Exemplo n.º 1
0
        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);
        }
Exemplo n.º 2
0
        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);
        }
Exemplo n.º 3
0
 public SolveBlackScholesExpiry(BlackScholeCalculator calculator, double targetPremium)
 {
     this.bs     = calculator;
     this.target = targetPremium;
 }