/// <summary>
/// Populates CallPriceMarketData data structure from options
/// quotes and additional calls to market data.
/// </summary>
/// <param name="provider">The underlying market data provider.</param>
/// <param name="mdq">The underlying query.</param>
/// <param name="quotes">The options quotes list.</param>
/// <param name="data">The data structure to be populated.</param>
/// <returns>The status of the operation.</returns>
public static RefreshStatus GetCallPriceMarketData(IMarketDataProvider provider, MarketDataQuery mdq, List <IOptionQuote> quotes, Fairmat.MarketData.CallPriceMarketData data)
{
// Gets call options.
var calls = quotes.FindAll(x => x.Type == OptionQuoteType.Call);
var puts = quotes.FindAll(x => x.Type == OptionQuoteType.Put);
// Get maturities and strikes.
var maturtiesDates = quotes.Select(item => item.Maturity).Distinct().OrderBy(x => x).ToList();
var strikes = quotes.Select(item => item.Strike).Distinct().OrderBy(x => x).ToList();
data.Strike = (Vector)strikes.ToArray();
//var callMaturtiesDates = calls.Select(item => item.MaturityDate).Distinct().ToList();
Console.WriteLine("Maturities");
data.Maturity = new Vector(maturtiesDates.Count);
for (int z = 0; z < maturtiesDates.Count; z++)
{
data.Maturity[z] = RightValueDate.DatesDifferenceCalculator(mdq.Date, maturtiesDates[z]);
}
data.CallPrice = new Matrix(data.Maturity.Length, data.Strike.Length);
var putPrices = new Matrix(data.Maturity.Length, data.Strike.Length);
// Group maturities, calls, puts with respect to strikes.
Dictionary <double, Tuple <List <double>, List <double>, List <double> > > atm = new Dictionary <double, Tuple <List <double>, List <double>, List <double> > >();
for (int si = 0; si < data.Strike.Length; si++)
{
for (int mi = 0; mi < maturtiesDates.Count; mi++)
{
IOptionQuote callQuote = calls.Find(x => x.Strike == data.Strike[si] && x.Maturity == maturtiesDates[mi]);
if (callQuote != null)
{
data.CallPrice[mi, si] = callQuote.Price;
}
IOptionQuote putQuote = puts.Find(x => x.Strike == data.Strike[si] && x.Maturity == maturtiesDates[mi]);
if (putQuote != null)
{
putPrices[mi, si] = putQuote.Price;
}
if (callQuote != null && putQuote != null)
{
Tuple <List <double>, List <double>, List <double> > element = null;
if (atm.ContainsKey(data.Strike[si]))
{
element = atm[data.Strike[si]];
}
else
{
element = new Tuple <List <double>, List <double>, List <double> >(new List <double>(), new List <double>(), new List <double>());
atm.Add(data.Strike[si], element);
}
element.Item1.Add(data.Maturity[mi]);
element.Item2.Add(callQuote.Price);
element.Item3.Add(putQuote.Price);
}
}
}
Console.WriteLine("CallPrices");
Console.WriteLine(data.CallPrice);
Console.WriteLine("Putprices");
Console.WriteLine(putPrices);
// Request the spot price .
var mdq2 = DVPLI.ObjectSerialization.CloneObject(mdq) as MarketDataQuery;
mdq2.MarketDataType = typeof(Scalar).ToString();
IMarketData s0;
var s0Result = provider.GetMarketData(mdq2, out s0);
if (s0Result.HasErrors)
{
return(s0Result);
}
data.S0 = (s0 as Scalar).Value;
// Load atm info (get the strike with the higher number of elements).
int maxElements = -1;
double argMax = -1;
// Keeps the Strike-Spot distance.
double spotDistance = double.MaxValue;
// Find the options which minimize the distance from strike price and spot price.
foreach (double strike in atm.Keys)
{
double distance = Math.Abs(strike - data.S0);
if (distance < spotDistance)
{
spotDistance = distance;
maxElements = atm[strike].Item1.Count;
argMax = strike;
}
}
if (spotDistance != double.MaxValue)
{
data.StrikeATM = argMax;
data.MaturityATM = (Vector)atm[argMax].Item1.ToArray();
data.CallPriceATM = (Vector)atm[argMax].Item2.ToArray();
data.PutPriceATM = (Vector)atm[argMax].Item3.ToArray();
}
else
{
Console.WriteLine("Cannot find atm information");
}
data.Ticker = mdq.Ticker;
data.Market = mdq.Market;
data.Date = mdq.Date;
return(new RefreshStatus());
}
