/// <summary>
/// retrieve the static/current data associated with the option from BOSS
/// </summary>
/// <param name="SecurityID"></param>
/// <returns></returns>
private BOSSOption GetBOSSOption(int securityID, DateTime ValuationDate)
{
SqlCommand sqlCom = new SqlCommand("spOTCOptionPrice_GetSecurityData");
sqlCom.CommandType = CommandType.StoredProcedure;
sqlCom.Parameters.Add(new SqlParameter("@SecurityID", securityID));
DataSet ds = db.FetchData(sqlCom);
if (ds.Tables[0].Rows.Count == 0)
{
return(null);
}
DataRow dr = ds.Tables[0].Rows[0];
BOSSOption o = new BOSSOption()
{
SecurityID = securityID,
SecurityName = dr["Description"].ToString(),
UnderlyingSecurityName = dr["UnderlyingDescription"].ToString(),
Strike = double.Parse(dr["StrikePrice"].ToString()),
Maturity = DateTime.Parse(dr["MatDate"].ToString()),
Type = (dr["SecuritySubTypeID"].ToString() == "6") ? Option.OptionType.Call : Option.OptionType.Put,
Style = (dr["OptionStyleID"].ToString() == "1") ? Option.OptionStyle.American: Option.OptionStyle.European,
FirstTraded = DateTime.Parse(dr["FirstTradeDate"].ToString())
};
//get underlying price
o.UnderlyingPrice = GetUnderlyingPrice(securityID, ValuationDate);
//get remaining data - can come from any of (up to) three sources, try the each one in the order specified below...
//get dividends
o.DividendSource = (DividendSourceData)SourceDataChooser(securityID, ValuationDate, new List <GetSourceDataDel>()
{
new GetSourceDataDel(GetDividends_ManualOverride),
new GetSourceDataDel(GetDividends_BOSS),
new GetSourceDataDel(GetDividends_Bloomberg)
});
//get volatility
o.VolatilitySource = (VolatilitySourceData)SourceDataChooser(securityID, ValuationDate, new List <GetSourceDataDel>()
{
new GetSourceDataDel(GetVolatility_ManualOverride),
new GetSourceDataDel(GetVolatility_Bloomberg)
});
//get rate
o.RateSource = (RateSourceData)SourceDataChooser(securityID, ValuationDate, new List <GetSourceDataDel>()
{
new GetSourceDataDel(GetRate_ManualOverride),
new GetSourceDataDel(GetRate_Bloomberg)
});
return(o);
}
private void OptionTestButton_Click(object sender, EventArgs e)
{
string value = "";
try {
BOSSOption option = new BOSSOption()
{
SecurityID = 0,
SecurityName = "Test Security",
UnderlyingSecurityName = "Underlying Test",
UnderlyingPrice = 0.99,
UnderlyingVolatility = 0.3,
Rate = 0.04,
Strike = 1.1,
Maturity = DateTime.Parse("31 March 2012"),
Type = OptionValue_DotNet.Option.OptionType.Call,
Style = OptionValue_DotNet.Option.OptionStyle.European,
FirstTraded = DateTime.Parse("3 Jan 2012")
};
option.CalculateOptionValue(DateTime.Parse("1 Feb 2012"));
value = option.OptionValue.ToString().Substring(0, 8);
} catch (Exception ex) {
value = ex.Message;
} finally {
if (value == "0.014459")
{
string detail = "Strike = 1.1\r\n";
detail += "Underlying Price = 0.99\r\n";
detail += "Rate = 4%\r\n";
detail += "Vol = 30% = \r\n";
detail += "Maturity = 31 Mar 2012\r\n";
detail += "European Call\r\n";
detail += "Value date = 1 Feb 2012\r\n\r\n";
detail += "Calculated option price is " + value;
MessageBox.Show("Option valuation is working correctly\r\n\r\n" + detail);
}
else
{
MessageBox.Show("Option valuation failed. [" + value + "]");
}
}
}
/// <summary>
/// write the valuation data for this security/date
/// </summary>
/// <param name="ValuationDate"></param>
/// <param name="Options"></param>
internal void SaveOptionPrice(BOSSOption option, DateTime ValuationDate)
{
//delete if it is there already
DeleteOptionPrice(option.SecurityID, ValuationDate);
//insert
SqlCommand sqlComInsert = new SqlCommand("spOTCOptionPrice_InsertPrice");
sqlComInsert.CommandType = CommandType.StoredProcedure;
sqlComInsert.Parameters.Add(new SqlParameter("@SecurityID", option.SecurityID));
sqlComInsert.Parameters.Add(new SqlParameter("@PriceDate", ValuationDate));
