private void compute(DateTime date)
{
List <StockTickTransaction> etf = new List <StockTickTransaction>();
etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17)));
foreach (var item in parityList)
{
DataTable dt = new DataTable();
dt.Columns.Add("tdatetime");
dt.Columns.Add("expiredate");
dt.Columns.Add("maturitydate");
dt.Columns.Add("annualizedReturn");
dt.Columns.Add("annualizedCloseCost");
dt.Columns.Add("etfPrice");
dt.Columns.Add("strike");
dt.Columns.Add("callPrice");
dt.Columns.Add("putPrice");
dt.Columns.Add("callMinutelyPrice");
dt.Columns.Add("putMinutelyPrice");
dt.Columns.Add("minutelyVolume");
double strike = item.strike;
int expiredate = 0;
List <StockOptionTickTransaction> call = new List <StockOptionTickTransaction>();
List <StockOptionTickTransaction> put = new List <StockOptionTickTransaction>();
call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.call, date, date.AddHours(17)));
put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.put, date, date.AddHours(17)));
//计算套利空间
myList = new List <StockOptionParityProfit>();
TimeSpan span = item.expireDate - date;
// var multiple = item.unit/10000.0;
for (int i = 0; i < 28802; i++)
{
StockOptionParityProfit result = new StockOptionParityProfit();
double callMinutelyVolume = 0;
double putMinutelyVolume = 0;
double callPrice = 0;
double putPrice = 0;
if (etf[i] != null && call != null && put != null && call[i] != null && put[i] != null && etf[i].LastPrice != 0 && call[i].LastPrice != 0 && put[i].LastPrice != 0 && call[i].Ask1 != 0 && put[i].Bid1 != 0 && call[i].Bid1 != 0 && put[i].Ask1 != 0)
{
result.date = etf[i].TransactionDateTime;
result.strike = item.strike;
result.etfPrice = etf[i].LastPrice;
result.expiredate = span.Days + 1;
expiredate = result.expiredate;
result.maturitydate = item.expireDate;
double profit = result.strike - (etf[i].Ask1 - call[i].Bid1 + put[i].Ask1);
double margin = (etf[i].Ask1 - call[i].Bid1 + put[i].Ask1) + (call[i].LastPrice + Math.Max(0.12 * etf[i].LastPrice - Math.Max(result.strike - etf[i].LastPrice, 0), 0.07 * etf[i].LastPrice));
double annualizedReturn = (profit - etf[i].Ask1 * 0.0001 - 1.6 / 10000.0) / margin / (double)result.expiredate * 365.0;
double annualizedCloseCost = (-result.strike + (etf[i].Bid1 - call[i].Ask1 + put[i].Bid1) - etf[i].Bid1 * 0.0001 - 3.2 / 10000.0) / margin / (double)result.expiredate * 365.0;
result.profit = annualizedReturn;
result.cost = annualizedCloseCost;
result.callPrice = call[i].LastPrice;
result.putPrice = put[i].LastPrice;
if (i > 120 && call[i - 120] != null)
{
callMinutelyVolume = call[i].Volume - call[i - 120].Volume;
if (callMinutelyVolume != 0)
{
callPrice = (call[i].Amount - call[i - 120].Amount) / callMinutelyVolume / item.unit;
}
}
else
{
callMinutelyVolume = Math.Round(call[i].Volume / Convert.ToDouble(i + 1) * 120.0, 0);
if (callMinutelyVolume != 0)
{
callPrice = call[i].Amount / call[i].Volume / item.unit;
}
}
if (i > 120 && put[i - 120] != null)
{
putMinutelyVolume = put[i].Volume - put[i - 120].Volume;
if (putMinutelyVolume != 0)
{
putPrice = (put[i].Amount - put[i - 120].Amount) / putMinutelyVolume / item.unit;
}
}
else
{
putMinutelyVolume = Math.Round(put[i].Volume / Convert.ToDouble(i + 1) * 120.0, 0);
if (putMinutelyVolume != 0)
{
putPrice = put[i].Amount / put[i].Volume / item.unit;
}
}
myList.Add(result);
DataRow dr = dt.NewRow();
dr["tdatetime"] = result.date;
dr["maturitydate"] = result.maturitydate;
dr["strike"] = Math.Round(result.strike, 4);
dr["annualizedReturn"] = Math.Round(result.profit, 4);
dr["annualizedCloseCost"] = Math.Round(result.cost, 4);
dr["expiredate"] = result.expiredate;
dr["etfPrice"] = result.etfPrice;
