// vol
public double GetCurOptionPrice(
Detail.ProductType callPut,
double S, // stock price
double X, // exercise price
double remainDays, // maturity
double r, // interest rate
double v)
{
double d1 = 0.0;
double d2 = 0.0;
double dBlackScholes = 0.0;
double T = (double)(remainDays) / 365.0;
d1 = (Math.Log(S / X) + (r + v * v / 2.0) * T) / (v * Math.Sqrt(T));
d2 = d1 - v * Math.Sqrt(T);
if (callPut == Detail.ProductType.CallOption)
{
dBlackScholes = S * CND(d1) - X * Math.Exp(-r * T) * CND(d2);
}
else if (callPut == Detail.ProductType.PutOption)
{
dBlackScholes = X * Math.Exp(-r * T) * CND(-d2) - S * CND(-d1);
}
return dBlackScholes;
}
public RawMarketData Register(String code, String name, Detail.ProductType dpt)
{
Trace.Assert(dpt == Detail.ProductType.KtbSpot);
logger.Info("{0}({1}), {2} is registered.", code, name, dpt.ToString());
RawMarketData rmd = new RawMarketData(code, name, dpt);
_rmdDict.Add(code, rmd);
return rmd;
}
public RawMarketData(String code, Detail.ProductType dpt)
{
Code = code;
DPT = dpt;
this.BidPrice1 = double.MinValue;
this.AskPrice1 = double.MaxValue;
this.LastUpdatedTime = DateTime.Now.AddDays(-1);
}
// vol
public double GetDelta(
Detail.ProductType callPut,
double S, // stock price
double X, // exercise price
double remainDays, // maturity
double r, // interest rate
double v)
{
double price0 = GetCurOptionPrice(callPut, S - 1.0, X, remainDays, r, v);
double price1 = GetCurOptionPrice(callPut, S, X, remainDays, r, v);
double price2 = GetCurOptionPrice(callPut, S + 1.0, X, remainDays, r, v);
return (price2 - price0) / 2;
}
public MonitorEnter_CalFut(
StrategyNode node,
Detail.ProductType pt,
String fut1,
String spread,
String fut2,
ForwardBackward fb)
{
this._node = node;
IMarketDataBoard board = null;
switch (pt)
{
case Detail.ProductType.KospiFuture:
board = RmdManager.Ins().KospiFuture;
break;
case Detail.ProductType.UsdFuture:
board = RmdManager.Ins().Future;
break;
case Detail.ProductType.KtbFuture:
board = RmdManager.Ins().Future;
break;
default:
String errorMsg = String.Format("{0} is not valid type", pt);
logger.Error(errorMsg);
Util.KillWithNotice(errorMsg);
break;
}
_refRmdFut1 = board.GetData(fut1);
_refRmdSpread = board.GetData(spread);
_refRmdFut2 = board.GetData(fut2);
_referenceRmds.Add(_refRmdFut1);
_referenceRmds.Add(_refRmdSpread);
_referenceRmds.Add(_refRmdFut2);
STR_Arb root = node.Root as STR_Arb;
_futureAccount = root.FutureAccount;
}
public RawMarketData Register(String code, String name, Detail.ProductType dpt)
{
return RmdManager.Register(code, name, dpt, _rmdDict);
}
public static RawMarketData Register(String code, String name, Detail.ProductType dpt,
Dictionary<String, RawMarketData> dict)
{
RawMarketData rmd = new RawMarketData(code, name, dpt);
lock (dict)
{
if (!dict.ContainsKey(code))
{
dict.Add(code, rmd);
}
else
{
logger.Warn("{0} is already registered", code);
}
}
logger.Debug("{0}({1}), {2} is registered.", code, name, dpt.ToString());
return rmd;
}
public RawMarketData Register(String code, String name, Detail.ProductType dpt)
{
switch (dpt)
{
case Detail.ProductType.KospiFuture:
return KospiFuture.Register(code, name, dpt);
case Detail.ProductType.CallOption:
return Call.Register(code, name, dpt);
case Detail.ProductType.PutOption:
return Put.Register(code, name, dpt);
default:
logger.Warn("This is not implemented. {0}({1}), {2}", code, name, dpt.ToString());
