public static string GetOptionUnderlying(string ticker)
{
ContractUtilities.ContractSpecs ContSpecsOutput = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker);
string TickerHead = ContSpecsOutput.tickerHead;
int TickerYear = ContSpecsOutput.tickerYear;
int TickerMonthNum = ContSpecsOutput.tickerMonthNum;
int UnderlyingMonthNum;
int UnderlyingYear;
if (TickerHead == "E0")
{
TickerHead = "ED";
TickerYear = TickerYear + 1;
}
else if (TickerHead == "E2")
{
TickerHead = "ED";
TickerYear = TickerYear + 2;
}
else if (TickerHead == "E3")
{
TickerHead = "ED";
TickerYear = TickerYear + 3;
}
else if (TickerHead == "E4")
{
TickerHead = "ED";
TickerYear = TickerYear + 4;
}
else if (TickerHead == "E5")
{
TickerHead = "ED";
TickerYear = TickerYear + 5;
}
List <string> FuturesContractMonthsOutput = ContractUtilities.ContractMetaInfo.FuturesContractMonths[TickerHead];
List <int> ContractMonthNumbers = new List <int>();
foreach (string item in FuturesContractMonthsOutput)
{
ContractMonthNumbers.Add(ContractUtilities.ContractMetaInfo.fullLetterMonthList.FindIndex(x => x == item) + 1);
}
List <int> LeadingMonths = ContractMonthNumbers.Where(x => x >= TickerMonthNum).ToList();
if (LeadingMonths.Count > 0)
{
UnderlyingMonthNum = LeadingMonths[0];
UnderlyingYear = TickerYear;
}
else
{
UnderlyingMonthNum = ContractMonthNumbers[0];
UnderlyingYear = TickerYear + 1;
}
return(TickerHead + ContractUtilities.ContractMetaInfo.fullLetterMonthList[UnderlyingMonthNum - 1] + UnderlyingYear.ToString());
}
public static AugmentedGreeks OptionModelWrapper(string modelName, string ticker, string optionType, double strike, MySqlConnection conn,
DateTime calculationDate, double optionPrice = double.NaN, double impliedVol = double.NaN, double underlyingPrice = double.NaN, DateTime?interestRateDate = null)
{
if (interestRateDate == null)
{
interestRateDate = calculationDate;
}
AugmentedGreeks AugmentedGreeksOutput = new AugmentedGreeks();
string UnderlyingTicker = GetOptionUnderlying(ticker);
if (double.IsNaN(underlyingPrice))
{
DataTable UnderlyingDataFrame = GetPrice.GetFuturesPrice.getFuturesPrice4Ticker(ticker: UnderlyingTicker,
dateTimeFrom: calculationDate, dateTimeTo: calculationDate, conn: conn);
if (UnderlyingDataFrame.Rows.Count == 0)
{
return(AugmentedGreeksOutput);
}
underlyingPrice = (double)(UnderlyingDataFrame.Rows[0].Field <decimal>("close_price"));
}
ContractUtilities.ContractSpecs ContractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: UnderlyingTicker);
string TickerHead = ContractSpecsOut.tickerHead;
double ContractMultiplier = ContractUtilities.ContractMetaInfo.ContractMultiplier[TickerHead];
string ExerciseType = ContractUtilities.ContractMetaInfo.GetOptionExerciseType(TickerHead);
DateTime ExpirationDate = (DateTime)Expiration.getExpirationFromDB(ticker: ticker, instrument: "options", conn: conn);
double InterestRate = InterestCurve.RateFromStir.GetSimpleRate(asOfDate: (DateTime)interestRateDate,
dateFrom: (DateTime)interestRateDate,
dateTo: ExpirationDate, tickerHead: "ED", conn: conn);
if (Double.IsNaN(InterestRate))
{
return(AugmentedGreeksOutput);
}
else
{
Greeks GreeksOutput = QuantlibOptionModels.GetOptionOnFutureGreeks(underlyingPrice: underlyingPrice, strike: strike, riskFreeRate: InterestRate,
expirationDate: ExpirationDate, calculationDate: calculationDate, optionType: optionType, exerciseType: ExerciseType, optionPrice: optionPrice, impliedVol: impliedVol);
AugmentedGreeksOutput.OptionPrice = GreeksOutput.OptionPrice;
AugmentedGreeksOutput.ImpliedVol = 100 * GreeksOutput.ImpliedVol;
AugmentedGreeksOutput.Delta = GreeksOutput.Delta;
AugmentedGreeksOutput.Vega = GreeksOutput.Vega;
AugmentedGreeksOutput.Theta = GreeksOutput.Theta;
AugmentedGreeksOutput.CalDte = GreeksOutput.CalDte;
AugmentedGreeksOutput.Gamma = GreeksOutput.Gamma;
AugmentedGreeksOutput.DollarVega = GreeksOutput.Vega * ContractMultiplier / 100;
AugmentedGreeksOutput.DollarTheta = GreeksOutput.Theta * ContractMultiplier;
