private double MoneyAtStroke(PriceModel model, double startPrice, double strike, OptionType type, int optSide, int periods, int volume)
{
var price = startPrice;
for (var i = 0; i < periods; i++)
{
var delta = model.GetRandomDelta();
var sign = rand.Next(2) > 0 ? 1 : -1;
price += delta * sign;
if (type == OptionType.Touch)
{
if (optSide > 0 && price >= strike)
{
return(volume);
}
if (optSide < 0 && price <= strike)
{
return(volume);
}
}
}
if (optSide > 0 && price >= strike)
{
return(volume * (price - strike));
}
if (optSide < 0 && price <= strike)
{
return(volume * (strike - price));
}
return(0);
}
private double TestTotalProfit(double lastDayMultiplier)
{
var price = (double)VanillaPrice;
for (var i = 0; i < timeframesTotal; i++)
{
price += model.GetRandomDelta();
}
if (lastDayMultiplier > 0)
{
price += lastDayMultiplier * model.GetRandomDelta();
}
var delta = Side == OptionSide.Call
? price - (double)Strike
: (double)Strike - price;
return(delta > 0 ? delta : 0);
}
public void TestDeltaGeneration()
{
var candles = new List <CandleData>();
for (var i = 0; i < 10000; i++)
{
var delta = Gaussian.BoxMuller(0, 1);
candles.Add(new CandleData(100, 100,
99, 100 + (float)delta, new DateTime(), new DateTime()));
}
// небольшой процент больших смещений
for (var i = 0; i < 10; i++)
{
var delta = 5 * (i % 2 == 0 ? 1 : -1);
candles.Add(new CandleData(100, 100,
99, 100 + 1f * (float)delta, new DateTime(), new DateTime()));
}
var listOc = candles.Select(c => (double)(c.close - c.open)).OrderBy(c => c).ToList();
var model = new PriceModel(listOc);
const int checksCount = 5000;
var deltas = new double[checksCount];
for (var i = 0; i < checksCount; i++)
{
deltas[i] = model.GetRandomDelta();
}
var meanDelta = deltas.Average();
var maxDelta = deltas.Max(d => Math.Abs(d));
var vl = deltas.Sum(d => (d - meanDelta) * (d - meanDelta));
vl = Math.Sqrt(vl / checksCount);
Assert.Less(Math.Abs(meanDelta), 0.3, "Mean value should be around 0");
Assert.Less(Math.Abs(vl - 1), 0.3, "AD should be around 1");
Assert.Greater(maxDelta, 1, "max delta should be greater than 1");
}
public double CalculateDelta()
{
return(model.GetRandomDelta());
}
