/// <summary>
/// 计算隐含波动率及其他希腊值的类。
/// </summary>
/// <param name="option">期权类型</param>
/// <param name="optionData">期权数据</param>
/// <param name="etfData">etf数据</param>
/// <param name="duration">到期时间</param>
public Impv(optionFormat option, levelOne optionData, levelOne etfData, double duration)
{
this.option = option;
this.optionData = optionData;
this.etfData = etfData;
this.duration = duration;
}
/// <summary>
/// 计算隐含波动率
/// </summary>
/// <param name="myData">数据</param>
/// <param name="index">时间下标</param>
public void ComputeVolDaily(GetDataDaily myData, int index)
{
levelOne etfData = myData.dataDaily["510050.SH"][index];
foreach (int code in optionListInt)
{
string codeStr = code.ToString() + ".SH";
optionFormat option = OptionInformation.myOptionList[code];
levelOne optionData = myData.dataDaily[codeStr][index];
double duration = TradeDays.GetTimeSpan(date, option.endDate);
Impv vol = new Impv(option, optionData, etfData, duration);
double sigma = vol.computeVol();
GetCurve(option.strike, option.optionType, duration, sigma);
}
}
/// <summary>
/// 从数据库中读取期权信息，并判断是否完整。
/// </summary>
/// <param name="startDate">开始时间</param>
/// <param name="endDate">结束时间</param>
/// <returns>是否完整</returns>
private bool GetOptionListFromTable(int startDate, int endDate)
{
using (SqlConnection conn = new SqlConnection(connectString))
{
conn.Open();//打开数据库
SqlCommand cmd = conn.CreateCommand();
cmd.CommandText = "select * from [" + dataBaseName + "].[dbo].[" + optionCodeTableName + "]";
int theLastCode = 0;
int theLastStartDate = 0;
try
{
//从数据库中读取数据流存入reader中
SqlDataReader reader = cmd.ExecuteReader();
//从reader中读取下一行数据,如果没有数据,reader.Read()返回flase
while (reader.Read())
{
optionFormat newOption = new optionFormat();
int optionCode = reader.GetInt32(reader.GetOrdinal("OptionCode"));
theLastCode = (optionCode > theLastCode) ? optionCode : theLastCode;
newOption.optionCode = optionCode;
newOption.optionName = reader.GetString(reader.GetOrdinal("OptionName")).Trim();
newOption.executeType = reader.GetString(reader.GetOrdinal("ExecuteType")).Trim();
newOption.strike = reader.GetDouble(reader.GetOrdinal("Strike"));
newOption.optionType = reader.GetString(reader.GetOrdinal("OptionType")).Trim();
newOption.startDate = reader.GetInt32(reader.GetOrdinal("StartDate"));
newOption.endDate = reader.GetInt32(reader.GetOrdinal("EndDate"));
newOption.market = reader.GetString(reader.GetOrdinal("Market")).Trim();
theLastStartDate = (theLastStartDate > newOption.startDate) ? theLastStartDate : newOption.startDate;
if (myOptionList.ContainsKey(optionCode) == false)
{
myOptionList.Add(optionCode, newOption);
}
}
}
catch (Exception myerror)
{
System.Console.WriteLine(myerror.Message);
}
if (theLastStartDate >= endDate && theLastCode % 10000 == myOptionList.Count)
{
return(true);
}
}
return(false);
}
/// <summary>
/// 按日期遍历，添加期权信息。写入静态哈希表myOptionList。
/// </summary>
/// <param name="startDate">开始日期</param>
/// <param name="endDate">结束日期</param>
private void GetOptionInformationList(int startDate, int endDate)
{
//定义交易日期的类。
TradeDays myTradeDays = new TradeDays(startDate, endDate);
//从数据库表中获取信息，如果已经是完整信息就不需要连接万德数据库。
if (GetOptionListFromTable(startDate, endDate) == true)
{
return;
}
//按日期遍历，添加期权信息。
WindAPI w = new WindAPI();
w.start();
foreach (int today in myTradeDays.myTradeDays)
{
if (TradeDays.IsOptionExerciseDate(today) || today == myTradeDays.myTradeDays[myTradeDays.myTradeDays.Count - 1])
{
WindData optionToday = w.wset("OptionChain", "date=" + today.ToString() + ";us_code=" + Configuration.underlyingAsset + ";option_var=;month=全部;call_put=全部");
object[] optionList = optionToday.data as object[];
int num = optionList.Length / 13;
for (int i = 0; i < num; i++)
{
optionFormat option = new optionFormat();
string codeString = (string)optionList[i * 13 + 4 - 1];
option.optionCode = Convert.ToInt32(codeString.Substring(0, 8));
option.market = codeString.Substring(9, 2);
option.optionName = (string)optionList[i * 13 + 5 - 1];
option.executeType = (string)optionList[i * 13 + 6 - 1];
option.strike = (double)optionList[i * 13 + 7 - 1];
option.optionType = (string)optionList[i * 13 + 9 - 1];
option.startDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 10 - 1]);
option.endDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 11 - 1]);
if (myOptionList.ContainsKey(option.optionCode) == false)
{
myOptionList.Add(option.optionCode, option);
}
}
}
}
w.stop();
}