private VolSurface GetVolSurface(SortedDictionary <DateTime, RiskFreeRate> riskFreeRates, OrderBook underlyingOrderBook, List <OptionMarketData> optionsMarketData)
{
double businessDaysInTheYear = 252;
VolSurface volSurface = new VolSurface();
double spot = underlyingOrderBook.GetPriceMid();
foreach (OptionMarketData option in optionsMarketData)
{
RiskFreeRate riskFreeRate = null;
riskFreeRates.TryGetValue(option.OptionInfo.ExpiryDate, out riskFreeRate);
double timeToMaturity = riskFreeRate.BusinessDays / businessDaysInTheYear;
double bid = (option.OrderBook.Bid != null) ? option.OrderBook.Bid.Value : 0.00;
double bidSize = (option.OrderBook.BidSize != null) ? option.OrderBook.BidSize.Value : 0.00;;
double ask = (option.OrderBook.Ask != null) ? option.OrderBook.Ask.Value : 0.00;;
double askSize = (option.OrderBook.AskSize != null) ? option.OrderBook.AskSize.Value : 0.00;;
BlackScholes bs = new BlackScholes();
double bidImpliedVolatility = 0.00;
double askImpliedVolatility = 0.00;
if (bid > 0.00 && bidSize > 0.00)
{
bidImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, bid, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
}
if (ask > 0.00 && askSize > 0.00)
{
askImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, ask, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
}
if (!(bidImpliedVolatility > 0.0000))
{
bidImpliedVolatility = 0.00;
}
if (!(askImpliedVolatility > 0.0000))
{
askImpliedVolatility = 0.00;
}
VolQuote volQuote = new VolQuote(bidSize, askSize, bidImpliedVolatility, askImpliedVolatility);
volSurface.Update(option.OptionInfo.ExpiryDate, option.OptionInfo.Strike, option.OptionInfo.Type, volQuote);
}
return(volSurface);
}
private SortedDictionary <DateTime, RiskFreeRate> GetRiskFreeRates(string filePath)
{
SortedDictionary <DateTime, RiskFreeRate> riskFreeRates = new SortedDictionary <DateTime, RiskFreeRate>();
string line;
System.IO.StreamReader file = new System.IO.StreamReader(filePath);
while ((line = file.ReadLine()) != null)
{
string[] tokens = line.Split(';');
DateTime maturity = DateTime.ParseExact(tokens[0], "yyyyMMdd", null);
double days = Double.Parse(tokens[1], CultureInfo.InvariantCulture);
double businessDays = Double.Parse(tokens[2], CultureInfo.InvariantCulture);
double rate = Double.Parse(tokens[3], CultureInfo.InvariantCulture);
RiskFreeRate riskFreeRate = new RiskFreeRate(maturity, days, businessDays, rate);
riskFreeRates.Add(maturity, riskFreeRate);
}
file.Close();
return(riskFreeRates);
}
private SortedDictionary<DateTime, RiskFreeRate> GetRiskFreeRates(string filePath)
{
SortedDictionary<DateTime, RiskFreeRate> riskFreeRates = new SortedDictionary<DateTime, RiskFreeRate>();
string line;
System.IO.StreamReader file = new System.IO.StreamReader(filePath);
while ((line = file.ReadLine()) != null)
{
string[] tokens = line.Split(';');
DateTime maturity = DateTime.ParseExact(tokens[0], "yyyyMMdd", null);
double days = Double.Parse(tokens[1], CultureInfo.InvariantCulture);
double businessDays = Double.Parse(tokens[2], CultureInfo.InvariantCulture);
double rate = Double.Parse(tokens[3], CultureInfo.InvariantCulture);
RiskFreeRate riskFreeRate = new RiskFreeRate(maturity, days, businessDays, rate);
riskFreeRates.Add(maturity, riskFreeRate);
}
file.Close();
return riskFreeRates;
}
