private void Read(IEnumerable <FixTag> tags)
{
foreach (FixTag tag in tags)
{
if (tag.Tag == this.tSymbol)
{
this.symbol = tag.Value;
}
else if (tag.Tag == this.tMaturity)
{
this.maturity = new DateTime(
Convert.ToInt32(tag.Value.Substring(0, 4)),
Convert.ToInt32(tag.Value.Substring(4, 2)),
1);
}
else if (tag.Tag == this.tStrikePx)
{
this.strikePx = Convert.ToDouble(tag.Value);
}
else if (tag.Tag == this.tCallPut)
{
this.callPut = tag.Value.Contains("OC") ? CallPut.Call : CallPut.Put;
}
else if (tag.Tag == this.tCurrency)
{
this.currency = tag.Value;
}
else if (tag.Tag == this.tQty)
{
this.qty = Convert.ToInt32(tag.Value);
}
}
}
public BlackScholes(CallPut type, double t, double df, double vol, double divYield, double spot, double strike)
{
Option.Type tt = QLNet.Option.Type.Call;
if (type == CallPut.Put)
{
tt = QLNet.Option.Type.Put;
}
T = Math.Max(0, t);
double growthFactor = Math.Exp(-divYield * T);
ActualType = type;
Type = tt;
DF = df;
_Vol = vol;
GrowthFactor = growthFactor;
_Spot = spot;
Strike = strike;
vol *= Math.Sqrt(T);
Option.Add(new BlackScholesCalculator(new PlainVanillaPayoff(tt, Strike), spot, growthFactor, vol, df));
if (ActualType == CallPut.Forward)
{
Option.Add(new BlackScholesCalculator(new PlainVanillaPayoff(QLNet.Option.Type.Put, Strike), spot, growthFactor, vol, df));
}
}
public static object BSDelta(double Spot, double DivYield, double Vol, double T, double DF, double Strike, int PutCall)
{
CallPut cp = (CallPut)PutCall;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, T, DF, Vol, DivYield, Spot, Strike);
double delta = bb.Delta();
return(delta);
}
public static object BSPremium(double Spot, double DivYield, double Vol, double T, double DF, double Strike, int PutCall)
{
CallPut cp = (CallPut)PutCall;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, T, DF, Vol, DivYield, Spot, Strike);
double premium = bb.Premium();
return(premium);
}
public static object BSRho(double Spot, double DivYield, double Vol, double T, double DF, double Strike, int PutCall, object DaysOpt)
{
double days = Utils.GetOptionalParameter(DaysOpt, 1);
CallPut cp = (CallPut)PutCall;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, T, DF, Vol, DivYield, Spot, Strike);
double rho = bb.Rho(days);
return(rho);
}
public static object BSVega(double Spot, double DivYield, double Vol, double T, double DF, double Strike, int PutCall)
{
CallPut cp = (CallPut)PutCall;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, T, DF, Vol, DivYield, Spot, Strike);
if (PutCall == 0)
{
return(0);
}
double vega = bb.Vega();
return(vega);
}
public static object BSTheta(double Spot, double DivYield, double Vol, double T, double DF, double Strike, int PutCall, object DaysOpt)
{
double days = Utils.GetOptionalParameter(DaysOpt, 1);
CallPut cp = (CallPut)PutCall;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, T, DF, Vol, DivYield, Spot, Strike);
if (PutCall == 0)
{
return(0);
}
double theta = bb.Theta(days);
return(theta);
}
public static object OptionVaR(double Spot, double DivYield, double Vol, double T, double DF, double Strike, int PutCall,
object Skew90Minus110Opt, object PercentileOpt)
{
double skew = Utils.GetOptionalParameter(Skew90Minus110Opt, 0.0);
double percentile = Utils.GetOptionalParameter(PercentileOpt, 0.95);
CallPut cp = (CallPut)PutCall;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, T, DF, Vol, DivYield, Spot, Strike);
double nStdev = Normal.Inverse(percentile);
double spotReturn = nStdev * PutCall * Math.Abs(Vol) * Math.Sqrt(T);
double BumpedSpot = Spot * (1 + spotReturn);
double BumpedVol = Vol + skew * spotReturn / 0.2;
CommonTypes.Maths.BlackScholes bb2 = new BlackScholes(cp, T, DF, BumpedVol, DivYield, BumpedSpot, Strike);
double VaR = bb2.Premium() - bb.Premium();
// This doesn't work - a 1+ sigma move is too big to do an infinitesimal expansion on with just 1st/2nd order greeks!