dr["callPrice"] = result.callPrice;
dr["putPrice"] = result.putPrice;
dr["callMinutelyPrice"] = Math.Round(Convert.ToDecimal(callPrice), 6);
dr["putMinutelyPrice"] = Math.Round(Convert.ToDecimal(putPrice), 6);
dr["minutelyVolume"] = Math.Min(Convert.ToDecimal(callMinutelyVolume), Convert.ToDecimal(putMinutelyVolume));
if (result.date < result.date.Date + new TimeSpan(14, 57, 00))
{
dt.Rows.Add(dr);
}
}
}
SaveResultToMssql(date, dt, strike, expiredate);
//SaveResultToMssql(date, dt,expiredate);
}
}
public void computeImpv(DateTime startDate, DateTime endDate)
{
var start = startDate;
//while (start < endDate)
//{
// if (!ExistInSqlServer(start))
// {
// CreateDBOrTableIfNecessary(start);
// }
// start = start.AddYears(1);
//}
//if (!ExistInSqlServer(endDate))
//{
// CreateDBOrTableIfNecessary(endDate);
//}
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
//逐日进行计算
foreach (var date in tradedays)
{
if (!ExistInSqlServer(date))
{
CreateDBOrTableIfNecessary(date);
}
double[,] myFuture = new double[4, 28802];
var tickdata = new Dictionary <string, List <StockOptionTickTransaction> >();
var etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17)));
var list = infoRepo.GetStockOptionInfo(underlying, date, date).Where(x => x.unit == 10000);
Dictionary <StockOptionProperty, string> optionCode = new Dictionary <StockOptionProperty, string>();
//给出所有的strike信息
List <double> strikeList = new List <double>();
foreach (var item in list)
{
if (strikeList.Contains(item.strike) == false)
{
strikeList.Add(item.strike);
}
}
strikeList = strikeList.OrderBy(x => x).ToList();
//给出所有的duration信息
List <DateTime> expireDateList = new List <DateTime>();
foreach (var item in list)
{
if (expireDateList.Contains(item.expireDate) == false)
{
expireDateList.Add(item.expireDate);
}
}
expireDateList = expireDateList.OrderBy(x => x).ToList();
foreach (var item in list)
{
var option0 = optionRepo.GetStockTransaction(item.code, date, date.AddHours(17));
if (option0.Count == 0)
{
continue;
}
var option = DataTimeStampExtension.ModifyOptionTickData(option0);
StockOptionProperty property = new StockOptionProperty {
strike = item.strike, call_or_put = item.type, expireDate = item.expireDate
};
optionCode.Add(property, item.code);
tickdata.Add(item.code, option);
}
//计算合约的合成远期价格
for (int k = 0; k < 3; k++) //k遍历了到期时间
{
double[,] futures = new double[4, 28802]; //futures[选取的strike,时间下标]
double[,] weights = new double[4, 28802];
for (int i = 0; i < 28802; i++)
{
var etfMid = getStockMidPrice(etf[i], volumeTarget * 100);
if (etfMid == 0)
{
continue;
}
var expireDate = expireDateList[k];
var strikeListNow = strikeList.OrderBy(x => Math.Abs(x - etfMid * Math.Exp(rate * dateRepo.GetDuration(date, expireDate) / 252.0))).ToList();
for (int j = 0; j <= 3; j++)
{
StockOptionProperty call = new StockOptionProperty {
strike = strikeListNow[j], call_or_put = "认购", expireDate = expireDate
};
StockOptionProperty put = new StockOptionProperty {
strike = strikeListNow[j], call_or_put = "认沽", expireDate = expireDate
};
bool callExists = false, putExists = false;
foreach (var key in optionCode.Keys)
{
if (key.call_or_put == call.call_or_put && key.strike == call.strike && key.expireDate == call.expireDate)
{
callExists = true;
call = key;
}
if (key.call_or_put == put.call_or_put && key.strike == put.strike && key.expireDate == put.expireDate)
{
putExists = true;
put = key;
}
}
if (callExists && putExists)
{
var callTick = tickdata[optionCode[call]];
var putTick = tickdata[optionCode[put]];
var callMid = getOptionMidPrice(callTick[i], volumeTarget);
var putMid = getOptionMidPrice(putTick[i], volumeTarget);
if (callMid > 0 && putMid > 0)
{
