public List <StockOptionInformation> GetStockOptionInfo(string underlying, DateTime start, DateTime end)
{
logger.Info(string.Format("begin to fetch stock{0} Option Information from {1} to {2}...", underlying, start, end));
var optionList = new List <StockOptionInformation>();
var latestTradingDate = dateRepo.GetPreviousTransactionDate(DateTime.Now.AddDays(1));
var dt = ReadFromSqlServer(underlying, start, end);
var codeStr = underlying.Split('.');
if (dt.Rows.Count == 0 || Convert.ToDateTime(dt.Rows[0]["update_date_time"]).Date < latestTradingDate.Date)
{
UpdateOptionInfo(underlying);
dt = ReadFromSqlServer(underlying, start, end);
}
foreach (DataRow item in dt.Rows)
{
var info = new StockOptionInformation();
info.code = Convert.ToString(item["wind_code"]) + "." + codeStr[1];
info.name = Convert.ToString(item["sec_name"]);
info.underlying = underlying;
info.exerciseMode = Convert.ToString(item["exercise_mode"]);
info.strike = Convert.ToDouble(item["exercise_price"]);
info.type = Convert.ToString(item["call_or_put"]);
info.unit = Convert.ToInt32(item["contract_unit"]);
info.listedDate = Convert.ToDateTime(item["listed_date"]);
info.expireDate = Convert.ToDateTime(item["expire_date"]);
optionList.Add(info);
}
return(optionList);
}
public static StockOptionInformation GetParity(List <StockOptionInformation> list, StockOptionInformation option)
{
StockOptionInformation parity = new StockOptionInformation();
foreach (var item in list)
{
if (item.strike == option.strike && item.expireDate == option.expireDate && item.underlying == option.underlying && item.type != option.type && item.unit == option.unit)
{
parity = item;
break;
}
}
return(parity);
}
/// <summary>
/// 根据给定的期权，得到他对应的期权。看涨期权给出对应的看跌期权，看跌去期权给出其对应的看涨期权。
/// </summary>
/// <param name="list">期权备选列表</param>
/// <param name="optionSelected">给定的期权</param>
/// <returns></returns>
public static StockOptionInformation getCallByPutOrPutByCall(List <StockOptionInformation> list, StockOptionInformation optionSelected)
{
StockOptionInformation optionChosen = new StockOptionInformation();
foreach (var option in list)
{
if (option.expireDate == optionSelected.expireDate && option.strike == optionSelected.strike && option.unit == optionSelected.unit && option.type != optionSelected.type)
{
optionChosen = option;
break;
}
}
return(optionChosen);
}
public static double getDuration(StockOptionInformation option, DateTime date)
{
TimeSpan span = option.expireDate - date;
return(span.Days + 1);
}
