private void AddJointOption(
Dictionary <DateTime, Dictionary <DateTime, Dictionary <double, ISingleAssetOption> > > referenceDictionary,
ISingleAssetOption referenceOption, ref List <ISingleAssetOption> listOfJointOption)
{
if (!referenceDictionary.ContainsKey(referenceOption.ValuationDate) ||
!referenceDictionary[referenceOption.ValuationDate].ContainsKey(referenceOption.Maturity) ||
!referenceDictionary[referenceOption.ValuationDate][referenceOption.Maturity]
.ContainsKey(referenceOption.Strike))
{
return;
}
SingleAssetOption optionDiffPremium;
if (referenceOption.OptionType == eOptionType.C)
{
optionDiffPremium = new SingleAssetOption
{
StockPrice = referenceOption.StockPrice,
Currency = referenceOption.Currency,
DiscountFactor = referenceOption.DiscountFactor,
DividendDiscountFactor = referenceOption.DividendDiscountFactor,
Maturity = referenceOption.Maturity,
Premium = referenceOption.Premium -
referenceDictionary[referenceOption.ValuationDate][referenceOption.Maturity][
referenceOption.Strike].Premium,
Strike = referenceOption.Strike
}
}
;
else
{
optionDiffPremium = new SingleAssetOption
{
StockPrice = referenceOption.StockPrice,
Currency = referenceOption.Currency,
DiscountFactor = referenceOption.DiscountFactor,
DividendDiscountFactor = referenceOption.DividendDiscountFactor,
Maturity = referenceOption.Maturity,
Premium = referenceDictionary[referenceOption.ValuationDate][referenceOption.Maturity][
referenceOption.Strike].Premium - referenceOption.Premium,
Strike = referenceOption.Strike
}
};
listOfJointOption.Add(optionDiffPremium);
}
public double NetPresentValue(DateTime valuationDate, ISingleAssetOption option, double underlyingPrice,
double discountFactor = 1d, double dividendDiscountFactor = 1d)
{
var forwardPrice = underlyingPrice * dividendDiscountFactor / discountFactor;
var strike = option.Strike;
var tenor = (option.Maturity - option.ValuationDate).TotalDays / 365.0;
var intrinsicValue = option.OptionType == eOptionType.C
? forwardPrice - strike
: strike - forwardPrice;
if (intrinsicValue <= 0.0 && option.OptionType == eOptionType.C)
{
return(discountFactor *
NetOtmCallValueNormalized(option.ImpliedVolatility, forwardPrice, strike, tenor) *
Math.Sqrt(forwardPrice * strike));
}
if (intrinsicValue >= 0.0 && option.OptionType == eOptionType.P)
{
return(discountFactor *
NetOtmPutValueNormalized(option.ImpliedVolatility, forwardPrice, strike, tenor) *
Math.Sqrt(forwardPrice * strike));
}
if (intrinsicValue > 0.0 && option.OptionType == eOptionType.C)
{
return(discountFactor * intrinsicValue +
this.NetOtmPutValueNormalized(option.ImpliedVolatility, forwardPrice, strike, tenor));
}
if (intrinsicValue < 0.0 && option.OptionType == eOptionType.P)
{
return(discountFactor * intrinsicValue +
this.NetOtmCallValueNormalized(option.ImpliedVolatility, forwardPrice, strike, tenor));
}
return(0.0);
}
/// <summary>
/// Determine the volatility underlying the option price.
/// </summary>
/// <param name="valuationTime">The valuation time.</param>
/// <param name="optionPrice">Option price.</param>
/// <param name="underlyingPrice">Underlying price.</param>
/// <param name="volatilitySurface">The volatility surface.</param>
/// <returns>System.Double.</returns>
public double Volatility(DateTime valuationDate, ISingleAssetOption option, double underlyingPrice,
double discountFactor = 1d, double dividendDiscountFactor = 1d)
{
var tenor = (option.Maturity - valuationDate).TotalDays / 365.0;
//Get strike
var strike = option.Strike;
//Get option price
var price = option.Premium;
//Get forward price
var forwardPrice = underlyingPrice * dividendDiscountFactor / discountFactor;
//Get discounted strike
var discountedStrike = dividendDiscountFactor * option.Strike;
var discountedSpot = underlyingPrice * dividendDiscountFactor;
//Get put call indicator
int q;
if (option.OptionType == eOptionType.C)
{
q = 1;
}
else
{
q = -1;
}
//Calculate intrinsic value
var intrinsicValue = Math.Max(q < 0 ? strike - forwardPrice : forwardPrice - strike, 0.0);
//Check if price is below intrinsic
if (price <= intrinsicValue)
{
return(double.NaN);
}
//Check if price is above maximum price
var maxPrice = q < 0 ? strike : forwardPrice;
if (price >= maxPrice)
{
return(double.NaN);
}
//Get moneyness
var moneyness = Math.Log(forwardPrice / strike);
if (!(intrinsicValue > 0.0))
{
return(UncheckedNormalizedImpliedVolatility(price / (Math.Sqrt(forwardPrice) * Math.Sqrt(strike)),
moneyness, q, MaximumIterations) / Math.Sqrt(tenor));
}
// Map in-the-money to out-of-the-money
// price = Math.Max(price - intrinsicValue, 0.0); //** Original Code**
price = q < 0
? Math.Max(price + discountedSpot - discountedStrike, 0.0)
: Math.Max(price - discountedSpot + discountedStrike, 0.0);
//Check if price is above maximum price
maxPrice = q > 0 ? strike : forwardPrice;
if (price >= maxPrice)
{
return(double.NaN);
}
//Calculate intrinsic value
intrinsicValue = Math.Max(q > 0 ? strike - forwardPrice : forwardPrice - strike, 0.0);
//Check if price is below intrinsic
if (price <= intrinsicValue)
{
return(double.NaN);
}
return(UncheckedNormalizedImpliedVolatility(price / (Math.Sqrt(forwardPrice) * Math.Sqrt(strike)),
moneyness, -q, MaximumIterations) / Math.Sqrt(tenor));
}
