public SuggestedStrategyLeg(LegType legType, BuyOrSell buyOrSell, int qty, double?strike = null, DateAndNumberOfDaysUntil expirationDate = null)
{
LegType = legType;
BuyOrSell = buyOrSell;
StrikePrice = strike;
ExpirationDate = expirationDate;
Quantity = qty;
}
public OptionChain(IEnumerable <OptionPair> chains, double underlyingCurrentPrice, double riskFreeRate)
{
RiskFreeRate = riskFreeRate;
UnderlyingCurrentPrice = underlyingCurrentPrice;
_chainsInternal = chains.Where(chain => chain.PutOption != null && chain.CallOption != null)
.OrderBy(x => x.Expiry)
.ThenBy(x => x.StrikePrice)
.ThenBy(x => x.PremiumMultiplier)
.ToList();
DateAndNumberOfDaysUntil prevExpiry = null;
foreach (OptionPair c in _chainsInternal)
{
_optionNumberToOption[c.PutOption.OptionNumber] = c.PutOption;
_optionNumberToOption[c.CallOption.OptionNumber] = c.CallOption;
// Update _strikePrices
if (!_strikePrices.Contains(c.StrikePrice))
{
_strikePrices.Add(c.StrikePrice);
// this list is already sorted.
//List<Double> strikesListForCurrentExpiry;
//if (!_strikePricesMap.TryGetValue(c.Expiry, out strikesListForCurrentExpiry))
//{
// _strikePricesMap[c.Expiry] = strikesListForCurrentExpiry = new List<double>();
//}
//strikesListForCurrentExpiry.Add(c.StrikePrice);
}
// Update _strikePricesMap
List <Double> strikesListForCurrentExpiry;
if (!_strikePricesMap.TryGetValue(c.Expiry, out strikesListForCurrentExpiry))
{
_strikePricesMap[c.Expiry] = strikesListForCurrentExpiry = new List <double>();
strikesListForCurrentExpiry.Add(c.StrikePrice);
}
else
{
strikesListForCurrentExpiry = _strikePricesMap[c.Expiry];
strikesListForCurrentExpiry.Add(c.StrikePrice);
}
// Update _expiryDates
if (c.Expiry != prevExpiry)
{
_expiryDates.Add(c.Expiry);
prevExpiry = c.Expiry;
}
}
_strikePrices.Sort();
}
/// <summary>
/// Get expire dates with days to expire closest to daysInFuture
/// </summary>
public void GetClosestExpiryDatesToDaysInFeature(double daysInFuture, out DateAndNumberOfDaysUntil low, out DateAndNumberOfDaysUntil highOrEqual)
{
Tuple <int, DateAndNumberOfDaysUntil> lastSmaler = ExpirationDates.LastAndIndex(e => e.TotalNumberOfDaysUntilExpiry < daysInFuture);
Tuple <int, DateAndNumberOfDaysUntil> firstBigger = ExpirationDates.FirstAndIndex(e => e.TotalNumberOfDaysUntilExpiry >= daysInFuture);
low = lastSmaler.Item1 == -1
? ExpirationDates[0]
: lastSmaler.Item2;
highOrEqual = firstBigger.Item1 == -1
? ExpirationDates[ExpirationDates.Count - 1]
: firstBigger.Item2;
}
private double GetVolatilityForPrediction(IReadOnlyList <OptionPair> optionPairs, double daysInFuture)
{
double volatility;
// if there are dates with NumOfDaysUntilExpired == daysInFuture
// the volatility is calculated as average impliedVolatility from options with this date
DateAndNumberOfDaysUntil futureExpiry = ExpirationDates.FirstOrDefault(date => date.TotalNumberOfDaysUntilExpiry.AlmostEqual(daysInFuture));
if (futureExpiry != null)
{
List <OptionPair> chainsWithExpiry = optionPairs.Where(chain => chain.Expiry == futureExpiry).ToList();
volatility = GetAverageVolatilityFromAtTheMoneyOption(chainsWithExpiry);
return(volatility);
}
DateAndNumberOfDaysUntil sigma1Date, sigma2Date;
GetClosestExpiryDatesToDaysInFeature(daysInFuture, out sigma1Date, out sigma2Date);
if (sigma1Date.FutureDate == sigma2Date.FutureDate)
{
List <OptionPair> chainsWithExpiry = optionPairs.Where(chain => chain.Expiry == sigma1Date).ToList();
volatility = GetAverageVolatilityFromAtTheMoneyOption(chainsWithExpiry);
return(volatility);
}
List <OptionPair> optionChainsSigma1 = optionPairs.Where(chain => chain.Expiry == sigma1Date).ToList();
List <OptionPair> optionChainsSigma2 = optionPairs.Where(chain => chain.Expiry == sigma2Date).ToList();
double sigma1 = GetAverageVolatilityFromAtTheMoneyOption(optionChainsSigma1);
double sigma2 = GetAverageVolatilityFromAtTheMoneyOption(optionChainsSigma2);
double n1 = sigma1Date.TotalNumberOfDaysUntilExpiry;
double n2 = sigma2Date.TotalNumberOfDaysUntilExpiry;
volatility = Math.Sqrt(365.0 / daysInFuture *
((n1 / 365.0 * sigma1 * sigma1) * (n2 - daysInFuture) / (n2 - n1) +
n2 / 365.0 * sigma2 * sigma2 * (daysInFuture - n1) / (n2 - n1)));
return(volatility);
}
public IList <double> GetStrikePrices(DateAndNumberOfDaysUntil date)
{
List <double> result = _strikePricesMap[date];
return(result.AsReadOnly());
}
public PortfolioOption()
{
Expiry = new DateAndNumberOfDaysUntil();
}