var callSpread = getOptionSpread(callTick[i], volumeTarget);
var putSpread = getOptionSpread(putTick[i], volumeTarget);
futures[j, i] = (callMid - putMid) * Math.Exp(rate * dateRepo.GetDuration(date, expireDate) / 252.0) + strikeListNow[j];
weights[j, i] = 1 / ((Math.Pow(callSpread, 2) + Math.Pow(putSpread, 2)) / 2);
}
}
}
myFuture[k, i] = 0;
double weightsAll = 0;
for (int j = 0; j < 3; j++)
{
myFuture[k, i] += futures[j, i] * weights[j, i];
weightsAll += weights[j, i];
}
if (weightsAll != 0)
{
myFuture[k, i] /= weightsAll;
}
}
int firstNonZero = 0;
for (int i = 0; i < 28802; i++)
{
if (myFuture[k, i] != 0)
{
firstNonZero = i;
break;
}
}
for (int i = firstNonZero + 1; i < 28802; i++)
{
if (myFuture[k, i] == 0)
{
myFuture[k, i] = myFuture[k, i - 1];
}
}
for (int i = firstNonZero + 1; i < 28802; i++)
{
myFuture[k, i] = emaCoeff * myFuture[k, i] + (1 - emaCoeff) * myFuture[k, i - 1];
}
//计算隐含波动率
foreach (var item in list)
{
if (item.expireDate != expireDateList[k])
{
continue;
}
DataTable dt = new DataTable();
dt.Columns.Add("code");
dt.Columns.Add("tdatetime", typeof(DateTime));
dt.Columns.Add("expiredate");
dt.Columns.Add("futurePrice");
dt.Columns.Add("futurePrice0");
dt.Columns.Add("duration");
dt.Columns.Add("maturitydate");
dt.Columns.Add("etfPrice");
dt.Columns.Add("strike");
dt.Columns.Add("call_or_put");
dt.Columns.Add("ask");
dt.Columns.Add("bid");
dt.Columns.Add("ask_impv");
dt.Columns.Add("bid_impv");
StockOptionProperty option = new StockOptionProperty {
strike = item.strike, call_or_put = item.type, expireDate = item.expireDate
};
foreach (var key in optionCode.Keys)
{
if (key.call_or_put == option.call_or_put && key.strike == option.strike && key.expireDate == option.expireDate)
{
option = key;
}
}
if (optionCode.ContainsKey(option) == true)
{
for (int i = 0; i < 28802; i++)
{
if (myFuture[k, i] == 0)
{
continue;
}
var etfMid = getStockMidPrice(etf[i], volumeTarget * 100);
if (etfMid == 0)
{
continue;
}
var strikeListNow = strikeList.OrderBy(x => Math.Abs(x - etfMid * Math.Exp(rate * dateRepo.GetDuration(date, item.expireDate) / 252.0))).ToList();
var optionTick = tickdata[optionCode[option]];
if (optionTick[i] == null)
{
continue;
}
double etfprice = etf[i].LastPrice;
double ask = optionTick[i].Ask1;
double bid = optionTick[i].Bid1;
double duration = dateRepo.GetDuration(date, option.expireDate) / 252.0;
double strike = item.strike;
string callorput = item.type;
double askvol = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(myFuture[k, i], ask, strike, duration, rate, callorput), 4);
double bidvol = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(myFuture[k, i], bid, strike, duration, rate, callorput), 4);
double future0 = 0;
for (int m = 0; m <= 3; m++)
{
if (strikeListNow[m] == item.strike)
{
future0 = futures[m, i];
break;
}
}
DataRow dr = dt.NewRow();
dr["code"] = item.code;
dr["tdatetime"] = Convert.ToDateTime(date + timelist[i]);//etf[i].TransactionDateTime;
dr["maturitydate"] = item.expireDate;
dr["futurePrice"] = Math.Round(myFuture[k, i], 4);
dr["futurePrice0"] = Math.Round(future0, 4);
dr["strike"] = Math.Round(strike, 4);
dr["expiredate"] = dateRepo.GetDuration(date, option.expireDate);
dr["duration"] = Math.Round(duration, 5);
dr["etfPrice"] = etfprice;
dr["call_or_put"] = item.type;
dr["ask"] = ask;
dr["bid"] = bid;
if (askvol > 0 && askvol < 3)
{
dr["ask_impv"] = askvol;
}
else
{
dr["ask_impv"] = null;
}
if (bidvol > 0 && bidvol < 3)
{
dr["bid_impv"] = bidvol;
}
else
{
dr["bid_impv"] = null;
}
if (optionTick[i].TransactionDateTime < date.Date + new TimeSpan(14, 57, 00))
{
dt.Rows.Add(dr);
}
}
}
SaveResultToMssql(date, dt, item.strike, dateRepo.GetDuration(date, item.expireDate), item.type, item.code);
