コード例 #1
0
ファイル: FixInterpreter.cs プロジェクト: huferry/fixanalyzer
 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);
         }
     }
 }
コード例 #2
0
        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));
            }
        }
コード例 #3
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        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);
        }
コード例 #4
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        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);
        }
コード例 #5
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        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);
        }
コード例 #6
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        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);
        }
コード例 #7
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        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);
        }
コード例 #8
0
        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);
        }
コード例 #9
0
 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));
 }
コード例 #10
0
 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);
 }
コード例 #11
0
        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);
        }