public override void Run()
{
StartTime = _startTime;
EndTime = _endTime;
AddDataSource(UNDERLYING_NICK);
AddDataSource(VOLATILITY_NICK);
foreach (var simTime in SimTimes)
{
ITimeSeries <double> underlying = FindInstrument(UNDERLYING_NICK).Close;
ITimeSeries <double> volatility = FindInstrument(VOLATILITY_NICK).Close.Divide(100.0);
DateTime previousFriday = SimTime[0]
- TimeSpan.FromDays((int)SimTime[0].DayOfWeek + 2);
for (int weeks = 1; weeks < 4 * 4; weeks++)
{
DateTime expiry = previousFriday + TimeSpan.FromDays(weeks * 7);
double T = (expiry - SimTime[0].Date).TotalDays / 365.25;
int lowStrike = 5 * (int)Math.Round(underlying[0] * 0.80 / 5.0);
int highStrike = 5 * (int)Math.Round(underlying[0] * 1.20 / 5.0);
for (int strike = lowStrike; strike <= highStrike; strike += 5)
{
for (int putCall = 0; putCall < 2; putCall++) // 0 = put, 1 = call
{
double z = (strike - underlying[0])
/ (Math.Sqrt(T) * underlying[0] * volatility[0]);
double vol = volatility[0] * (1.0 + 0.30 * Math.Abs(z));
double price = OptionSupport.GBlackScholes(
putCall == 0 ? false : true,
underlying[0],
strike,
T,
0.0, // risk-free rate
0.0, // cost-of-carry rate
vol);
Bar bar = new Bar(
"SPX", //symbol,
SimTime[0],
default(double), default(double), default(double), default(double), default(long), false,
price * 0.99, price * 1.01, 100, 100, true,
expiry.Date,
strike,
putCall == 0 ? true : false);
_data.Add(bar);
}
}
}
}
}
public override void Run()
{
StartTime = _startTime;
EndTime = _endTime;
AddDataSource(UNDERLYING);
#if MORE_VIX_PERIODS
var volatilities = new Dictionary <double, DataSource>
{
{ 9 / 365.25, AddDataSource(VOLATILITY_9D) },
{ 30 / 365.25, AddDataSource(VOLATILITY_30D) },
{ 91 / 365.25, AddDataSource(VOLATILITY_3M) },
{ 182 / 365.25, AddDataSource(VOLATILITY_6M) },
{ 365 / 365.25, AddDataSource(VOLATILITY_12M) },
};
#else
var volatilities = new Dictionary <double, DataSource>
{
{ 30 / 365.25, AddDataSource(VOLATILITY_30D) },
};
#endif
var lowStrikes = new Dictionary <DateTime, int>();
var highStrikes = new Dictionary <DateTime, int>();
foreach (var simTime in SimTimes)
{
ITimeSeries <double> underlying = FindInstrument(UNDERLYING).Close;
DateTime previousFriday = SimTime[0]
- TimeSpan.FromDays((int)SimTime[0].DayOfWeek + 2);
var expiries = new List <DateTime>();
for (int w = 1; w < 60; w++)
{
DateTime x = previousFriday + TimeSpan.FromDays(w * 7);
if (w <= 13)
{
expiries.Add(x);
}
// 3rd Friday of the Month:
// 15, if 1st is a Friday
// 21, if 1st is a Saturday
else if (x.Day <= 21 && x.Day >= 15)
{
expiries.Add(x);
}
}
foreach (var expiry in expiries)
{
double T = (expiry - SimTime[0].Date).TotalDays / 365.25;
var volatility = 0.0;
if (T < volatilities.Keys.Min())
{
volatility = volatilities[volatilities.Keys.Min()].Instrument.Close[0] / 100.0;
}
else if (T > volatilities.Keys.Max())
{
volatility = volatilities[volatilities.Keys.Max()].Instrument.Close[0] / 100.0;
}
else
{
var vLow = volatilities
.Where(v => v.Key <= T)
.OrderByDescending(v => v.Key)
.FirstOrDefault();
var vHigh = volatilities
.Where(v => v.Key >= T)
.OrderBy(v => v.Key)
.FirstOrDefault();
var p = (T - vLow.Key) / (vHigh.Key - vLow.Key);
volatility = 0.01 * (vLow.Value.Instrument.Close[0]
+ p * (vHigh.Value.Instrument.Close[0] - vLow.Value.Instrument.Close[0]));
}
lowStrikes[expiry] = Math.Min(5 * (int)Math.Round(underlying[0] * 0.70 / 5.0),
lowStrikes.ContainsKey(expiry) ? lowStrikes[expiry] : int.MaxValue);
highStrikes[expiry] = Math.Max(5 * (int)Math.Round(underlying[0] * 1.20 / 5.0),
highStrikes.ContainsKey(expiry) ? highStrikes[expiry] : 0);
int lowStrike = lowStrikes[expiry];
int highStrike = highStrikes[expiry];
for (int strike = lowStrike; strike <= highStrike; strike += 5)
{
for (int putCall = 0; putCall < 2; putCall++) // 0 = put, 1 = call
{
double z = (strike - underlying[0])
/ (Math.Sqrt(T) * underlying[0] * volatility);
double vol = volatility * (1.0 + 0.30 * Math.Abs(z));
double price = OptionSupport.GBlackScholes(
putCall != 0,
underlying[0],
strike,
T,
0.0, // risk-free rate
0.0, // cost-of-carry rate
vol);
Bar bar = new Bar(
"SPX", SimTime[0],