public static Greeks GetOptionOnFutureGreeks(double underlyingPrice, double strike, double riskFreeRate,
                                                     DateTime expirationDate, DateTime calculationDate, string optionType, string exerciseType,
                                                     double optionPrice = double.NaN, double impliedVol = 0.15, string engineName = "baw")
        {
            QLNet.Date ExpirationDateObj  = new QLNet.Date(expirationDate.Day, expirationDate.Month, expirationDate.Year);
            QLNet.Date CalculationDateObj = new QLNet.Date(calculationDate.Day, calculationDate.Month, calculationDate.Year);

            QLNet.DayCounter DayCountObj = new QLNet.Actual365Fixed();
            QLNet.Calendar   CalendarObj = new QLNet.UnitedStates();

            Greeks GreeksOutput = new Greeks();

            QLNet.Option.Type OptionTypeObj;
            QLNet.Exercise    ExerciseObj;
            double            ImpliedVol;
            double            OptionPrice;

            int CalDte = DayCountObj.dayCount(CalculationDateObj, ExpirationDateObj);

            GreeksOutput.CalDte = CalDte;

            if (!double.IsNaN(optionPrice))
            {
                if (optionType.ToUpper() == "C")
                {
                    if (optionPrice + strike - underlyingPrice <= 1.0e-12)
                    {
                        GreeksOutput.Delta = 1;
                        return(GreeksOutput);
                    }
                }
                else if (optionType.ToUpper() == "P")
                {
                    if (optionPrice - strike + underlyingPrice <= 1.0e-12)
                    {
                        GreeksOutput.Delta = -1;
                        return(GreeksOutput);
                    }
                }
            }

            if (CalDte == 0)
            {
                if (optionType.ToUpper() == "C")
                {
                    if (strike <= underlyingPrice)
                    {
                        GreeksOutput.Delta = 1;
                    }
                    else
                    {
                        GreeksOutput.Delta = 0;
                    }
                }
                else if (optionType.ToUpper() == "P")
                {
                    if (strike >= underlyingPrice)
                    {
                        GreeksOutput.Delta = -1;
                    }
                    else
                    {
                        GreeksOutput.Delta = 0;
                    }
                }
                return(GreeksOutput);
            }

            if (optionType.ToUpper() == "C")
            {
                OptionTypeObj = QLNet.Option.Type.Call;
            }
            else if (optionType.ToUpper() == "P")
            {
                OptionTypeObj = QLNet.Option.Type.Put;
            }
            else
            {
                return(GreeksOutput);
            }

            if (exerciseType.ToUpper() == "E")
            {
                ExerciseObj = new QLNet.EuropeanExercise(ExpirationDateObj);
            }
            else if (exerciseType.ToUpper() == "A")
            {
                ExerciseObj = new QLNet.AmericanExercise(CalculationDateObj, ExpirationDateObj);
            }
            else
            {
                return(GreeksOutput);
            }

            QLNet.Settings.setEvaluationDate(CalculationDateObj);

            QLNet.Handle <Quote> UnderlyingObj = new QLNet.Handle <Quote>(new QLNet.SimpleQuote(underlyingPrice));
            QLNet.Handle <YieldTermStructure>    FlatRateObj  = new QLNet.Handle <YieldTermStructure>(new QLNet.FlatForward(CalculationDateObj, riskFreeRate, DayCountObj));
            QLNet.Handle <BlackVolTermStructure> FlatVolTsObj = new QLNet.Handle <BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, impliedVol, DayCountObj));

            QLNet.BlackProcess       BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);
            QLNet.PlainVanillaPayoff PayoffObj = new QLNet.PlainVanillaPayoff(OptionTypeObj, strike);

            QLNet.VanillaOption OptionObj = new QLNet.VanillaOption(PayoffObj, ExerciseObj);

            if (engineName == "baw")
            {
                OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
            }
            else if (engineName == "fda")
            {
                OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
            }
            else
            {
                return(GreeksOutput);
            }


            if (!double.IsNaN(optionPrice))
            {
                try
                {
                    ImpliedVol = OptionObj.impliedVolatility(targetValue: optionPrice, process: BlackProc, accuracy: 1e-5);
                }
                catch
                {
                    return(GreeksOutput);
                }

                FlatVolTsObj = new QLNet.Handle <BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, ImpliedVol, DayCountObj));
                BlackProc    = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);

                if (engineName == "baw")
                {
                    OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
                }
                else if (engineName == "fda")
                {
                    OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
                }
                OptionPrice = optionPrice;
            }
            else
            {
                OptionPrice = OptionObj.NPV();
                ImpliedVol  = impliedVol;
            }

            OptionObj = new QLNet.VanillaOption(PayoffObj, new QLNet.EuropeanExercise(ExpirationDateObj));
            OptionObj.setPricingEngine(new QLNet.AnalyticEuropeanEngine(BlackProc));