break;
}
return null;
}
List<double> GetAdjustedPriceList(
Detail.ProductType dpt,
double fixedPriceSum,
double fixedPriceAverage,
double fixedPriceMax,
double fixedPriceMin,
List<double> fixedData,
double variablePriceSum,
double variablePriceAverage,
double variablePriceMax,
double variablePriceMin,
List<double> variableData)
{
double fixedDiff = fixedPriceMax - fixedPriceMin;
double variableDiff = variablePriceMax - variablePriceMin;
List<double> ret = new List<double>();
if (fixedDiff == 0 || variableDiff == 0)
{
ret.AddRange(fixedData);
return ret;
}
for (int i = 0; i < variableData.Count; ++i)
{
if (DPT == Detail.ProductType.CallOption)
{
double curRatio = (variableData[i] - variablePriceMin) / (variableDiff);
double curAdjustedPrice = fixedPriceMin + curRatio * fixedDiff;
ret.Add(curAdjustedPrice);
}
else
{
double negativeDiff = variablePriceAverage - variableData[i];
double curAdjustedPrice = fixedPriceAverage + negativeDiff * (fixedDiff / variableDiff);
ret.Add(curAdjustedPrice);
}
}
return ret;
}
public RawMarketData Register(String code, String name, Detail.ProductType dpt)
{
switch (dpt)
{
case Detail.ProductType.KospiFuture:
return KospiFuture.Register(code, name, dpt);
case Detail.ProductType.KospiFutureSpread:
return KospiFuture.Register(code, name, dpt);
case Detail.ProductType.CallOption:
return Call.Register(code, name, dpt);
case Detail.ProductType.PutOption:
return Put.Register(code, name, dpt);
case Detail.ProductType.Stock:
return Stock.Register(code, name, dpt);
case Detail.ProductType.ELW:
return Elw.Register(code, name, dpt);
case Detail.ProductType.KtbFuture:
return Future.Register(code, name, dpt);
case Detail.ProductType.BondSpot:
Trace.Assert(false, "여기서 Register하면 안된다.");
break;
case Detail.ProductType.KtbSpot:
Trace.Assert(false, "여기서 Register하면 안된다.");
break;
default:
logger.Warn("This is not implemented. {0}({1}), {2}", code, name, dpt.ToString());
break;
}
return null;
}
public static RawMarketData Register(String code, String name, Detail.ProductType dpt,
Dictionary<String, RawMarketData> dict)
{
RawMarketData rmd = new RawMarketData(code, name, dpt);
lock (dict)
{
dict.Add(code, rmd);
}
logger.Info("{0}, {1} is registered.", code, dpt.ToString());
return rmd;
}
public long RoundProductCount(long count, Detail.ProductType pt)
{
if (pt == Detail.ProductType.ELW)
{
return ElwUtil.RoundElwCount(count);
}
else if (pt == Detail.ProductType.KtbSpot)
{
return KtbSpotUtil.Ins().RoundProductCount(count);
}
// 일단은 주식(5만원 이하 10주 이상)은 없다고 가정한다.
return count;
}
public RawMarketData Register(String code, String name, Detail.ProductType dpt)
{
logger.Error("This is not valid.");
Util.KillWithNotice("This is not valid.");
return null;
}
public double GetImpliedVol(
Detail.ProductType callPut,
double S, // stock price
double X, // exercise price
int remainDays, // maturity
double r, // interest rate
double price)
{
double vol = 0.5;
double range = 0.25;
for (int i = 0; i < 7; ++i)
{
double priceCandidate = GetCurOptionPrice(callPut, S, X, remainDays, r, vol);
if (priceCandidate > price)
{
vol = vol - range;
}
else if (priceCandidate < price)
{
vol = vol + range;
}
else
{
break;
}
range /= 2.0;
}
return vol;
}
public RawMarketData Register(String code, String name, Detail.ProductType dpt)
{
logger.Info("{0}({1}), {2} is registered.", code, name, dpt.ToString());
return DataPool.Register(code, name, dpt);
}
