private BlackScholeCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (BinaryOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeDfAtMaturity = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var riskfreeDfAtExercise = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskfreeDfAtExercise);
var exerciseInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, exerciseDate, trade) + timeIncrement;
var maturityInYears = AnalyticalOptionPricerUtil.timeToMaturityFraction(market.ValuationDate, maturityDate, trade) + timeIncrement;
var _isDelayedPay = exerciseInYears.AlmostEqual(maturityInYears);
var calculator = new BlackScholeCalculator(trade.OptionType,
trade.BinaryOptionPayoffType,
strike: option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spotPrice: spot,
sigma: sigma,
dividendRate: dividendRate,
riskfreeRateAtExercise: riskfreeDfAtExercise,
riskfreeRateAtMaturity: riskfreeDfAtMaturity,
curveDayCount: market.DiscountCurve.Value.DayCount,
cashOrNothingAmount: trade.CashOrNothingAmount,
exerciseDate: exerciseDate,
maturityDate: maturityDate,
valuationDate: market.ValuationDate,
trade: trade,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional,
isDelayedPay: _isDelayedPay,
expiryDayRemainingLife: expiryDayRemainingLife,
timeIncrement: timeIncrement);
this._calculator = calculator;
return(calculator);
}
private BlackScholeCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (VanillaOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var riskfreeRateAtExercise = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeRateAtMaturity = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, maturityDate);
var riskFreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskFreeRate,
option.Dividends, spot, market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividenRate(trade.UnderlyingProductType, dividendInput, riskFreeRate);
var BSCalculator = new BlackScholeCalculator(trade.OptionType,
strike: option.IsMoneynessOption? trade.Strike * trade.InitialSpotPrice: trade.Strike,
spotPrice: spot,
sigma: sigma,
riskfreeRateAtExercise: riskfreeRateAtExercise,
riskfreeRateAtMaturity: riskfreeRateAtMaturity,
curveDayCount: market.DiscountCurve.Value.DayCount,
dividendRate: dividendRate,
maturityDate: trade.UnderlyingMaturityDate, //maturity of underlying, i.e. option on futures
exerciseDate: trade.ExerciseDates.Last(),
valuationDate: market.ValuationDate,
trade: trade,
underlyingInstrumentType: trade.UnderlyingProductType,
notional: trade.Notional,
expiryDayRemainingLife: expiryDayRemainingLife,
timeIncrement: timeIncrement);
_calculator = BSCalculator;
return(BSCalculator);
}
public SolveBlackScholesExpiry(BlackScholeCalculator calculator, double targetPremium)
{
this.bs = calculator;
this.target = targetPremium;
}