//double VaR2 = bb.Delta() * spotReturn + 0.5 * bb.Gamma() * (spotReturn * spotReturn) + bb.Vega() * (BumpedVol - Vol) * 100;
return(VaR);
}
public static NArray BlackScholes(CallPut callPutFactor, NArray forward, double strike,
NArray volatility, double deltaTime)
{
return(BlackScholes(callPutFactor == CallPut.Call ? 1 : -1, forward, strike, volatility, deltaTime));
}
public static NArray BlackScholes(CallPut callPutFactor, NArray forward, double strike,
NArray volatility, double deltaTime)
{
return BlackScholes(callPutFactor == CallPut.Call ? 1 : -1, forward, strike, volatility, deltaTime);
}
public static object BSValuation(double Spot, object[] DivYields, object[] Vols, object[] Ts, object[] DFs, object[] Strikes, object[] PutCalls, string ValuationOpt, object SpotShiftOpt, object TimeShiftOpt)
{
double[] divs = Utils.GetVector <double>(DivYields);
double[] vols = Utils.GetVector <double>(Vols);
double[] ts = Utils.GetVector <double>(Ts);
double[] dfs = Utils.GetVector <double>(DFs);
double[] strikes = Utils.GetVector <double>(Strikes);
double[] putcalls = Utils.GetVector <double>(PutCalls);
string val = Utils.GetOptionalParameter(ValuationOpt, "Premium");
double spotShift = Utils.GetOptionalParameter(SpotShiftOpt, 0.0);
double timeShift = Utils.GetOptionalParameter(TimeShiftOpt, 0.0);
int nOptions = vols.Length;
if (/*nOptions != ts.Length || */ nOptions != dfs.Length || nOptions != strikes.Length || nOptions != putcalls.Length)
{
return("ERROR: inconsistent data lengths!");
}
double[] values = new double[nOptions];
for (int i = 0; i < nOptions; ++i)
{
double value = 0;
if (ts[i] <= 0)
{
value = 0;
}
else
{
CallPut cp = (CallPut)putcalls[i];
double adjustedSpot = Spot * (1 + spotShift);
double adjustedT = ts[i] - timeShift / 365.25;
CommonTypes.Maths.BlackScholes bb = new BlackScholes(cp, adjustedT, dfs[i], vols[i], divs[i], adjustedSpot, strikes[i]);
if (val == "Premium" || val == "PnL")
{
value = bb.Premium() * (cp == 0 ? strikes[i] / Spot : adjustedSpot / Spot);
}
else if (val == "Delta")
{
value = bb.Delta();
}
else if (val == "Gamma")
{
if (cp == 0)
{
value = 0;
}
else
{
value = bb.Gamma() * (cp == 0 ? strikes[i] / Spot : adjustedSpot / Spot);
}
}
else if (val == "Vega")
{
if (cp == 0)
{
value = 0;
}
else
{
value = bb.Vega() * (cp == 0 ? strikes[i] / Spot : adjustedSpot / Spot);
}
}
else if (val == "Rho")
{
value = bb.Rho(1) * (cp == 0 ? strikes[i] / Spot : adjustedSpot / Spot);
}
else if (val == "Theta")
{
if (cp == 0)
{
value = 0;
}
else
{
value = bb.Theta(1) * (cp == 0 ? strikes[i] / Spot : adjustedSpot / Spot);
}
}
}
values[i] = value;
}
return(values);
}