}
}
}
}
public void record(DateTime startDate, DateTime endDate)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
CreateDBOrTableIfNecessary(startDate);
CreateDBOrTableIfNecessary(startDate.AddYears(1));
var start = startDate;
while (start < endDate)
{
if (!ExistInSqlServer(start))
{
CreateDBOrTableIfNecessary(start);
}
start = start.AddYears(1);
}
if (!ExistInSqlServer(endDate))
{
CreateDBOrTableIfNecessary(endDate);
}
foreach (var date in tradedays)
{
DataTable dt = new DataTable();
dt = initializeDataTable(dt);
double[] sigma1Ask = new double[28802];
double[] sigma1Bid = new double[28802];
double[] sigma2Ask = new double[28802];
double[] sigma2Bid = new double[28802];
double[] vixAsk = new double[28802];
double[] vixBid = new double[28802];
var list = infoRepo.GetStockOptionInfo(underlying, date, date);
list = OptionUtilities.modifyOptionListByETFBonus(list, date);
List <StockOptionInformation> callListThisMonth = new List <StockOptionInformation>();
List <StockOptionInformation> callListNextMonth = new List <StockOptionInformation>();
List <StockOptionInformation> putListThisMonth = new List <StockOptionInformation>();
List <StockOptionInformation> putListNextMonth = new List <StockOptionInformation>();
var durationList = OptionUtilities.getDurationStructure(list, date);
double durationThisMonth = 0;
double durationNextMonth = 0;
if (durationList[0] > 7)
{
durationThisMonth = durationList[0];
durationNextMonth = durationList[1];
}
else
{
durationThisMonth = durationList[1];
durationNextMonth = durationList[2];
}
foreach (var item in list)
{
if (OptionUtilities.getDuration(item, date) == durationThisMonth && item.unit == 10000)
{
if (item.type == "认购")
{
callListThisMonth.Add(item);
}
else
{
putListThisMonth.Add(item);
}
}
else if (OptionUtilities.getDuration(item, date) == durationNextMonth && item.unit == 10000)
{
if (item.type == "认购")
{
callListNextMonth.Add(item);
}
else
{
putListNextMonth.Add(item);
}
}
}
callListThisMonth = callListThisMonth.OrderBy(x => x.strike).ToList();
callListNextMonth = callListNextMonth.OrderBy(x => x.strike).ToList();
putListThisMonth = putListThisMonth.OrderBy(x => x.strike).ToList();
putListNextMonth = putListNextMonth.OrderBy(x => x.strike).ToList();
//获取当日ETF及期权数据
List <StockTickTransaction> etf = new List <StockTickTransaction>();
etf = DataTimeStampExtension.ModifyStockTickData(stockRepo.GetStockTransaction("510050.SH", date, date.AddHours(17)));
Dictionary <double, List <StockOptionTickTransaction> > callDataThisMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
Dictionary <double, List <StockOptionTickTransaction> > putDataThisMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
Dictionary <double, List <StockOptionTickTransaction> > callDataNextMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
Dictionary <double, List <StockOptionTickTransaction> > putDataNextMonth = new Dictionary <double, List <StockOptionTickTransaction> >();
List <double> strikeListThisMonth = new List <double>();
List <double> strikeListNextMonth = new List <double>();
foreach (var item in callListThisMonth)
{
strikeListThisMonth.Add(item.strike);
var call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
callDataThisMonth.Add(item.strike, call);
}
foreach (var item in putListThisMonth)
{
var put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
putDataThisMonth.Add(item.strike, put);
}
foreach (var item in callListNextMonth)
{
strikeListNextMonth.Add(item.strike);
var call = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
callDataNextMonth.Add(item.strike, call);
}
foreach (var item in putListNextMonth)
{
//2016-2-17数据有缺失
