private OneTouchCalculator ConfigureCalculator(IOption option, IMarketCondition market, double timeIncrement = 0.0)
{
var trade = (BinaryOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeDfAtExercise = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskfreeDfAtExercise);
var exerciseInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade) + timeIncrement;
var calculator = new OneTouchCalculator(
trade.BinaryRebateType,
strike: option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spotPrice: spot,
sigma: sigma,
dividendRate: dividendRate,
riskFreeRate: riskfreeDfAtExercise,
cashOrNothingAmount: trade.CashOrNothingAmount,
exerciseInYears: exerciseInYears,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional);
this._calculator = calculator;
return(calculator);
}
private BarrierOptionCalculator configureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (BarrierOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var spot = market.SpotPrices.Value.Values.First();
double exerciseInYears;
if (!double.IsNaN(expiryDayRemainingLife))
{
exerciseInYears = expiryDayRemainingLife;
}
else
{
exerciseInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade) + timeIncrement;
}
//barrier adjust
var dt = trade.DayCount.CalcDayCountFraction(trade.ObservationDates.First(), trade.ObservationDates.Last()) /
trade.ObservationDates.Length;
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeRateAtMaturity = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskFreeRate);
var vol = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var barrierCalculator = new BarrierOptionCalculator(
trade.OptionType,
trade.BarrierType,
trade.Rebate,
trade.IsDiscreteMonitored ? DiscreteAdjustedBarrier(trade.BarrierType, trade.Position, trade.Barrier, vol, dt, trade.BarrierShift) : trade.Barrier,
trade.IsDiscreteMonitored ? DiscreteAdjustedBarrier(trade.BarrierType, trade.Position, trade.UpperBarrier, vol, dt, trade.BarrierShift) : trade.UpperBarrier,
option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spot,
exerciseInYears,
vol,
riskFreeRate,
dividendRate,
valuationDate: market.ValuationDate,
exerciseDate: exerciseDate,
underlyingMaturityDate: trade.UnderlyingMaturityDate,
dayCount: trade.DayCount,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional
);
this._calculator = barrierCalculator;
return(barrierCalculator);
}
private AsianOptionCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (AsianOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var remainingObsDates = trade.ObservationDates.Where(x => x >= market.ValuationDate).ToArray();
var numOfObsDates = trade.ObservationDates.Count();
var numOfObservedDates = numOfObsDates - remainingObsDates.Count();
var observedAverage = trade.Fixings.Any() ? trade.Fixings.Average(x => x.Value) : market.SpotPrices.Value.Values.First();
//if (trade.Fixings.Count != numOfObservedDates)
//{
// throw new PricingLibraryException("AsianOption: number of fixings does not match!");
//}
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
double t;
if (!double.IsNaN(expiryDayRemainingLife))
{
t = expiryDayRemainingLife;
}
else
{
t = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade) + timeIncrement;
}
var t2 = AnalyticalOptionPricerUtil.timeToMaturityFraction(trade.ObservationDates[0], remainingObsDates.Last(), trade);
var t1 = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, remainingObsDates[0], trade) + timeIncrement;
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskFreeRate);
var calculator = new AsianOptionCalculator(trade.OptionType, trade.AsianType, trade.UnderlyingProductType,
trade.StrikeStyle,
strike: option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spotPrice: spot,
realizedAveragePrice: observedAverage,
exerciseInYears: t,
originalAveragePeriod: t2,
timetoNextAveragePoint: t1,
sigma: sigma,
riskFreeRate: riskFreeRate,
dividendRate: dividendRate,
notional: trade.Notional,
numOfObsDates: numOfObsDates,
numOfObservedDates: numOfObservedDates);
this._calculator = calculator;
return(calculator);
}
private BlackScholeCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (BinaryOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeDfAtMaturity = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var riskfreeDfAtExercise = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskfreeDfAtExercise);
var exerciseInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade) + timeIncrement;
var maturityInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, maturityDate, trade) + timeIncrement;
var _isDelayedPay = exerciseInYears.AlmostEqual(maturityInYears);
var calculator = new BlackScholeCalculator(trade.OptionType,
trade.BinaryOptionPayoffType,
strike: option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spotPrice: spot,
sigma: sigma,
dividendRate: dividendRate,
riskfreeRateAtExercise: riskfreeDfAtExercise,
riskfreeRateAtMaturity: riskfreeDfAtMaturity,
curveDayCount: market.DiscountCurve.Value.DayCount,
cashOrNothingAmount: trade.CashOrNothingAmount,
exerciseDate: exerciseDate,
maturityDate: maturityDate,
valuationDate: market.ValuationDate,