            GreeksOutput.Delta       = OptionObj.delta();
            GreeksOutput.Vega        = OptionObj.vega();
            GreeksOutput.Theta       = OptionObj.thetaPerDay();
            GreeksOutput.Gamma       = OptionObj.gamma();
            GreeksOutput.OptionPrice = OptionPrice;
            GreeksOutput.ImpliedVol  = ImpliedVol;

            return(GreeksOutput);
        }
Exemplo n.º 2
0
 public KirkSpreadOptionEngine(BlackProcess process1,
                               BlackProcess process2,
                               Handle <Quote> correlation)
 {
     process1_ = process1;
     process2_ = process2;
     rho_      = correlation;
 }
Exemplo n.º 3
0
        public KirkEngine(BlackProcess process1,
                          BlackProcess process2,
                          double correlation)
        {
            process1_ = process1;
            process2_ = process2;
            rho_      = correlation;

            process1_.registerWith(update);
            process2_.registerWith(update);
        }
        public static Greeks GetOptionOnFutureGreeks(double underlyingPrice,double strike,double riskFreeRate, 
            DateTime expirationDate, DateTime calculationDate, string optionType, string exerciseType,
            double optionPrice=double.NaN,double impliedVol=0.15,string engineName="baw")
        {
            QLNet.Date ExpirationDateObj = new QLNet.Date(expirationDate.Day, expirationDate.Month, expirationDate.Year);
            QLNet.Date CalculationDateObj = new QLNet.Date(calculationDate.Day, calculationDate.Month, calculationDate.Year);

            QLNet.DayCounter DayCountObj = new QLNet.Actual365Fixed();
            QLNet.Calendar CalendarObj = new QLNet.UnitedStates();

            Greeks GreeksOutput = new Greeks();
            QLNet.Option.Type OptionTypeObj;
            QLNet.Exercise ExerciseObj;
            double ImpliedVol;
            double OptionPrice;

            int CalDte = DayCountObj.dayCount(CalculationDateObj, ExpirationDateObj);
            GreeksOutput.CalDte = CalDte;

            if (!double.IsNaN(optionPrice))
            {
                if (optionType.ToUpper() == "C")
                {
                    if (optionPrice + strike - underlyingPrice <= 1.0e-12)
                    {
                        GreeksOutput.Delta = 1;
                        return GreeksOutput;
                    }
                }
                else if (optionType.ToUpper() == "P")
                {
                    if (optionPrice - strike + underlyingPrice <= 1.0e-12)
                    {
                        GreeksOutput.Delta = -1;
                        return GreeksOutput;
                    }
                }
            }

            if (CalDte == 0)
            {
                if (optionType.ToUpper() == "C")
                {
                    if (strike <= underlyingPrice)
                    {
                        GreeksOutput.Delta = 1;
                    }
                    else
                    {
                        GreeksOutput.Delta = 0;
                    }
                }
                else if (optionType.ToUpper() == "P")
                {
                    if (strike >= underlyingPrice)
                    {
                        GreeksOutput.Delta = -1;
                    }
                    else
                    {
                        GreeksOutput.Delta = 0;
                    }
                }
                return GreeksOutput;
            }

            if (optionType.ToUpper() == "C")
            {
                OptionTypeObj = QLNet.Option.Type.Call;
            }
            else if (optionType.ToUpper() == "P")
            {
                OptionTypeObj = QLNet.Option.Type.Put;
            }
            else
            {
                return GreeksOutput;
            }

            if (exerciseType.ToUpper() == "E")
            {
                ExerciseObj = new QLNet.EuropeanExercise(ExpirationDateObj);
            }
            else if (exerciseType.ToUpper() == "A")
            {
                ExerciseObj = new QLNet.AmericanExercise(CalculationDateObj, ExpirationDateObj);
            }
            else
            {
                return GreeksOutput;
            }

            QLNet.Settings.setEvaluationDate(CalculationDateObj);

            QLNet.Handle<Quote> UnderlyingObj = new QLNet.Handle<Quote>(new QLNet.SimpleQuote(underlyingPrice));
            QLNet.Handle<YieldTermStructure> FlatRateObj = new QLNet.Handle<YieldTermStructure>(new QLNet.FlatForward(CalculationDateObj, riskFreeRate, DayCountObj));
            QLNet.Handle<BlackVolTermStructure> FlatVolTsObj = new QLNet.Handle<BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, impliedVol, DayCountObj));

            QLNet.BlackProcess BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);
            QLNet.PlainVanillaPayoff PayoffObj = new QLNet.PlainVanillaPayoff(OptionTypeObj, strike);

            QLNet.VanillaOption OptionObj = new QLNet.VanillaOption(PayoffObj, ExerciseObj);

            if (engineName == "baw")
            {
                OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
            }
            else if (engineName == "fda")
            {
                OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
            }
            else
            {
                return GreeksOutput;
            }


            if (!double.IsNaN(optionPrice))
            {
                try
                {

                    ImpliedVol = OptionObj.impliedVolatility(targetValue:optionPrice, process:BlackProc,accuracy:1e-5);
                }
                catch
                {
                    return GreeksOutput;
                }
                
                FlatVolTsObj = new QLNet.Handle<BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, ImpliedVol, DayCountObj));
                BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);

                if (engineName == "baw")
                {
                    OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
                }
                else if (engineName == "fda")
                {
                    OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
                }
                OptionPrice = optionPrice;
            }
            else
            {
                OptionPrice = OptionObj.NPV();
                ImpliedVol = impliedVol;
            }

            OptionObj = new QLNet.VanillaOption(PayoffObj, new QLNet.EuropeanExercise(ExpirationDateObj));
            OptionObj.setPricingEngine(new QLNet.AnalyticEuropeanEngine(BlackProc));

            GreeksOutput.Delta = OptionObj.delta();
            GreeksOutput.Vega = OptionObj.vega();
            GreeksOutput.Theta = OptionObj.thetaPerDay();
            GreeksOutput.Gamma = OptionObj.gamma();
            GreeksOutput.OptionPrice = OptionPrice;
            GreeksOutput.ImpliedVol = ImpliedVol;

            return GreeksOutput;

        }