var put = DataTimeStampExtension.ModifyOptionTickData(optionRepo.GetStockTransaction(item.code, date, date.AddHours(17)));
putDataNextMonth.Add(item.strike, put);
}
strikeListThisMonth = strikeListThisMonth.OrderBy(x => x).ToList();
strikeListNextMonth = strikeListNextMonth.OrderBy(x => x).ToList();
for (int index = 0; index < 28802; index++)
{
bool hasData = true;
foreach (var item in strikeListThisMonth)
{
if (callDataThisMonth[item] == null || putDataThisMonth[item] == null || callDataThisMonth[item][index] == null || putDataThisMonth[item][index] == null || (callDataThisMonth[item][index].AskV1 == 0 && callDataThisMonth[item][index].BidV1 == 0) || (putDataThisMonth[item][index].AskV1 == 0 && putDataThisMonth[item][index].BidV1 == 0))
{
hasData = false;
break;
}
}
//if (durationThisMonth <= 30)
{
foreach (var item in strikeListNextMonth)
{
if (callDataNextMonth[item] == null || putDataNextMonth[item] == null || callDataNextMonth[item][index] == null || putDataNextMonth[item][index] == null || callDataNextMonth[item][index].AskV1 == 0 || putDataNextMonth[item][index].AskV1 == 0 || callDataNextMonth[item][index].BidV1 == 0 || putDataNextMonth[item][index].BidV1 == 0)
{
hasData = false;
break;
}
}
}
if (hasData == false)
{
continue;
}
//初始化记录合约信息的列表
List <iVixInfo> thisMonthInfo = new List <iVixInfo>();
List <iVixInfo> nextMonthInfo = new List <iVixInfo>();
DataRow dr = dt.NewRow();
var now = callDataThisMonth[strikeListThisMonth[0]][index].TransactionDateTime;
var expiredate1 = callListThisMonth[0].expireDate;
var expiredate2 = callListNextMonth[0].expireDate;
var span = date.AddHours(15) - now;
//计算时间T NT：近月合约剩余到期时间（以分钟计） T：NT/365
double T1 = (durationThisMonth - 1 + (span.Hours * 60 + span.Minutes) / 840.0) / 365.0;
//找到认购期权价格与认沽期权价格相差最小的执行价的K
//计算远期价格F S+exp(RT)×[认购期权价格 S −认沽期权价格 S ]
double distance1 = 100;
double kThisMonth = 0;
double F = 0;
for (int i = 0; i < strikeListThisMonth.Count(); i++)
{
double distance0 = Math.Abs((callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2 - (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2);
if (distance0 < distance1)
{
distance1 = distance0;
F = strikeListThisMonth[i] + Math.Exp(rate * T1) * ((callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2 - (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2);
}
}
//找到K0
for (int i = 0; i < strikeListThisMonth.Count() - 1; i++)
{
kThisMonth = strikeListThisMonth[i];
if (strikeListThisMonth[i + 1] > F)
{
break;
}
}
//计算近月ivix
for (int i = 0; i < strikeListThisMonth.Count(); i++)
{
iVixInfo info = new iVixInfo();
double ask = 0;
double bid = 0;
double dK = 0;
double k = strikeListThisMonth[i];
if (i == strikeListThisMonth.Count() - 1)
{
dK = strikeListThisMonth[strikeListThisMonth.Count() - 1] - strikeListThisMonth[strikeListThisMonth.Count() - 2];
}
else
{
dK = strikeListThisMonth[i + 1] - strikeListThisMonth[i];
}
info.strike = k;
info.duration = T1;
info.coefficient = 2 / info.duration * dK / Math.Pow(info.strike, 2) * Math.Exp(rate * info.duration);
if (strikeListThisMonth[i] < kThisMonth)
{
ask = putDataThisMonth[strikeListThisMonth[i]][index].Ask1;
bid = putDataThisMonth[strikeListThisMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认沽"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(info.strike, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = putDataThisMonth[strikeListThisMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = putDataThisMonth[strikeListThisMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(putDataThisMonth[strikeListThisMonth[i]], index);
}
else if (strikeListThisMonth[i] == kThisMonth)
{
ask = (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Ask1) / 2;