trade: trade,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional,
isDelayedPay: _isDelayedPay,
expiryDayRemainingLife: expiryDayRemainingLife,
timeIncrement: timeIncrement);
this._calculator = calculator;
return(calculator);
}
private LookbackOptionCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (LookbackOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var observedMax = trade.Fixings.Any() ? trade.Fixings.Max(x => x.Value) : market.SpotPrices.Value.Values.First();
var observedMin = trade.Fixings.Any() ? trade.Fixings.Min(x => x.Value) : market.SpotPrices.Value.Values.First();
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
double t;
if (!double.IsNaN(expiryDayRemainingLife))
{
t = expiryDayRemainingLife;
}
else
{
t = trade.DayCount.CalcDayCountFraction(market.ValuationDate, exerciseDate) + timeIncrement;
}
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskFreeRate);
var calculator = new LookbackOptionCalculator(trade.OptionType, trade.UnderlyingProductType,
trade.StrikeStyle,
strike: option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spotPrice: spot,
exerciseInYears: t,
realizedMaxPrice: observedMax,
realizedMinPrice: observedMin,
sigma: sigma,
riskFreeRate: riskFreeRate,
dividendRate: dividendRate,
notional: trade.Notional);
this._calculator = calculator;
return(calculator);
}
public override IPricingResult Calculate(ResetStrikeOption trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
var exerciseDate = trade.ExerciseDates.Last();
var strikefixingDate = trade.StrikeFixingDate;
var spot = market.SpotPrices.Value.Values.First();
var sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: trade, spot: spot);
var T = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade);
var t = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, strikefixingDate, trade);
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendRateInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendRateInput, riskFreeRate);
var calculator = new ResetStrikeOptionCalculator(trade.OptionType, trade.ResetStrikeType, trade.UnderlyingProductType,
trade.Strike,
market.SpotPrices.Value.Values.First(),
T,
t,
sigma,
riskFreeRate,
dividendRate,
trade.Notional);
result.Pv = calculator.Pv;
result.Delta = calculator.Delta;
result.DeltaCash = result.Delta * market.SpotPrices.Value.Values.First();
result.Gamma = calculator.Gamma;
result.GammaCash = result.Gamma * market.SpotPrices.Value.Values.First() * market.SpotPrices.Value.Values.First() / 100;
result.Vega = calculator.Vega;
result.Rho = calculator.Rho;
result.Theta = calculator.Theta;
result.DDeltaDt = calculator.DDeltaDt;
result.DDeltaDvol = calculator.DDeltaDvol;
result.DVegaDvol = calculator.DDeltaDvol;
result.DVegaDt = calculator.DVegaDt;
return(result);
}
private BlackScholeCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (VanillaOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var riskfreeRateAtExercise = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeRateAtMaturity = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskFreeRate);
var BSCalculator = new BlackScholeCalculator(trade.OptionType,
strike: option.IsMoneynessOption? trade.Strike * trade.InitialSpotPrice: trade.Strike,
spotPrice: spot,
sigma: sigma,
riskfreeRateAtExercise: riskfreeRateAtExercise,
riskfreeRateAtMaturity: riskfreeRateAtMaturity,
curveDayCount: market.DiscountCurve.Value.DayCount,
dividendRate: dividendRate,
maturityDate: trade.UnderlyingMaturityDate, //maturity of underlying, i.e. option on futures
exerciseDate: trade.ExerciseDates.Last(),
valuationDate: market.ValuationDate,
trade: trade,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional,
expiryDayRemainingLife: expiryDayRemainingLife,
timeIncrement: timeIncrement);
_calculator = BSCalculator;
return(BSCalculator);
}
private BlackScholeCalculator configureBsCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (BarrierOption)option;
var spot = market.SpotPrices.Value.Values.First();
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var vol = option.IsMoneynessOption ?
//moneyness option , strike i.e. 120% of initialSpot
market.VolSurfaces.Value.Values.First().GetValue(exerciseDate, trade.Strike * trade.InitialSpotPrice, spot) :
market.VolSurfaces.Value.Values.First().GetValue(exerciseDate, trade.Strike, spot);
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeRateAtMaturity = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var dividendRateInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendRateInput, riskFreeRate);
return(new BlackScholeCalculator(
trade.OptionType,
strike: option.IsMoneynessOption?trade.Strike *trade.InitialSpotPrice: trade.Strike,
spotPrice: spot,
sigma: vol,
riskfreeRateAtExercise: riskFreeRate,
riskfreeRateAtMaturity: riskfreeRateAtMaturity,
curveDayCount: market.DiscountCurve.Value.DayCount,
dividendRate: dividendRate,
maturityDate: trade.UnderlyingMaturityDate,
exerciseDate: trade.ExerciseDates.Last(),
valuationDate: market.ValuationDate,
trade: trade,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional,
expiryDayRemainingLife: expiryDayRemainingLife));
}