Exemple #1
0
        /// <summary>
        /// Finds the zero cost put strike.
        /// </summary>
        /// <param name="stock">The stock.</param>
        /// <param name="zeroRateCurve">The zero rate curve.</param>
        /// <returns></returns>
        public Double FindZeroCostPutStrike(Stock stock, ZeroAUDCurve zeroRateCurve)
        {
            // Unpack objects
            ZeroCurve myZero = Wrapper.UnpackZeroRateCurve(zeroRateCurve);
            DivList   myDiv  = Wrapper.UnpackDividends(stock, zeroRateCurve);
            var       myORC  = Wrapper.UnpackOrcWingParameters(stock);
            //
            TimeSpan ts      = stock.Transaction.ExpiryDate - stock.Transaction.TradeDate;
            double   t       = ts.Days / 365.0;
            string   payFlag = stock.Transaction.PayStyle.ToString().Substring(0, 1).ToUpper();
            string   style   = stock.Transaction.Strike.Style.ToString().Substring(0, 1).ToUpper();
            double   price   = Analytics.Equities.Collar.FindZeroCostPut(myZero, myDiv, myORC, t,
                                                                         stock.Transaction.Strike.StrikePrice, stock.Transaction.CurrentSpot, payFlag, style, 100.0);

            return(price);
        }
Exemple #2
0
        /// <summary>
        /// Finds the zero cost strike.
        /// </summary>
        /// <param name="optionType">Type of the option.</param>
        /// <param name="stock">The stock.</param>
        /// <param name="zeroRateCurve">The zero rate curve.</param>
        /// <returns></returns>
        public Double FindZeroCostStrike(OptionType optionType, Stock stock, ZeroAUDCurve zeroRateCurve)
        {
            Double price;

            switch (optionType)
            {
            case OptionType.Call:
                price = FindZeroCostCallStrike(stock, zeroRateCurve);
                break;

            case OptionType.Put:
                price = FindZeroCostPutStrike(stock, zeroRateCurve);
                break;

            default:
                throw new ArgumentException("Option Type must be specified");
            }
            return(price);
        }
Exemple #3
0
        /// <summary>
        ///
        /// </summary>
        /// <param name="underlying"></param>
        /// <param name="spot"></param>
        /// <param name="putStrike"></param>
        /// <param name="style"></param>
        /// <param name="tradeDate"></param>
        /// <param name="expiryDate"></param>
        /// <param name="zeroArray"></param>
        /// <param name="divArray"></param>
        /// <param name="orcParams"></param>
        /// <returns></returns>
        public static double CallCollarPricer(String underlying, double spot, double putStrike,
                                              string style, DateTime tradeDate, DateTime expiryDate, List <ZeroCurveRange> zeroArray,
                                              List <DividendRange> divArray, WingParamsRange orcParams)
        {
            // Skew;
            WingCurvature[] wingCurve = Wrapper.UnpackWing(orcParams, tradeDate);
            // Dividends;
            DividendList dList = Wrapper.UnpackDiv(divArray);
            // ZeroCurve;
            ZeroAUDCurve zeroCurve = Wrapper.UnpackZero(zeroArray, tradeDate);
            var          ist       = new Stock(underlying, underlying, dList, wingCurve);
            //test the price
            var col = new Collar();
            var tr  = new TransactionDetail(underlying)
            {
                CurrentSpot = spot
            };

            if (style == "A")
            {
                tr.PayStyle = PayStyleType.American;
            }
            else if (style == "E")
            {
                tr.PayStyle = PayStyleType.European;
            }
            else
            {
                tr.PayStyle = PayStyleType.NotSpecified;
            }
            tr.TradeDate    = tradeDate;
            tr.ExpiryDate   = expiryDate;
            ist.Transaction = tr;
            //test collar
            var testSt = new Strike(OptionType.Put, putStrike);

            ist.Transaction.SetStrike(testSt);
            double callStrike = col.FindZeroCostCallStrike(ist, zeroCurve);

            return(callStrike);
        }