/// <summary>
/// Вернуть время между двумя датами в соответствии с заказанным алгоритмом расчета
/// </summary>
/// <param name="expiry">дата экспирации</param>
/// <param name="now">текущая дата</param>
/// <param name="tRemainMode">режим расчета</param>
/// <param name="returnDays">возвращать в долях года или в долях дней</param>
/// <param name="timeAsDays">время в долях дня</param>
/// <param name="timeAsYears">время в долях года</param>
/// <returns>время между двумя датами</returns>
public static double GetDt(DateTime expiry, DateTime now,
TimeRemainMode tRemainMode, bool returnDays,
out double timeAsDays, out double timeAsYears)
{
double days, daysInYear;
double partOfDayForTrading;
switch (tRemainMode)
{
case TimeRemainMode.PlainCalendar:
{
TimeSpan ts = expiry - now;
days = ts.TotalDays;
partOfDayForTrading = 1;
daysInYear = DaysInYearPlainCalendar;
}
break;
case TimeRemainMode.PlainCalendarWithoutWeekends:
{
TimeSpan ts = OptionUtils.GetDtWithoutWeekendsSlow(expiry, now);
days = ts.TotalDays;
partOfDayForTrading = 1;
daysInYear = DaysInYearPlainCalendarWithoutWeekends;
}
break;
case TimeRemainMode.PlainCalendarWithoutHolidays:
{
TimeSpan ts = OptionUtils.GetDtWithoutHolidaysSlow(expiry, now);
days = ts.TotalDays;
partOfDayForTrading = 1;
daysInYear = DaysInYearPlainCalendarWithoutHolidays;
}
break;
case TimeRemainMode.RtsTradingTime:
{
TimeSpan ts = OptionUtils.GetDtRtsTradingTime(expiry, now);
days = ts.TotalDays;
partOfDayForTrading = ((double)OptionUtils.TradingMinutesInDayRts) / (double)OptionUtils.MinutesInDay;
daysInYear = DaysInYearRts;
}
break;
case TimeRemainMode.LiquidProRtsTradingTime:
{
double tradingDaysInYear;
double dT = OptionUtils.GetDtLiquidProRtsTradingTime(expiry, now, out tradingDaysInYear);
timeAsDays = dT * tradingDaysInYear;
timeAsYears = dT;
if (returnDays)
{
return(timeAsDays);
}
else
{
return(timeAsYears);
}
}
//break;
default:
throw new NotImplementedException("tRemainMode:" + tRemainMode);
}
timeAsDays = days / partOfDayForTrading;
timeAsYears = days / daysInYear;
if (returnDays)
{
return(timeAsDays);
}
else
{
return(timeAsYears);
}
}
protected override IEnumerable <Double2> Calculate(IOptionStrike[] strikes)
{
var bidList = new List <Double2>();
var finArray = new Dictionary <double, StrikeInfo>();
foreach (var optionStrike in strikes)
{
if (!finArray.ContainsKey(optionStrike.Strike))
{
var lastUpdate = optionStrike.FinInfo.LastUpdate;
if (lastUpdate == DateTime.MinValue)
{
continue;
}
var stInfo = new StrikeInfo
{
ExpDate = OptionUtils.YearsBetweenDates(optionStrike.ExpirationDate, lastUpdate),
BasePrice = optionStrike.UnderlyingAsset.FinInfo.LastPrice ?? 0
};
FillStrikeInfo(optionStrike, stInfo);
finArray.Add(optionStrike.Strike, stInfo);
}
else
{
var key = optionStrike.Strike;
var stInfo = finArray[key];
FillStrikeInfo(optionStrike, stInfo);
}
}
// выход, пустой список
if (finArray.Count == 0)
{
return(bidList);
}
// расчет волатильностей
foreach (var strikeInfo in finArray)
{
double precision;
var callSigma = (strikeInfo.Value.Call != 0.0)
? FinMath.GetOptionSigma(strikeInfo.Value.BasePrice, strikeInfo.Key, strikeInfo.Value.ExpDate,
strikeInfo.Value.Call, 0.0, true, out precision)
: 0;
var putSigma = (strikeInfo.Value.Put != 0.0)
? FinMath.GetOptionSigma(strikeInfo.Value.BasePrice, strikeInfo.Key, strikeInfo.Value.ExpDate,
strikeInfo.Value.Put, 0.0, false, out precision)
: 0;
strikeInfo.Value.CallSigma = callSigma;
strikeInfo.Value.PutSigma = putSigma;
if (putSigma == 0 && callSigma == 0)
{
continue;
}
// добавим значение
bidList.Add(new Double2 {
V1 = strikeInfo.Key, V2 = Math.Max(callSigma, putSigma) * 100.0
});
}
return(bidList);
}