bid = (putDataThisMonth[strikeListThisMonth[i]][index].Bid1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2;
var mid1 = (putDataThisMonth[strikeListThisMonth[i]][index].Ask1 + putDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2;
var mid2 = (callDataThisMonth[strikeListThisMonth[i]][index].Ask1 + callDataThisMonth[strikeListThisMonth[i]][index].Bid1) / 2;
var sigma1 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid1, info.strike, info.duration, rate, "认沽"), 4);
var sigma2 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid2, info.strike, info.duration, rate, "认购"), 4);
var vega1 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma1, F * Math.Exp(-rate * info.duration)) / 100.0;
var vega2 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma2, F * Math.Exp(-rate * info.duration)) / 100.0;
info.sigma = (sigma1 + sigma2) / 2;
info.vega = (vega1 + vega2) / 2;
info.ask = ask;
info.askv = Math.Min(putDataThisMonth[strikeListThisMonth[i]][index].AskV1, callDataThisMonth[strikeListThisMonth[i]][index].AskV1) * 2;
info.bid = bid;
info.bidv = Math.Min(putDataThisMonth[strikeListThisMonth[i]][index].BidV1, callDataThisMonth[strikeListThisMonth[i]][index].BidV1) * 2;
var volumeCall = ComputeMinutelyVolume(callDataThisMonth[strikeListThisMonth[i]], index);
var volumePut = ComputeMinutelyVolume(putDataThisMonth[strikeListThisMonth[i]], index);
info.minutelyVolume = Math.Min(volumeCall, volumePut) * 2;
}
else
{
ask = callDataThisMonth[strikeListThisMonth[i]][index].Ask1;
bid = callDataThisMonth[strikeListThisMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认购"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = callDataThisMonth[strikeListThisMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = callDataThisMonth[strikeListThisMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(callDataThisMonth[strikeListThisMonth[i]], index);
}
sigma1Ask[index] += (2 / T1) * dK / (k * k) * Math.Exp(rate * T1) * ask;
sigma1Bid[index] += (2 / T1) * dK / (k * k) * Math.Exp(rate * T1) * bid;
thisMonthInfo.Add(info);
}
sigma1Ask[index] += -1 / T1 * Math.Pow((F / kThisMonth) - 1, 2);
sigma1Bid[index] += -1 / T1 * Math.Pow((F / kThisMonth) - 1, 2);
sigma1Ask[index] = Math.Sqrt(sigma1Ask[index]);
sigma1Bid[index] = Math.Sqrt(sigma1Bid[index]);
if (durationThisMonth > 30)
{
vixAsk[index] = sigma1Ask[index];
vixBid[index] = sigma1Bid[index];
}
//计算时间T NT：近月合约剩余到期时间（以分钟计） T：NT/365
double T2 = (durationNextMonth - 1 + (span.Minutes) / 840) / 365.0;
//找到认购期权价格与认沽期权价格相差最小的执行价的K
//计算远期价格F S+exp(RT)×[认购期权价格 S −认沽期权价格 S ]
distance1 = 100;
double kNextMonth = 0;
F = 0;
for (int i = 0; i < strikeListNextMonth.Count(); i++)
{
double distance0 = Math.Abs((callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2 - (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2);
if (distance0 < distance1)
{
distance1 = distance0;
F = strikeListNextMonth[i] + Math.Exp(rate * T2) * ((callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2 - (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2);
}
}
//找到K0
for (int i = 0; i < strikeListNextMonth.Count() - 1; i++)
{
kNextMonth = strikeListNextMonth[i];
if (strikeListNextMonth[i + 1] > F)
{
break;
}
}
//计算远月ivix
for (int i = 0; i < strikeListNextMonth.Count(); i++)
{
iVixInfo info = new iVixInfo();
double ask = 0;
double bid = 0;
double dK = 0;
double k = strikeListNextMonth[i];
if (i == strikeListNextMonth.Count() - 1)
{
dK = strikeListNextMonth[strikeListNextMonth.Count() - 1] - strikeListNextMonth[strikeListNextMonth.Count() - 2];
}
else
{
dK = strikeListNextMonth[i + 1] - strikeListNextMonth[i];
}
info.strike = k;
info.duration = T2;
