public void MakeTheta()
{
var type = _propAssetTree.GetType();
var t1 = (ITree)Activator.CreateInstance(type);
var t2 = (ITree)Activator.CreateInstance(type);
t1.Tau = Expiry.Subtract(Today).Days / 365.0;
t1.Gridsteps = Gridsteps;
t1.Sig = Sig;
t1.Spot = Spot;
t1.MakeGrid();
_priceTree.MakeGrid(t1);
double p1 = _priceTree.Price();
double tau = Expiry.Subtract(Today).Days / 365.0;
double t = tau - 1.00 / 365.00;
t2.Tau = t;
t2.Gridsteps = Gridsteps;
t2.Sig = Sig;
t2.Spot = Spot;
t2.MakeGrid();
_priceTree.MakeGrid(t2);
double p2 = _priceTree.Price();
Theta = (p2 - p1);
}
public void MakeDeltaGamma()
{
var type = _propAssetTree.GetType();
var treeD = (ITree)Activator.CreateInstance(type);
double tau = Expiry.Subtract(Today).Days / 365.0;
treeD.Gridsteps = Gridsteps + 2;
treeD.Spot = Spot;
treeD.Sig = Sig;
treeD.Tau = tau * (1 + 2 / Gridsteps);
treeD.MakeGrid();
_priceTree.MakeGrid(treeD);
var s = new double[3];
var c = new double[3];
for (int i = 0; i <= 2; ++i)
{
s[i] = treeD.GetSpotMatrix(2, i);
c[i] = _priceTree.GetPriceMatrix(2, i);
}
Delta = (s[0] * (2 * s[1] - s[0]) * (c[1] - c[2]) +
(s[1] * s[1]) * (c[2] - c[0]) + s[2] * (2 * s[1] - s[2]) * (c[0] - c[1]))
/ (s[1] - s[0]) / (s[2] - s[0]) / (s[2] - s[1]);
Gamma = 2 * (s[0] * (c[1] - c[2]) + s[1] * (c[2] - c[0]) + s[2] * (c[0] - c[1]))
/ (s[1] - s[0]) / (s[2] - s[0]) / (s[2] - s[1]);
}
public double Price()
{
_propAssetTree.Spot = Spot;
_propAssetTree.Sig = Sig;
_propAssetTree.Tau = Expiry.Subtract(Today).Days / 365.0;
_propAssetTree.Gridsteps = Gridsteps;
_propAssetTree.MakeGrid();
//create PriceTree
_priceTree = new PriceTree(Strike, Payoff, "Y", Style);
_priceTree.MakeGrid(_propAssetTree);
double pr = _priceTree.Price();
return(pr);
}
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);
}
private double Bisection(double prem, double fwdPrice)
{
double right = 0.75;
double left = 0.35;
double mid;
var cp = Payoff.ToLower() == "c" ? 1 : -1;
int days = Expiry.Subtract(Today).Days;
double t = days / 365.0;
var priceClone = (AmOptionAnalytics)Clone();
if (fwdPrice <= 0 || Strike <= 0 || t <= 0 || prem <= 0)
{
return(0);
}
double df = Convert.ToDouble(RateCurve.GetDf(days));
if (prem < Math.Max(cp * df * (fwdPrice - priceClone.Strike), 0))
{
throw new System.Exception("No solution for volatility");
}
do
{
mid = (right + left) / 2;
priceClone.Sig = left;
double fleft = priceClone.Price() - prem;
priceClone.Sig = right;
double fright = priceClone.Price() - prem;
priceClone.Sig = mid;
double fmid = priceClone.Price() - prem;
if (fleft * fmid < 0)
{
right = mid;
}
else if (fright * fmid < 0)
{
left = mid;
}
} while (Math.Abs(right - left) > 2 * Eps);
return(mid);
}
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 double Newton(double prem, double fwdPrice)
{
double dvol;
var cp = Payoff.ToLower() == "c" ? 1 : -1;
int days = Expiry.Subtract(Today).Days;
double t = days / 365.0;
var priceClone = (AmOptionAnalytics)Clone();
if (fwdPrice <= 0 || Strike <= 0 || t <= 0 || prem <= 0)
{
return(0);
}
//double df = Convert.ToDouble(_rateCurve.getDf(days));
if (prem < Math.Max(cp * (fwdPrice - priceClone.Strike), 0))
{
throw new System.Exception("No solution for volatility");
}
int idx = 0;
do
{
var price = priceClone.Price();
priceClone.MakeVega();
var vega = priceClone.Vega;
if (vega == 0 || idx > Maxits)
{
throw new System.Exception("No volatility solution");
}
dvol = (price - prem) / (100 * vega);
priceClone.Sig -= dvol;
if (priceClone.Sig < 0)
{
priceClone.Sig = 0;
}
idx++;
} while (Math.Abs(dvol) > Eps);
return(priceClone.Sig);
}
public void MakeVega()
{
var type = _propAssetTree.GetType();
double tau = Expiry.Subtract(Today).Days / 365.0;
double sig1 = .99 * Sig;
var t1 = (ITree)Activator.CreateInstance(type, tau, sig1, Spot, Gridsteps, true, Today, RateCurve, DivCurve);
t1.MakeGrid();
_priceTree.MakeGrid(t1);
double p1 = _priceTree.Price();
double sig2 = 1.01 * Sig;
ITree t2 = t1;
t2.Sig = sig2;
t2.MakeGrid();
_priceTree.MakeGrid(t2);
double p2 = _priceTree.Price();
if (Sig != 0)
{
Vega = 0.01 * (p2 - p1) / (2 * 0.01 * Sig);
}
}