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);
}
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;
}
public double calculateImpl(DateTime calcDate, FP_Parameter fp_parameter)
{
List<QLNet.CashFlow> ql_fixedCFList = new List<QLNet.CashFlow>();
List<QLNet.CashFlow> ql_floatingCFList = new List<QLNet.CashFlow>();
foreach (FP_CashFlow fixed_cf in this.FixedLegInfo_.FP_CashFlowList_)
{ ql_fixedCFList.Add(fixed_cf.build_ql_cf(fp_parameter)); }
foreach (FP_CashFlow floating_cf in this.FloatingLegInfo_.FP_CashFlowList_)
{ ql_floatingCFList.Add(floating_cf.build_ql_cf(fp_parameter)); }
Swap ql_swap = new Swap(ql_fixedCFList, ql_floatingCFList);
//QLNet.DiscountingBasisSwapEngine
Handle<YieldTermStructure> ql_discount_ts
//= new QLNet.Handle<YieldTermStructure>(fp_parameter.DiscountCurveMap_["KRW"]);
= new QLNet.Handle<YieldTermStructure>(fp_parameter.getDiscountCurve("KRW"));
QLNet.DiscountingSwapEngine engine = new DiscountingSwapEngine(ql_discount_ts);
ql_swap.setPricingEngine(engine);
#region Result Price/Greek
//clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB();
//clsHDAT_MARKETDATA_TB clstb_market = new clsHDAT_MARKETDATA_TB();
//clstb_market.REF_DT = calcDate.ToString("yyyyMMdd");
double swap_price = ql_swap.NPV();
#region Comment
//foreach (var item in index_cdList)
//{
// clstb_market.INDEX_CD = item;
// clstb_market.SelectOwn();
// clstb_greekresult.FP_GREEKRESULT_ID = "";
// clstb_greekresult.CALC_DT = calcDate.ToString("yyyyMMdd");
// clstb_greekresult.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID;
// clstb_greekresult.INSTRUMENT_TYP = 0;
// clstb_greekresult.UNDERLYING_ID = item;
// clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST;
// clstb_greekresult.SEQ = count;
// clstb_greekresult.DELTA = 0.0;
// clstb_greekresult.GAMMA = 0.0;
// clstb_greekresult.VEGA = 0.0;
// if (count == 1) { clstb_greekresult.CALC_PRICE = swap_price; }
// else { clstb_greekresult.CALC_PRICE = 0.0; }
// clstb_greekresult.CALCULATED_FLAG = 1;
// clstb_greekresult.CALCULATED_TIME = DateTime.Now.ToString("HHmmss");
// clstb_greekresult.CALCULATE_TYP = 1; // 패러럴 쉬푸투 or 그냥 구한거 머 등등..
// clstb_greekresult.Insert();
// count += 1;
//}
#endregion
#endregion
for (int i = 0; i < this.FixedLegInfo_.FP_CashFlowList_.Count; i++)
{
this.FixedLegInfo_.FP_CashFlowList_[i].CashFlowAmount_ = ql_fixedCFList[i].amount();
this.FixedLegInfo_.FP_CashFlowList_[i].DiscountFactor_
= ql_discount_ts.currentLink().discount(this.FixedLegInfo_.FP_CashFlowList_[i].PaymentDate_);
}
for (int j = 0; j < this.FloatingLegInfo_.FP_CashFlowList_.Count; j++)
{
this.FloatingLegInfo_.FP_CashFlowList_[j].CashFlowAmount_ = ql_floatingCFList[j].amount();
this.FloatingLegInfo_.FP_CashFlowList_[j].DiscountFactor_
= ql_discount_ts.currentLink().discount(this.FloatingLegInfo_.FP_CashFlowList_[j].PaymentDate_);
}
return swap_price;
//#endregion
}