sqlComInsert.Parameters.Add(new SqlParameter("@UnderlyingPrice", option.UnderlyingPrice));
sqlComInsert.Parameters.Add(new SqlParameter("@UnderlyingVolatility", option.UnderlyingVolatility));
sqlComInsert.Parameters.Add(new SqlParameter("@VolatilitySource", option.VolatilitySource.Source.ToString()));
sqlComInsert.Parameters.Add(new SqlParameter("@VolatilityCaptureTime", option.VolatilitySource.CaptureTime));
sqlComInsert.Parameters.Add(new SqlParameter("@VolatilityBBTicker", option.VolatilitySource.BBData.Ticker));
sqlComInsert.Parameters.Add(new SqlParameter("@VolatilityBBField", option.VolatilitySource.BBData.Field));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRate", option.Rate));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRateSource", option.RateSource.Source.ToString()));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRateCaptureTime", option.RateSource.CaptureTime));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRateBBTicker_Previous", option.RateSource.BBData_PreviousTerm.Ticker));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRateBBTicker_Next", option.RateSource.BBData_NextTerm.Ticker));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRateBBTicker_Previous_Value", option.RateSource.BBData_PreviousTerm.Value));
sqlComInsert.Parameters.Add(new SqlParameter("@RiskFreeRateBBTicker_Next_Value", option.RateSource.BBData_NextTerm.Value));
sqlComInsert.Parameters.Add(new SqlParameter("@DividendsSource", option.DividendSource.Source.ToString()));
if (option.DividendSource.Source != BOSS_OptionValueManager.InputSourceData.InputSource.Missing)
{
sqlComInsert.Parameters.Add(new SqlParameter("@DivDetails", option.DisplayDividendString));
sqlComInsert.Parameters.Add(new SqlParameter("@DividendCurrency", option.DividendSource.DividendCurrency));
sqlComInsert.Parameters.Add(new SqlParameter("@DividendFXRate", option.DividendSource.DividendFXRate));
}
sqlComInsert.Parameters.Add(new SqlParameter("@Price", option.OptionValue));
ExecSql(sqlComInsert);
}
/// <summary>
/// show the input source details in the tooltip, change colors etc...
/// </summary>
public void FormatValuationRows()
{
foreach (DataGridViewRow row in ValuationGridView.Rows)
{
BOSSOption o = (BOSSOption)row.DataBoundItem;
//show the input source details in the tooltip, change colors etc...
row.Cells["VolatilitySourceCharacter"].ToolTipText = o.VolatilitySource.ToString();
row.Cells["RateSourceCharacter"].ToolTipText = o.RateSource.ToString();
row.Cells["DividendSourceCharacter"].ToolTipText = o.DividendSource.ToString();
//apply source colors
row.Cells["VolatilitySourceCharacter"].Style.ForeColor = Utilities.GetSourceColour(o.VolatilitySource.Source);
row.Cells["RateSourceCharacter"].Style.ForeColor = Utilities.GetSourceColour(o.RateSource.Source);
row.Cells["DividendSourceCharacter"].Style.ForeColor = Utilities.GetSourceColour(o.DividendSource.Source);
//set staus colour
row.Cells["StatusCharacterColumn"].Style.ForeColor = Utilities.GetStatusColour(o.OptionValue > 0);
}
}
/// <summary>
/// get a list of all of the options that we want to price (i.e. ones we have a balance in)
/// </summary>
/// <param name="ValuationDate"></param>
/// <returns></returns>
internal List <BOSSOption> GetBOSSOptionsToPrice(DateTime ValuationDate)
{
List <BOSSOption> options = new List <BOSSOption>();
SqlCommand sqlCom = new SqlCommand("spOTCOptionPrice_GetSecuritiesToPrice");
sqlCom.CommandType = CommandType.StoredProcedure;
sqlCom.Parameters.Add(new SqlParameter("@PriceDate", ValuationDate));
DataSet ds = db.FetchData(sqlCom);
if (ds.Tables[0].Rows.Count != 0)
{
foreach (DataRow dr in ds.Tables[0].Rows)
{
//get static data
int SecurityID = int.Parse(dr["SecurityID"].ToString());
BOSSOption o = GetBOSSOption(SecurityID, ValuationDate);
options.Add(o);
}
}
return(options);
}