public double CalculateCurApproxPnL(double futPrice)
{
double result = 0.0;
double exitPrice;
foreach (Option opt in Options)
{
exitPrice = GreeksCalculator.CalculateOptionPrice_BS(opt.OptionType, futPrice, opt.Strike,
opt.RemainingDays, GreeksCalculator.DAYS_IN_YEAR, opt.ImplVol);
result += opt.Position.CalcCurrentPnL(exitPrice);
}
result += Futures == null ? 0.0 : Futures.Position.CalcCurrentPnL(futPrice);
result += FixedPnL;
return(result);
}
public double CalculateExpirationPnL(double futPrice)
{
double tempPnL = 0.0;
TradeBlotter tempBlotter = new TradeBlotter();
tempBlotter.AskPrice = futPrice;
tempBlotter.BidPrice = futPrice;
tempPnL += Futures == null ? 0.0 : Futures.Position.CalcCurrentPnL(tempBlotter);
tempPnL += FixedPnL;
foreach (Option opt in Options)
{
tempPnL += GreeksCalculator.CalculateOptionPnLOnExpiration(opt, futPrice);
}
return(tempPnL);
}
private double CalculatePositionsAbsDelta_GO(List <Option> options, Futures fut, double worstPrice, double worstVola)
{
double result = 0.0;
double tempDelta;
foreach (Option opt in options)
{
tempDelta = GreeksCalculator.CalculateDelta(
opt.OptionType,
worstPrice,
opt.Strike, opt.RemainingDays,
GreeksCalculator.DAYS_IN_YEAR,
worstVola) * opt.Position.Quantity;
result += tempDelta;
}
if (fut != null)
{
result += fut.Position.Quantity;
}
return(-Math.Abs(result));
}
public void UpdateAllGreeksTogether()
{
LOGGER.Debug("All greeks update requested.");
double optionTime = this.RemainingDays / GreeksCalculator.DAYS_IN_YEAR;
double spotPrice = this.Futures.GetTradeBlotter().AskPrice;
BuyVol = GreeksCalculator.GetFilteredVolatilityValue(
GreeksCalculator.CalculateImpliedVolatility(
this.OptionType,
spotPrice,
this.Strike,
this.RemainingDays,
GreeksCalculator.DAYS_IN_YEAR,
this.GetTradeBlotter().AskPrice,
0.5));
SellVol = GreeksCalculator.GetFilteredVolatilityValue(
GreeksCalculator.CalculateImpliedVolatility(
this.OptionType,
spotPrice,
this.Strike,
this.RemainingDays,
GreeksCalculator.DAYS_IN_YEAR,
this.GetTradeBlotter().BidPrice,
0.5));
//double vola = GreeksCalculator.GetFilteredVolatilityValue(GreeksCalculator.CalculateImpliedVolatility(this.OptionType, spotPrice, this.Strike, this.RemainingDays, GreeksCalculator.DAYS_IN_YEAR,
// this.GetTradeBlotter().AskPrice, 0.5));
double vola;
if (this.Position == null)
{
vola = BuyVol;
}
else
{
if (this.Position.Quantity == 0)
{
vola = BuyVol;
}
else
{
vola = this.Position.Quantity > 0 ? SellVol : BuyVol;
}
}
if (Math.Abs(vola) < 0.0001) // vola==0
{
Delta = 0;
Gamma = 0;
Vega = 0;
Theta = 0;
}
else
{
double deltaDistr_d1 = GreeksCalculator.CalculateDistributionOfStNrmDstr(GreeksCalculator.Calculate_d1(spotPrice, this.Strike, this.RemainingDays, GreeksCalculator.DAYS_IN_YEAR, vola));
double distr_d1 = GreeksCalculator.GreeksDistribution(GreeksCalculator.Calculate_d1(spotPrice, this.Strike, this.RemainingDays, GreeksCalculator.DAYS_IN_YEAR, vola));
Delta = GreeksCalculator.CalculateDelta(this.OptionType, deltaDistr_d1);
Gamma = GreeksCalculator.CalculateGamma(spotPrice, distr_d1, optionTime, vola);
Vega = GreeksCalculator.CalculateVega(spotPrice, distr_d1, optionTime);
Theta = GreeksCalculator.CalculateTheta(spotPrice, distr_d1, GreeksCalculator.DAYS_IN_YEAR, optionTime, vola, true);
}
ImplVol = vola;
LOGGER.Debug("Greeks update complete, result: Delta: {0}, Gamma: {1}, Vega: {2}, Theta: {3}, ImplVol: {4}, BuyVol: {5}, SellVol: {6}",
Delta, Gamma, Vega, Theta, ImplVol, BuyVol, SellVol)
;
}