public void Update(MarketDetailsResponse marketDetails)
{
Bid = Convert.ToDouble(marketDetails.snapshot.bid);
Ask = Convert.ToDouble(marketDetails.snapshot.offer);
Prime = (Bid + Ask) / 2;
Spread = Ask - Bid;
InterestRate = EuriborHelper.GetInterestRate(Expiry.Subtract(DateTime.Now));
CurrentPrice = Convert.ToDouble(marketDetails.snapshot.netChange);
var isCall = Directions == OptionDirections.Call;
var time = Expiry.Subtract(DateTime.Now).TotalDays / 365;
var correctedPrime = Math.Min(Bid + Spread * (Bid / 20), Prime);
Volatility = BlackScholesHelper.ImpliedVolatility(isCall, CurrentPrice, Strike, time, 0, correctedPrime);
InterestRate = Math.Round(InterestRate * 100, 2);
Volatility = Math.Round(Volatility * 100, 2);
}
public OptionItem(MarketDetailsResponse marketDetails)
{
Epic = marketDetails.instrument.epic;
Quantity = 1;
Name = $"{marketDetails.instrument.name} ({marketDetails.instrument.expiry})";
var infos = marketDetails.instrument.name.Split(' ');
var dir = infos[infos.Length - 1];
var strike = infos[infos.Length - 2];
Directions = dir.ToUpper() == "CALL" ? OptionDirections.Call : OptionDirections.Put;
Strike = Convert.ToDouble(strike);
Expiry = Convert.ToDateTime(marketDetails.instrument.expiryDetails.lastDealingDate, CultureInfo.GetCultureInfo("fr-FR"));
Bid = Convert.ToDouble(marketDetails.snapshot.bid);
Ask = Convert.ToDouble(marketDetails.snapshot.offer);
Prime = (Bid + Ask) / 2;
CurrentPrime = Prime;
Spread = Ask - Bid;
PrimeString = $"({Ask}/{Bid})";
InterestRate = EuriborHelper.GetInterestRate(Expiry.Subtract(DateTime.Now));
CurrentPrice = Convert.ToDouble(marketDetails.snapshot.netChange);
var isCall = Directions == OptionDirections.Call;
var time = Expiry.Subtract(DateTime.Now).TotalDays / 365;
var correctedPrime = Math.Min(Bid + Spread * (Bid / 20), Prime);
Volatility = BlackScholesHelper.ImpliedVolatility(isCall, CurrentPrice, Strike, time, 0, correctedPrime);
InterestRate = Math.Round(InterestRate * 100, 2);
Volatility = Math.Round(Volatility * 100, 2);
}
private void Simulate(RenderingContext context)
{
var values = new double[context.SimulationWidth * context.SimulationHeight];
var minValue = double.MaxValue;
var maxValue = double.MinValue;
var deltaTime = (context.EndDate.Subtract(context.StartDate).TotalDays) / context.SimulationWidth;
var deltaPrice = (context.MaxPrice - context.MinPrice) / context.SimulationHeight;
double baseValue = 0;
//for (int i = 0; i < context.SimulationHeight; i++)
Parallel.For(0, context.SimulationHeight, i =>
{
var price = context.MinPrice + (i * deltaPrice);
for (int j = 0; j < context.SimulationWidth; j++)
{
var time = context.StartDate.AddDays(j * deltaTime);
double value = 0;
foreach (var option in context.Options)
{
if (option.Action == OptionActions.None)
{
continue;
}
var isCall = option.Directions == OptionDirections.Call;
var timeToExpiry = option.Expiry.Subtract(time).TotalDays / 365;
if (option.Action == OptionActions.Buy)
{
var v = -option.CurrentPrime;
var prime = BlackScholesHelper.Prime(isCall, price, option.Strike, option.InterestRate / 100, option.Volatility / 100, timeToExpiry);
v += Math.Max(0, prime);
v -= (option.Spread / 2);
value += v * option.Quantity;
}
if (option.Action == OptionActions.Sell)
{
var v = option.CurrentPrime;
var prime = BlackScholesHelper.Prime(isCall, price, option.Strike, option.InterestRate / 100, option.Volatility / 100, timeToExpiry);
v -= Math.Max(0, prime);
v -= (option.Spread / 2);
value += v * option.Quantity;
}
}
minValue = Math.Min(minValue, value);
maxValue = Math.Max(maxValue, value);
values[(context.SimulationHeight - i - 1) * context.SimulationWidth + j] = value;
}
});
context.Values = values;
context.KeyValues = new bool[context.SimulationWidth * context.SimulationHeight];
context.MinValue = minValue;
context.MaxValue = maxValue;
}
