public static void CalculateTheoricalValue(PriceList prices, OptionsChain optionChain, RiskFreeRates riskFreeRates, double lastPrice, double volatility)
{
optionChain.HistoricalVolatility = volatility;
optionChain.Prices = prices;
optionChain.RiskFreeRates = riskFreeRates;
foreach (var options in optionChain)
{
foreach (Option option in options.Value)
{
if (option.IsCall)
{
option.TheoricalValue = CalculateCall(lastPrice, volatility, option, riskFreeRates.TwoYears);
}
else if (option.IsPut)
{
option.TheoricalValue = CalculatePut(lastPrice, volatility, option, riskFreeRates.TwoYears);
}
else
{
//Exotic Option
//https://www.investopedia.com/terms/e/exoticoption.asp
}
}
}
}
public bool TryGetOptionsChain(string ticker, Exchange?exchange, out OptionsChain optionChain, out string errorMessage)
{
DateTime from = new DateTime(DateTime.Now.Year, DateTime.Now.Month, 1);
DateTime to = new DateTime(DateTime.Now.Year, DateTime.Now.Month, GetLastDay(DateTime.Now.Month)).AddYears(3);
bool ok = NasdaqApiCaller.GetOptionChain(ticker, from, to, out string jsonResponse, out errorMessage);
optionChain = new OptionsChain();
NasdaqResponse nasdaqResponse = JsonConvert.DeserializeObject <NasdaqResponse>(jsonResponse);
foreach (var optionRow in nasdaqResponse.Data.OptionChainList.Rows)
{
if (optionRow.Call != null)
{
var call = optionRow.Call;
Option o = new Option(OptionClass.Call, call.Symbol)
{
LastPrice = call.Last.ToNullableDecimal(),
Strike = call.Strike.ToDouble(-1),
ExpirationDate = call.ExpiryDate.ToDateTime(),
};
o.LastPrice = call.Last.ToNullableDecimal();
o.Change = call.Change.ToNullableDouble();
o.Bid = call.Bid.ToNullableDouble();
o.Ask = call.Ask.ToNullableDouble();
o.Volume = call.Volume.ToNullableInt();
o.OpenInterest = call.Openinterest.ToNullableInt();
optionChain.Add(o);
}
if (optionRow.Put != null)
{
var put = optionRow.Put;
Option o = new Option(OptionClass.Put, put.Symbol)
{
LastPrice = put.Last.ToNullableDecimal(),
Strike = put.Strike.ToDouble(-1),
ExpirationDate = put.ExpiryDate.ToDateTime(),
};
o.LastPrice = put.Last.ToNullableDecimal();
o.Change = put.Change.ToNullableDouble();
o.Bid = put.Bid.ToNullableDouble();
o.Ask = put.Ask.ToNullableDouble();
o.Volume = put.Volume.ToNullableInt();
o.OpenInterest = put.Openinterest.ToNullableInt();
optionChain.Add(o);
}
}
errorMessage = "ok";
return(true);
}
public bool TryGetOptionsChainWithTheoricalValue(string ticker, Exchange?exchange, double lastPrice, PriceList historicalPrices, out OptionsChain optionsChain, out string errorMessage)
{
if (optionChainDataSource.TryGetOptionsChain(ticker, exchange, out optionsChain, out errorMessage) == false)
{
return(false);
}
//TODO: get this data 1 per day and store it in a cache
if (TryGetRiskFreeRates(out RiskFreeRates riskFreeRate, out errorMessage) == false)
{
return(false);
}
OptionsCalculator.CalculateTheoricalValue(historicalPrices, optionsChain, riskFreeRate, lastPrice);
return(true);
}
public bool TryGetOptionsChainWithTheoricalValue(string ticker, Exchange?exchange, double lastPrice, out OptionsChain optionsChain, out string errorMessage)
{
DateTime?from = DateTime.Now.AddYears(-1).AddDays(-1);
DateTime?to = DateTime.Now;
if (TryGetHistoricalPrices(ticker, exchange, from, to, PriceInterval.Daily, out PriceList prices, out errorMessage) == false)
{
optionsChain = null;
return(false);
}
return(TryGetOptionsChainWithTheoricalValue(ticker, exchange, lastPrice, prices, out optionsChain, out errorMessage));
}
public bool TryGetOptionsChain(string ticker, Exchange?exchange, out OptionsChain optionChain, out string errorMessage)
{
return(optionChainDataSource.TryGetOptionsChain(ticker, exchange, out optionChain, out errorMessage));
}
public bool TryGetOptionsChainWithTheoricalValue(string ticker, Exchange?exchange, double lastPrice, out OptionsChain optionsChain, out string errorMessage)
{
throw new NotImplementedException();
}
public bool TryGetOptionsChain(string ticker, Exchange?exchange, out OptionsChain optionChain, out string errorMessage)
{
throw new NotImplementedException();
}
/// <summary>
/// It uses the Black-Scholes formula to calculate the theorical value of an european option.
///
/// See:
/// Book "Options, futures and other derivatives" from John Hull, 8th edition
/// Chapter 14 "The Black-Scholes-Merton model" (page 299)
/// </summary>
/// <param name="stock">Underlying asset</param>
/// <param name="prices">Daily prices of the underlying asset for the last year</param>
/// <param name="optionChain">Current options chain existing in the market</param>
/// <param name="riskFreeRate">
/// When the Black-Scholes formula is used in practice the interest rate r (risk free rate)
/// is set equal to the zero-coupon risk-free interest rate for a maturity T
/// </param>
public static void CalculateTheoricalValue(PriceList prices, OptionsChain optionChain, RiskFreeRates riskFreeRates, double lastPrice)
{
double volatility = CalculateVolatility(prices);
CalculateTheoricalValue(prices, optionChain, riskFreeRates, lastPrice, volatility);
}