AugmentedGreeksOutput.DollarGamma = GreeksOutput.Gamma * ContractMultiplier;
AugmentedGreeksOutput.InterestRate = InterestRate;
}
return(AugmentedGreeksOutput);
}
public static ContractSpecs GetContractSpecs(string ticker)
{
ContractSpecs specsOutput = new ContractSpecs();
specsOutput.tickerHead = ticker.Substring(0, ticker.Count() - 5);
specsOutput.tickerYear = Convert.ToInt16(ticker.Substring(ticker.Count() - 4, 4));
specsOutput.tickerMonthStr = ticker.Substring(ticker.Count() - 5, 1);
specsOutput.tickerMonthNum = fullLetterMonthList.FindIndex(x => x == specsOutput.tickerMonthStr) + 1;
specsOutput.tickerClass = tickerClassDict[specsOutput.tickerHead];
specsOutput.contINDX = 100 * specsOutput.tickerYear + specsOutput.tickerMonthNum;
return(specsOutput);
}
public static ttapiTicker ConvertFromDbTicker2ttapiTicker(string dbTicker, string productType)
{
ttapiTicker ttapiTickerOut = new ttapiTicker();
string ProductType = productType.ToUpper();
string exchangeName;
if (ProductType == "FUTURE")
{
ContractUtilities.ContractSpecs contractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(dbTicker);
ttapiTickerOut.productName = TA.TickerheadConverters.ConvertFromDB2TT(contractSpecsOut.tickerHead);
ttapiTickerOut.productType = "FUTURE";
exchangeName = ContractUtilities.ContractMetaInfo.GetExchange4Tickerhead(contractSpecsOut.tickerHead);
ttapiTickerOut.SeriesKey = ConvertMonthFromDB2TT(contractSpecsOut.tickerMonthStr) + (contractSpecsOut.tickerYear % 100).ToString();
}
else if (ProductType == "SPREAD")
{
string[] TickerList = dbTicker.Split(new char[] { '-' });
ContractUtilities.ContractSpecs contractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(TickerList[0]);
ttapiTickerOut.productName = TA.TickerheadConverters.ConvertFromDB2TT(contractSpecsOut.tickerHead);
ttapiTickerOut.productType = "SPREAD";
string SeriesKey;
exchangeName = ContractUtilities.ContractMetaInfo.GetExchange4Tickerhead(contractSpecsOut.tickerHead);
if (exchangeName == "CME")
{
SeriesKey = "Calendar: 1x" + ttapiTickerOut.productName + " " + ConvertMonthFromDB2TT(contractSpecsOut.tickerMonthStr) + (contractSpecsOut.tickerYear % 100).ToString();
for (int i = 1; i < TickerList.Length; i++)
{
contractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(TickerList[i]);
SeriesKey = SeriesKey + ":-1x" + ConvertMonthFromDB2TT(contractSpecsOut.tickerMonthStr) + (contractSpecsOut.tickerYear % 100).ToString();
}
}
else if (exchangeName == "ICE")
{
SeriesKey = ttapiTickerOut.productName + " Spread " + ConvertMonthFromDB2TT(contractSpecsOut.tickerMonthStr) + (contractSpecsOut.tickerYear % 100).ToString();
for (int i = 1; i < TickerList.Length; i++)
{
contractSpecsOut = ContractUtilities.ContractMetaInfo.GetContractSpecs(TickerList[i]);
SeriesKey = SeriesKey + "/" + ConvertMonthFromDB2TT(contractSpecsOut.tickerMonthStr) + (contractSpecsOut.tickerYear % 100).ToString();
}
}
else
{
SeriesKey = "";
}
ttapiTickerOut.SeriesKey = SeriesKey;
}
else
{
return(ttapiTickerOut);
}
ttapiTickerOut.marketKey = "";
if (exchangeName == "ICE")
{
ttapiTickerOut.marketKey = "ICE_IPE";
}
else if (exchangeName == "CME")
{
ttapiTickerOut.marketKey = "CME";
}
ttapiTickerOut.instrumentName = ttapiTickerOut.marketKey + " " +
ttapiTickerOut.productName + " " +
ttapiTickerOut.SeriesKey;
return(ttapiTickerOut);
}
public static ContractSpecs GetContractSpecs(string ticker)
{
ContractSpecs specsOutput = new ContractSpecs();
specsOutput.tickerHead = ticker.Substring(0, ticker.Count() - 5);
specsOutput.tickerYear = Convert.ToInt16(ticker.Substring(ticker.Count() - 4, 4));
specsOutput.tickerMonthStr = ticker.Substring(ticker.Count() - 5, 1);
specsOutput.tickerMonthNum = fullLetterMonthList.FindIndex(x => x == specsOutput.tickerMonthStr) + 1;
specsOutput.tickerClass = tickerClassDict[specsOutput.tickerHead];
specsOutput.contINDX = 100*specsOutput.tickerYear + specsOutput.tickerMonthNum;
return specsOutput;
}
