public void Update(OptionType type, VolQuote volQuote)
{
if (type == OptionType.Call)
{
this.UpdateCall(volQuote);
}
else
{
this.UpdatePut(volQuote);
}
}
public void Update(DateTime expiryDate, double strike, OptionType type, VolQuote volQuote)
{
VolExpiry existingExpiry = null;
if (this.VolExpiries.TryGetValue(expiryDate, out existingExpiry))
{
existingExpiry.Update(strike, type, volQuote);
}
else
{
VolExpiry volExpiry = new VolExpiry(expiryDate);
volExpiry.Update(strike, type, volQuote);
this.VolExpiries[expiryDate] = volExpiry;
}
}
public void Update(double strike, OptionType type, VolQuote volQuote)
{
VolStrike existingStrike = null;
if (this.VolStrikes.TryGetValue(strike, out existingStrike))
{
existingStrike.Update(type, volQuote);
}
else
{
VolStrike volStrike = new VolStrike(strike);
volStrike.Update(type, volQuote);
this.VolStrikes[strike] = volStrike;
}
}
public void Update(DateTime expiryDate, double strike, OptionType type, VolQuote volQuote)
{
VolExpiry existingExpiry = null;
if (this.VolExpiries.TryGetValue(expiryDate, out existingExpiry))
{
existingExpiry.Update(strike, type, volQuote);
}
else
{
VolExpiry volExpiry = new VolExpiry(expiryDate);
volExpiry.Update(strike, type, volQuote);
this.VolExpiries[expiryDate] = volExpiry;
}
}
private void UpdatePut(VolQuote volQuote)
{
this.VolPutQuote = volQuote;
}
private void UpdateCall(VolQuote volQuote)
{
this.VolCallQuote = volQuote;
}
private VolSurface GetVolSurface(SortedDictionary<DateTime, RiskFreeRate> riskFreeRates, OrderBook underlyingOrderBook, List<OptionMarketData> optionsMarketData)
{
double businessDaysInTheYear = 252;
VolSurface volSurface = new VolSurface();
double spot = underlyingOrderBook.GetPriceMid();
foreach (OptionMarketData option in optionsMarketData)
{
RiskFreeRate riskFreeRate = null;
riskFreeRates.TryGetValue(option.OptionInfo.ExpiryDate, out riskFreeRate);
double timeToMaturity = riskFreeRate.BusinessDays / businessDaysInTheYear;
double bid = (option.OrderBook.Bid != null) ? option.OrderBook.Bid.Value : 0.00;
double bidSize = (option.OrderBook.BidSize != null) ? option.OrderBook.BidSize.Value : 0.00; ;
double ask = (option.OrderBook.Ask != null) ? option.OrderBook.Ask.Value : 0.00; ;
double askSize = (option.OrderBook.AskSize != null) ? option.OrderBook.AskSize.Value : 0.00; ;
BlackScholes bs = new BlackScholes();
double bidImpliedVolatility = 0.00;
double askImpliedVolatility = 0.00;
if (bid > 0.00 && bidSize > 0.00) bidImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, bid, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
if (ask > 0.00 && askSize > 0.00) askImpliedVolatility = bs.GetImpliedVolatility(option.OptionInfo.Type, ask, spot, option.OptionInfo.Strike, riskFreeRate.Rate, timeToMaturity);
if (!(bidImpliedVolatility > 0.0000)) bidImpliedVolatility = 0.00;
if (!(askImpliedVolatility > 0.0000)) askImpliedVolatility = 0.00;
VolQuote volQuote = new VolQuote(bidSize, askSize, bidImpliedVolatility, askImpliedVolatility);
volSurface.Update(option.OptionInfo.ExpiryDate, option.OptionInfo.Strike, option.OptionInfo.Type, volQuote);
}
return volSurface;
}
