Esempio n. 1
0
        public void ComputeVol(int date, int[] time)
        {
            if (date < 20150416)
            {
                IHList = null;//2015年4月16之前IH不存在。
            }
            if (date < 20150209)
            {
                optionList = null;//2015年2月9日之前50ETF期权不存在。
            }

            OptionInformation myOption = new OptionInformation(date);

            optionList    = myOption.GetOptionCodeByDate(date);
            optionListInt = myOption.GetOptionNameByDate(date);
            GetDataDaily myData = new GetDataDaily(date, IHList, optionList);

            foreach (var time0 in time)
            {
                this.time = time0;
                int index = TradeDays.TimeToIndex(time0);
                ImpvCurveOfCallMid = new SortedDictionary <double, SortedDictionary <double, double> >();
                ImpvCurveOfPutMid  = new SortedDictionary <double, SortedDictionary <double, double> >();
                ComputeVolDaily(myData, index);
                string CsvName = "VolatilitySurfaceCallMid" + date.ToString() + time0.ToString() + ".csv";
                SaveVolToCsv(CsvName, "call", "mid", ImpvCurveOfCallMid);
                CsvName = "VolatilitySurfacePutMid" + date.ToString() + time0.ToString() + ".csv";
                SaveVolToCsv(CsvName, "put", "mid", ImpvCurveOfPutMid);
            }
        }
Esempio n. 2
0
        /// <summary>
        /// 计算隐含波动率
        /// </summary>
        /// <param name="myData">数据</param>
        /// <param name="index">时间下标</param>
        public void ComputeVolDaily(GetDataDaily myData, int index)
        {
            levelOne etfData = myData.dataDaily["510050.SH"][index];

            foreach (int code in optionListInt)
            {
                string       codeStr    = code.ToString() + ".SH";
                optionFormat option     = OptionInformation.myOptionList[code];
                levelOne     optionData = myData.dataDaily[codeStr][index];
                double       duration   = TradeDays.GetTimeSpan(date, option.endDate);
                Impv         vol        = new Impv(option, optionData, etfData, duration);
                double       sigma      = vol.computeVol();
                GetCurve(option.strike, option.optionType, duration, sigma);
            }
        }