protected override void FillStrikeInfo(IOptionStrike optionStrike, StrikeInfo stInfo)
{
switch (optionStrike.StrikeType)
{
case StrikeType.Call:
stInfo.Call = optionStrike.FinInfo.Ask ?? Constants.NaN;
break;
case StrikeType.Put:
stInfo.Put = optionStrike.FinInfo.Ask ?? Constants.NaN;
break;
default:
return;
}
}
protected override IEnumerable <Double2> Calculate(IOptionStrike[] strikes)
{
var bidList = new List <Double2>();
var finArray = new Dictionary <double, StrikeInfo>();
foreach (var optionStrike in strikes)
{
if (!finArray.ContainsKey(optionStrike.Strike))
{
var lastUpdate = optionStrike.FinInfo.LastUpdate;
if (lastUpdate == DateTime.MinValue)
{
continue;
}
var stInfo = new StrikeInfo
{
ExpDate = OptionUtils.YearsBetweenDates(optionStrike.ExpirationDate, lastUpdate),
BasePrice = optionStrike.UnderlyingAsset.FinInfo.LastPrice ?? 0
};
FillStrikeInfo(optionStrike, stInfo);
finArray.Add(optionStrike.Strike, stInfo);
}
else
{
var key = optionStrike.Strike;
var stInfo = finArray[key];
FillStrikeInfo(optionStrike, stInfo);
}
}
// выход, пустой список
if (finArray.Count == 0)
{
return(bidList);
}
// расчет волатильностей
foreach (var strikeInfo in finArray)
{
double precision;
var callSigma = (strikeInfo.Value.Call != 0.0)
? FinMath.GetOptionSigma(strikeInfo.Value.BasePrice, strikeInfo.Key, strikeInfo.Value.ExpDate,
strikeInfo.Value.Call, 0.0, true, out precision)
: 0;
var putSigma = (strikeInfo.Value.Put != 0.0)
? FinMath.GetOptionSigma(strikeInfo.Value.BasePrice, strikeInfo.Key, strikeInfo.Value.ExpDate,
strikeInfo.Value.Put, 0.0, false, out precision)
: 0;
strikeInfo.Value.CallSigma = callSigma;
strikeInfo.Value.PutSigma = putSigma;
if (putSigma == 0 && callSigma == 0)
{
continue;
}
// добавим значение
bidList.Add(new Double2 {
V1 = strikeInfo.Key, V2 = Math.Max(callSigma, putSigma) * 100.0
});
}
return(bidList);
}
protected abstract void FillStrikeInfo(IOptionStrike optionStrike, StrikeInfo stInfo);