info.coefficient = 2 / info.duration * dK / Math.Pow(info.strike, 2) * Math.Exp(rate * info.duration);
if (strikeListNextMonth[i] < kNextMonth)
{
ask = putDataNextMonth[strikeListNextMonth[i]][index].Ask1;
bid = putDataNextMonth[strikeListNextMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认沽"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(info.strike, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = putDataNextMonth[strikeListNextMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = putDataNextMonth[strikeListNextMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(putDataNextMonth[strikeListNextMonth[i]], index);
}
else if (strikeListNextMonth[i] == kNextMonth)
{
ask = (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Ask1) / 2;
bid = (putDataNextMonth[strikeListNextMonth[i]][index].Bid1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2;
var mid1 = (putDataNextMonth[strikeListNextMonth[i]][index].Ask1 + putDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2;
var mid2 = (callDataNextMonth[strikeListNextMonth[i]][index].Ask1 + callDataNextMonth[strikeListNextMonth[i]][index].Bid1) / 2;
var sigma1 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid1, info.strike, info.duration, rate, "认沽"), 4);
var sigma2 = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid2, info.strike, info.duration, rate, "认购"), 4);
var vega1 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma1, F * Math.Exp(-rate * info.duration)) / 100.0;
var vega2 = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, sigma2, F * Math.Exp(-rate * info.duration)) / 100.0;
info.sigma = (sigma1 + sigma2) / 2;
info.vega = (vega1 + vega2) / 2;
info.ask = ask;
info.askv = Math.Min(putDataNextMonth[strikeListNextMonth[i]][index].AskV1, callDataNextMonth[strikeListNextMonth[i]][index].AskV1) * 2;
info.bid = bid;
info.bidv = Math.Min(putDataNextMonth[strikeListNextMonth[i]][index].BidV1, callDataNextMonth[strikeListNextMonth[i]][index].BidV1) * 2;
var volumeCall = ComputeMinutelyVolume(callDataNextMonth[strikeListNextMonth[i]], index);
var volumePut = ComputeMinutelyVolume(putDataNextMonth[strikeListNextMonth[i]], index);
info.minutelyVolume = Math.Min(volumeCall, volumePut) * 2;
}
else
{
ask = callDataNextMonth[strikeListNextMonth[i]][index].Ask1;
bid = callDataNextMonth[strikeListNextMonth[i]][index].Bid1;
var mid = (ask + bid) / 2;
info.sigma = Math.Round(ImpliedVolatilityExtension.sigmaByFuture(F, mid, info.strike, info.duration, rate, "认购"), 4);
info.vega = ImpliedVolatilityExtension.ComputeOptionVega(k, info.duration, rate, 0, info.sigma, F * Math.Exp(-rate * info.duration)) / 100.0;
info.ask = ask;
info.askv = callDataNextMonth[strikeListNextMonth[i]][index].AskV1;
info.bid = bid;
info.bidv = callDataNextMonth[strikeListNextMonth[i]][index].BidV1;
info.minutelyVolume = ComputeMinutelyVolume(callDataNextMonth[strikeListNextMonth[i]], index);
}
sigma2Ask[index] += (2 / T2) * dK / (k * k) * Math.Exp(rate * T2) * ask;
sigma2Bid[index] += (2 / T2) * dK / (k * k) * Math.Exp(rate * T2) * bid;
nextMonthInfo.Add(info);
}
sigma2Ask[index] += -1 / T2 * Math.Pow((F / kNextMonth) - 1, 2);
sigma2Bid[index] += -1 / T2 * Math.Pow((F / kNextMonth) - 1, 2);
sigma2Ask[index] = Math.Sqrt(sigma2Ask[index]);
sigma2Bid[index] = Math.Sqrt(sigma2Bid[index]);
if (durationThisMonth <= 30)
{
vixAsk[index] = Math.Sqrt((T1 * Math.Pow(sigma1Ask[index], 2) * (T2 - 30.0 / 365.0) / (T2 - T1) + T2 * Math.Pow(sigma2Ask[index], 2) * (30.0 / 365.0 - T1) / (T2 - T1)) * 365.0 / 30.0);
vixBid[index] = Math.Sqrt((T1 * Math.Pow(sigma1Bid[index], 2) * (T2 - 30.0 / 365.0) / (T2 - T1) + T2 * Math.Pow(sigma2Bid[index], 2) * (30.0 / 365.0 - T1) / (T2 - T1)) * 365.0 / 30.0);
