/// <summary>
/// To get the underlying asset by the derivative.
/// </summary>
/// <param name="derivative">The derivative.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <returns>Underlying asset.</returns>
public static Security GetUnderlyingAsset(this Security derivative, ISecurityProvider provider)
{
if (derivative == null)
throw new ArgumentNullException("derivative");
if (provider == null)
throw new ArgumentNullException("provider");
if (derivative.Type == SecurityTypes.Option)
{
derivative.CheckOption();
return _underlyingSecurities.SafeAdd(derivative, key =>
{
var underlyingSecurity = provider.LookupById(key.UnderlyingSecurityId);
if (underlyingSecurity == null)
throw new InvalidOperationException(LocalizedStrings.Str704Params.Put(key.UnderlyingSecurityId));
return underlyingSecurity;
});
}
else
{
return provider.LookupById(derivative.UnderlyingSecurityId);
}
}
/// <summary>
/// To get the internal option value.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <returns>The internal value. If it is impossible to get the current market price of the asset then the <see langword="null" /> will be returned.</returns>
public static decimal? GetIntrinsicValue(this Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
if (securityProvider == null)
throw new ArgumentNullException("securityProvider");
option.CheckOption();
var assetPrice = option.GetUnderlyingAsset(securityProvider).GetCurrentPrice(dataProvider);
if (assetPrice == null)
return null;
return ((decimal)((option.OptionType == OptionTypes.Call) ? assetPrice - option.Strike : option.Strike - assetPrice)).Max(0);
}
/// <summary>
/// To get the timed option value.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <returns>The timed value. If it is impossible to get the current market price of the asset then the <see langword="null" /> will be returned.</returns>
public static decimal? GetTimeValue(this Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
if (securityProvider == null)
throw new ArgumentNullException("securityProvider");
option.CheckOption();
var price = option.GetCurrentPrice(dataProvider);
var intrinsic = option.GetIntrinsicValue(securityProvider, dataProvider);
if (price == null || intrinsic == null)
return null;
return (decimal)(price - intrinsic);
}
/// <summary>
/// To get opposite option (for Call to get Put, for Put to get Call).
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <returns>The opposite option.</returns>
public static Security GetOppositeOption(this Security option, ISecurityProvider provider)
{
if (provider == null)
throw new ArgumentNullException("provider");
option.CheckOption();
var oppositeOption = provider
.Lookup(new Security
{
OptionType = option.OptionType == OptionTypes.Call ? OptionTypes.Put : OptionTypes.Call,
Strike = option.Strike,
ExpiryDate = option.ExpiryDate,
UnderlyingSecurityId = option.UnderlyingSecurityId,
})
.FirstOrDefault();
if (oppositeOption == null)
throw new ArgumentException(LocalizedStrings.Str706Params.Put(option.Id), "option");
return oppositeOption;
}