private void timerTicked(object sender, EventArgs e)
{
if (!(strike_valid && maturity_valid && rate_valid && volatility_valid && underlying_valid && yield_valid && buysell_valid && callput_valid && quantity_valid))
{
timer_quote.Stop();
textBoxPrice.Text = "";
textBoxDelta.Text = "";
return;
}
if (double.TryParse(redis_conn.HashGet(underlying_code, "LastPrice"), out underlying_price))
{
double spread_value = checkBoxSpreadQuote.Checked?((call_put == 'c' ? 1 : -1) * (buy_sell == 'b' ? 1 : -1) * (double)numericUpDownSpreadValue.Value):0;
textBoxPrice.Text = OptionsCalculator.GetBlsPrice(underlying_price + spread_value, strike, T, volatility, r, call_put).ToString("N2");
textBoxDelta.Text = OptionsCalculator.GetBlsDelta(underlying_price, strike, T, volatility, r, call_put).ToString("N2");
textBoxValue.Text = (decimal.Parse(textBoxPrice.Text) * decimal.Parse(textBoxQuantity.Text)).ToString();
textBoxTotalDelta.Text = (decimal.Parse(textBoxDelta.Text) * decimal.Parse(textBoxQuantity.Text)).ToString();
textBoxRemainBalance.Text = (decimal.Parse(textBoxBalance.Text) - decimal.Parse(textBoxValue.Text)).ToString();
}
else
{
textBoxPrice.Text = "";
textBoxDelta.Text = "";
}
}
private void UpdateGreeks()
{
var db = this.redis_connection.GetDatabase();
DataTable table = Tables["risk_info"];
foreach (var row in Tables["options_positions_summary"].AsEnumerable().ToArray())
{
if (row.RowState != DataRowState.Deleted)
{
String contract_code = row["合约代码"].ToString();
int client_id = int.Parse(row["客户编号"].ToString());
string position_direction = row["买卖方向"].ToString();
double quantity = double.Parse(row["数量"].ToString());
DataRow contract_row = Tables["options_contracts"].Rows.Find(contract_code);
String underlying = contract_row["标的代码"].ToString();
double S0 = double.Parse(db.HashGet(underlying, "LastPrice"));
double K = double.Parse(contract_row["执行价"].ToString());
double sigma = double.Parse(contract_row["波动率"].ToString());
DateTime date = DateTime.Parse(contract_row["到期日"].ToString());
double dtm = GetDTM(date);
char type = char.Parse(contract_row["认购认沽"].ToString());
double rate = 0.015;
int direction_multiplier = position_direction == "买入" ? -1 : 1;
double delta = OptionsCalculator.GetBlsDelta(S0, K, dtm / 256d, sigma, rate, type) * quantity * direction_multiplier;
double gamma = OptionsCalculator.GetBlsGamma(S0, K, dtm / 256d, sigma, rate) * quantity * direction_multiplier;
double theta = OptionsCalculator.GetBlsTheta(S0, K, dtm / 256d, sigma, rate, type) * quantity / 256 * direction_multiplier * 10;
double vega = OptionsCalculator.GetBlsVega(S0, K, dtm / 256d, sigma, rate) * quantity / 100 * direction_multiplier * 10;
double rho = OptionsCalculator.GetBlsRho(S0, K, dtm / 256d, sigma, rate, type) * quantity / 100 * direction_multiplier * 10;
if (table.Rows.Contains(new object[] { client_id, contract_code, position_direction }))
{
DataRow row_risk = table.Rows.Find(new object[] { client_id, contract_code, position_direction });
row_risk["数量"] = quantity;
row_risk["波动率"] = sigma;
row_risk["标的现价"] = S0;
row_risk["到期天数"] = dtm;
row_risk["Delta"] = delta;
row_risk["Gamma"] = gamma;
row_risk["Theta"] = theta;
row_risk["Vega"] = vega;
row_risk["Rho"] = rho;
}
else
{
table.Rows.Add(client_id, contract_code, underlying, position_direction, S0, quantity, dtm, sigma, delta, gamma, theta, vega, rho);
}
}
}
var position_keys = new List <object[]>();
foreach (var row in table.AsEnumerable())
{
position_keys.Add(new object[] { row["客户编号"], row["合约代码"], row["买卖方向"] });
}
foreach (var key in position_keys)
{
if (!Tables["options_positions_summary"].Rows.Contains(key))
{
table.Rows.Find(key).Delete();
}
}
var risk_info_gross = from row in table.AsEnumerable()
group row by row.Field <String>("标的代码")
into grp
select
new
{
code = grp.Key,
price = grp.First().Field <decimal>("标的现价"),
Delta = grp.Sum(r => r.Field <double>("Delta")),
Gamma = grp.Sum(r => r.Field <double>("Gamma")),
Theta = grp.Sum(r => r.Field <double>("Theta")),
Vega = grp.Sum(r => r.Field <double>("Vega")),
Rho = grp.Sum(r => r.Field <double>("Rho")),
};
List <String> contracts = new List <string>();
foreach (var a in risk_info_gross)
{
double long_underlying_position = 0;
double short_underlying_position = 0;
double.TryParse(this.Tables["futures_positions_summary"].Compute("sum(数量)", string.Format("合约代码='{0}' AND 买卖方向='{1}'", a.code, "买入")).ToString(), out long_underlying_position);
double.TryParse(this.Tables["futures_positions_summary"].Compute("sum(数量)", string.Format("合约代码='{0}' AND 买卖方向='{1}'", a.code, "卖出")).ToString(), out short_underlying_position);
contracts.Add(a.code);
if (!Tables["risk_info_gross"].Rows.Contains(a.code))
{
Tables["risk_info_gross"].Rows.Add(a.code, a.price, a.Delta + long_underlying_position - short_underlying_position, a.Gamma, a.Theta, a.Vega, a.Rho);
}
else
{
var row = Tables["risk_info_gross"].Rows.Find(a.code);
row["标的现价"] = a.price;
row["Delta"] = a.Delta + long_underlying_position - short_underlying_position;
row["Gamma"] = a.Gamma;
row["Theta"] = a.Theta;
row["Vega"] = a.Vega;
row["Rho"] = a.Rho;
}
}
List <string> position_codes = new List <string>();
foreach (var row in Tables["risk_info_gross"].AsEnumerable())
{
position_codes.Add(row.Field <string>("标的代码"));
}
foreach (var code in position_codes)
{
if (!contracts.Contains(code))
{
Tables["risk_info_gross"].Rows.Find(code).Delete();
}
}
}