foreach (var item in thisMonthInfo)
{
item.coefficient *= T1 * (T2 - 30.0 / 365.0) / (T2 - T1) * 365.0 / 30.0;
}
foreach (var item in nextMonthInfo)
{
item.coefficient *= T2 * (30.0 / 365.0 - T1) / (T2 - T1) * 365.0 / 30.0;
}
}
//计算整体的vega，以及盘口的量
double vegaTotal = 0;
double number = 0;
double percentAskMax = 0;
double percentAskMin = 1;
double percentBidMax = 0;
double percentBidMin = 1;
double percentVolumeMax = 0;
double percentVolumeMin = 1;
if (durationThisMonth > 30)
{
foreach (var item in thisMonthInfo)
{
vegaTotal += item.vega * item.coefficient * 10000;
}
number = cashVega / vegaTotal;
foreach (var item in thisMonthInfo)
{
double percentAsk = item.askv / number;
double percentBid = item.bidv / number;
double percentVolume = item.minutelyVolume / number;
if (percentAsk > percentAskMax)
{
percentAskMax = percentAsk;
}
if (percentAsk < percentAskMin)
{
percentAskMin = percentAsk;
}
if (percentBid > percentBidMax)
{
percentBidMax = percentBid;
}
if (percentBid < percentBidMin)
{
percentBidMin = percentBid;
}
if (percentVolume > percentVolumeMax)
{
percentVolumeMax = percentVolume;
}
if (percentVolume < percentVolumeMin)
{
percentVolumeMin = percentVolume;
}
}
}
else
{
foreach (var item in thisMonthInfo)
{
vegaTotal += item.vega * item.coefficient * 10000;
}
foreach (var item in nextMonthInfo)
{
vegaTotal += item.vega * item.coefficient * 10000;
}
number = cashVega / 2 / vegaTotal;
foreach (var item in thisMonthInfo)
{
double percentAsk = item.askv / number / item.coefficient;
double percentBid = item.bidv / number / item.coefficient;
double percentVolume = item.minutelyVolume / number;
if (percentAsk > percentAskMax)
{
percentAskMax = percentAsk;
}
if (percentAsk < percentAskMin)
{
percentAskMin = percentAsk;
}
if (percentBid > percentBidMax)
{
percentBidMax = percentBid;
}
if (percentBid < percentBidMin)
{
percentBidMin = percentBid;
}
if (percentVolume > percentVolumeMax)
{
percentVolumeMax = percentVolume;
}
if (percentVolume < percentVolumeMin)
{
percentVolumeMin = percentVolume;
}
}
foreach (var item in nextMonthInfo)
{
double percentAsk = item.askv / number / item.coefficient;
double percentBid = item.bidv / number / item.coefficient;
double percentVolume = item.minutelyVolume / number;
if (percentAsk > percentAskMax)
{
percentAskMax = percentAsk;
}
if (percentAsk < percentAskMin)
{
percentAskMin = percentAsk;
}
if (percentBid > percentBidMax)
{
percentBidMax = percentBid;
}
if (percentBid < percentBidMin)
{
percentBidMin = percentBid;
}
if (percentVolume > percentVolumeMax)
{
percentVolumeMax = percentVolume;
}
if (percentVolume < percentVolumeMin)
{
percentVolumeMin = percentVolume;
}
}
}
dr["tdatetime"] = now;
dr["expiredate1"] = expiredate1;
dr["expiredate2"] = expiredate2;
dr["duration1"] = Math.Round(T1, 6);
dr["duration2"] = Math.Round(T2, 6);
dr["sigma1Ask"] = Math.Round(sigma1Ask[index] * 100, 4);
dr["sigma1Bid"] = Math.Round(sigma1Bid[index] * 100, 4);
dr["sigma2Ask"] = Math.Round(sigma2Ask[index] * 100, 4);
dr["sigma2Bid"] = Math.Round(sigma2Bid[index] * 100, 4);
dr["sigmaAsk"] = Math.Round(vixAsk[index] * 100, 4);
dr["sigmaBid"] = Math.Round(vixBid[index] * 100, 4);
dr["vegaTotal"] = Math.Round(vegaTotal, 4);
dr["number"] = Math.Round(number, 4);
dr["percentAskMax"] = Math.Round(percentAskMax, 4);
dr["percentAskMin"] = Math.Round(percentAskMin, 4);
dr["percentBidMax"] = Math.Round(percentBidMax, 4);
dr["percentBidMin"] = Math.Round(percentBidMin, 4);
dr["percentVolumeMax"] = Math.Round(percentVolumeMax, 4);
dr["percentVolumeMin"] = Math.Round(percentVolumeMin, 4);
if (now < date.Date + new TimeSpan(14, 57, 00))
{
dt.Rows.Add(dr);
}
}
SaveResultToMssql(date, dt);
}
}
