices.iterator();
while (strikeIter.hasNext())
{
double strikePrice = (double)strikeIter.next();
if (strikePrice < atTheMoney)
{
// We're still less than the "money", so keep counting up.
countToMoney++;
}
else
{
// Check the upper bound. Take a price that is
// slightly higher than this strike price because we
// want to include it (Set.subSet excludes the
// toElement).
countFromMoney++;
upperBound = strikePrice + 0.00001;
if (countFromMoney >= halfRangeLength)
{
// We've passed the upper end of the range
break;
}
}
}
// Second loop determines the lower bound.
int targetCount = countToMoney - (rangeLength - countFromMoney);
strikeIter = mStrikePrices.iterator();
while (strikeIter.hasNext())
{
double strikePrice = (double)strikeIter.next();
if (targetCount > 0)
{
// We have not yet hit the lowerBound.
targetCount--;
}
else
{
lowerBound = strikePrice;
break;
}
}
if (Double.IsNaN(lowerBound))
{
lowerBound = 0.0;
}
if (Double.IsNaN(upperBound))
{
upperBound = Double.MaxValue;
}
SortedSet result = mStrikePrices.subSet(lowerBound, upperBound);
lowerBound = (double)result.first();
upperBound = (double)result.last();
return(result);
}
