private static ZeroCurve UnpackZero(DateTime today, DateTime[] dates, double[] amts)
{
int n1 = dates.Length;
int n2 = dates.Length;
if (n1 != n2)
{
throw new Exception("Rate ranges must be of the same length");
}
var zc = new ZeroCurve {
Ratepoints = n1
};
zc.MakeArrays();
int kdx = 0;
for (int idx = 0; idx < n1; idx++)
{
double time = dates[idx].Subtract(today).Days / 365.0;
double rate = amts[idx];
zc.SetR(kdx, rate, time);
kdx++;
}
return(zc);
}
/// <summary>
/// Finds the zero cost put strike.
/// </summary>
/// <param name="stock">The stock.</param>
/// <param name="zeroRateCurve">The zero rate curve.</param>
/// <returns></returns>
public Double FindZeroCostPutStrike(Stock stock, ZeroAUDCurve zeroRateCurve)
{
// Unpack objects
ZeroCurve myZero = Wrapper.UnpackZeroRateCurve(zeroRateCurve);
DivList myDiv = Wrapper.UnpackDividends(stock, zeroRateCurve);
var myORC = Wrapper.UnpackOrcWingParameters(stock);
//
TimeSpan ts = stock.Transaction.ExpiryDate - stock.Transaction.TradeDate;
double t = ts.Days / 365.0;
string payFlag = stock.Transaction.PayStyle.ToString().Substring(0, 1).ToUpper();
string style = stock.Transaction.Strike.Style.ToString().Substring(0, 1).ToUpper();
double price = Analytics.Equities.Collar.FindZeroCostPut(myZero, myDiv, myORC, t,
stock.Transaction.Strike.StrikePrice, stock.Transaction.CurrentSpot, payFlag, style, 100.0);
return(price);
}
/// <summary>
/// Unpacks the zero rate curve.
/// </summary>
/// <param name="inZero">The in zero.</param>
/// <returns></returns>
public static ZeroCurve UnpackZeroRateCurve(ZeroAUDCurve inZero)
{
var myZero = new ZeroCurve {
Ratepoints = inZero.Rates.Length
};
myZero.MakeArrays();
int idx = 0;
foreach (ZeroRate dt in inZero.ZeroRates)
{
TimeSpan ts = dt.TenorDate - inZero.CurveDate;
myZero.SetR(idx, dt.Rate, (ts.Days / 365.0));
idx++;
}
return(myZero);
}
/// <summary>
///
/// </summary>
/// <param name="today"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="sig"></param>
/// <param name="dexp"></param>
/// <param name="sPay"></param>
/// <param name="sStyle"></param>
/// <param name="nGrid"></param>
/// <param name="tStep"></param>
/// <param name="iNum"></param>
/// <param name="divamsAsArray"></param>
/// <param name="divdatesAsArray"></param>
/// <param name="zeramsAsArray"></param>
/// <param name="zerdatesAsArray"></param>
/// <returns></returns>
public double GetEquityGreeks(DateTime today,
double spot,
double strike,
double sig,
DateTime dexp,
string sPay,
string sStyle,
int nGrid,
double tStep,
int iNum,
Excel.Range divamsAsArray,
Excel.Range divdatesAsArray,
Excel.Range zeramsAsArray,
Excel.Range zerdatesAsArray
)
{
//Map the ranges
var divams = DataRangeHelper.StripDoubleRange(divamsAsArray);
var divdates = DataRangeHelper.StripDateTimeRange(divamsAsArray);
var zerams = DataRangeHelper.StripDoubleRange(zeramsAsArray);
var zerdates = DataRangeHelper.StripDateTimeRange(zerdatesAsArray);
//set up the DivList
int nd = divdates.Count; //GetUpperBound(0) + 1;
var myDiv = new DivList {
Divpoints = nd
};
myDiv.MakeArrays();
for (int idx = 0; idx != nd; idx++)
{
double r = divams[idx];
DateTime dp = divdates[idx];
TimeSpan ts = dp - today;
myDiv.SetD(idx, r, ts.Days / 365.0);
}
//set up the zero
int nz = zerdates.Count;//GetUpperBound(0) + 1;
var myZero = new ZeroCurve {
Ratepoints = nz
};
myZero.MakeArrays();
for (int idx = 0; idx != nz; idx++)
{
double r = zerams[idx];
DateTime dp = zerdates[idx];
TimeSpan ts = dp - today;
myZero.SetR(idx, r, ts.Days / 365.0);
}
//compute the discounted dividends to expiry and work out continuous
TimeSpan tsE = dexp - today;
double texp = tsE.Days / 365.0;
for (int idx = 0; idx != nd; idx++)
{
if (myDiv.GetT(idx) <= texp)
{
double d = myDiv.GetD(idx) * Math.Exp(-myDiv.GetT(idx) * myZero.LinInterp(myDiv.GetT(idx)));
}
}
//double qc = -Math.Log((spot - sum) / spot) / texp;
//double rc = myZero.linInterp(texp);
var myG = new Grid
{
XL = Math.Log(spot) - 8.0 * sig * Math.Sqrt(texp),
Xu = Math.Log(spot) + 8.0 * sig * Math.Sqrt(texp),
Steps = nGrid,
Strike = strike,
Spot = spot,
SPay = sPay,
SStyle = sStyle,
T = texp
};
myG.NTsteps = Convert.ToInt32(myG.T / tStep);
myG.Sig = sig;
var greeks = new double[4];
double price = myG.Pricer(myZero, myDiv, ref greeks, true);
myG.Sig += 0.01;
double priceUp = myG.Pricer(myZero, myDiv, ref greeks, false);
greeks[3] = priceUp - price;
return(greeks[iNum]);
}
