public Prediction GetPrediction(IBasicPredictionCalculationData data, double daysInFuture)
{
double volatility = data.GetVolatility(daysInFuture);
Prediction prediction = MarketMath.GetSymmetricPrediction(data.LastPrice, volatility, data.InterestRate, daysInFuture);
return(prediction);
}
public List <DateAndStandardDeviation> GetExpiriesAndStandardDeviations(IBasicPredictionCalculationData data, IReadOnlyList <DateAndNumberOfDaysUntil> referenceDates, double deviation)
{
List <DateAndStandardDeviations> expiryAndStandardDeviations = GetExpiriesAndStandardDeviations(data, new[] { deviation }, referenceDates).Item1;
List <DateAndStandardDeviation> result = ToDateAndStandardDeviationList(expiryAndStandardDeviations);
return(result);
}
public List <DateAndStandardDeviation> GetStandardDeviationsForDates(IBasicPredictionCalculationData data, IReadOnlyList <DateAndNumberOfDaysUntil> referencePoints, double deviation)
{
List <DateAndStandardDeviations> expiryAndStandardDeviations = GetStandardDeviationsForDates(data, referencePoints, new[] { deviation });
List <DateAndStandardDeviation> result = ToDateAndStandardDeviationList(expiryAndStandardDeviations);
return(result);
}
private List <DateAndStandardDeviations> GetStandardDeviationsForDates(IBasicPredictionCalculationData data, Dictionary <DateAndNumberOfDaysUntil, Prediction> predictions, IReadOnlyList <double> deviations)
{
List <DateAndStandardDeviations> stdDevs = new List <DateAndStandardDeviations>(predictions.Count);
List <StdDevPrices> sdPrices = new List <StdDevPrices>();
foreach (double dev in deviations)
{
sdPrices.Add(new StdDevPrices
{
Deviation = dev,
DownPrice = data.LastPrice,
UpPrice = data.LastPrice,
});
}
stdDevs.Add(new DateAndStandardDeviations
{
DateAndNumberOfDaysUntil = new DateAndNumberOfDaysUntil
{
FutureDate = _marketWorkTimeService.NowInMarketTimeZone.Date
},
StdDevPrices = sdPrices
});
foreach (KeyValuePair <DateAndNumberOfDaysUntil, Prediction> kvp in predictions)
{
DateAndStandardDeviations expAndStdDev = new DateAndStandardDeviations();
expAndStdDev.DateAndNumberOfDaysUntil = kvp.Key;
expAndStdDev.StdDevPrices = new List <StdDevPrices>(deviations.Count);
foreach (double defaultStdDev in deviations)
{
StdDevPrices stdDevPrices = kvp.Value.GetStdDevPrices(defaultStdDev);
expAndStdDev.StdDevPrices.Add(stdDevPrices);
}
stdDevs.Add(expAndStdDev);
}
return(stdDevs);
}
public List <DateAndStandardDeviations> GetStandardDeviationsForDates(IBasicPredictionCalculationData data, IReadOnlyList <DateAndNumberOfDaysUntil> referencePoints, IReadOnlyList <double> deviations)
{
const int numberOfPointsBetween = 4;
DateAndNumberOfDaysUntil expirationDateForToday = _marketWorkTimeService.GetNumberOfDaysLeftUntilExpiry(_marketWorkTimeService.NowInMarketTimeZone.Date);
List <DateAndNumberOfDaysUntil> experies = referencePoints.Union(expirationDateForToday.Yield()).Distinct().OrderBy(t => t.FutureDate).ToList();
List <DateAndNumberOfDaysUntil> dates = new List <DateAndNumberOfDaysUntil>(experies);
for (int i = 0; i < experies.Count - 1; i++)
{
DateAndNumberOfDaysUntil current = experies[i];
DateAndNumberOfDaysUntil next = experies[i + 1];
double range = next.TotalNumberOfDaysUntilExpiry - current.TotalNumberOfDaysUntilExpiry;
if (range < 3)
{
continue;
}
double step = Math.Round(range / numberOfPointsBetween, 3, MidpointRounding.AwayFromZero);
// uniformly inserts points between current date and next date.
IEnumerable <int> increments = CollectionExtensions.Range(0, range - step, step).Where(d => (int)d != 0).Select(d => (int)d).Distinct();
foreach (int increment in increments)
{
DateTime date = current.FutureDate.AddDays(increment);
dates.Add(_marketWorkTimeService.GetNumberOfDaysLeftUntilExpiry(date));
}
}
List <DateAndNumberOfDaysUntil> datesToBuildPredictionFor = dates.OrderBy(e => e.FutureDate).ToList();
Dictionary <DateAndNumberOfDaysUntil, Prediction> predictions = MakePredictionsForDates(data, datesToBuildPredictionFor);
List <DateAndStandardDeviations> stdDevs = GetStandardDeviationsForDates(data, predictions, deviations);
return(stdDevs);
}
public Dictionary <DateAndNumberOfDaysUntil, Prediction> MakePredictionsForDates(IBasicPredictionCalculationData data, IEnumerable <DateAndNumberOfDaysUntil> dates)
{
Dictionary <DateAndNumberOfDaysUntil, Prediction> predictions = new Dictionary <DateAndNumberOfDaysUntil, Prediction>();
foreach (DateAndNumberOfDaysUntil date in dates)
{
double daysInFuture = date.TotalNumberOfDaysUntilExpiry;
if (daysInFuture.AlmostEqual(0) || daysInFuture < 0)
{
continue;
}
double volatility = data.GetVolatility(daysInFuture);
Prediction prediction = MarketMath.GetSymmetricPrediction(data.LastPrice, volatility, data.InterestRate, daysInFuture);
predictions.Add(date, prediction);
}
return(predictions);
}
private Tuple <List <DateAndStandardDeviations>, List <Prediction> > GetExpiriesAndStandardDeviations(IBasicPredictionCalculationData data, IReadOnlyList <double> deviations, IReadOnlyList <DateAndNumberOfDaysUntil> referenceDates)
{
Dictionary <DateAndNumberOfDaysUntil, Prediction> predictions = MakePredictionsForDates(data, referenceDates);
List <DateAndStandardDeviations> stdDevs = GetStandardDeviationsForDates(data, predictions, deviations);
return(Tuple.Create(stdDevs, predictions.Values.ToList()));
}
public Tuple <List <DateAndStandardDeviations>, List <Prediction> > GetExpiriesAndDefaultStandardDeviationsWithPredictions(IBasicPredictionCalculationData data, IReadOnlyList <DateAndNumberOfDaysUntil> referenceDates)
{
Tuple <List <DateAndStandardDeviations>, List <Prediction> > result = GetExpiriesAndStandardDeviations(data, _defaultStdDevs, referenceDates);
return(result);
}
public List <DateAndStandardDeviations> GetExpiriesAndDefaultStandardDeviations(IBasicPredictionCalculationData data, IReadOnlyList <DateAndNumberOfDaysUntil> referenceDates)
{
List <DateAndStandardDeviations> result = GetExpiriesAndStandardDeviations(data, _defaultStdDevs, referenceDates).Item1;
return(result);
}
