OptionData GetATMOptionData(EOptionType opType, DateTime expiryDate)
{
var offsetStep = 0.005;
var maxOffset = 0.495;
var minOffset = 0.505;
OptionData theATMOption = null;
//Get optionATM:
while (theATMOption == null)
{
maxOffset += offsetStep;
minOffset -= offsetStep;
theATMOption = UNLManager.OptionsManager.OptionDataDic.Values.FirstOrDefault(
o => o.Expiry.Equals(expiryDate) && o.OptionContract.OptionType == opType &&
o.DeltaAbsValue >= minOffset && o.DeltaAbsValue <= maxOffset);
//Set for max iteration
if (maxOffset > (0.50 + 20 * offsetStep))//Max will be: 0.555 <=> 0.445
{
return(null);
}
}
return(theATMOption);
}
private OptionData GenerateOptionInPreconditions(EOptionType optionType)
{
double theta = MINIMAL_THETA + 1;
DateTime expiry = DateTime.Now.Add(TimeSpan.FromDays(MIN_EXPIRY_DAYS + 1));
double strike;
double underline = 100;
if (optionType == EOptionType.Call)
{
strike = underline * (1 + MINIMAL_DIS_UNL / 100) + 10;
}
else
{
strike = underline * (1 - MINIMAL_DIS_UNL / 100) - 10;
}
var optionContract = new OptionContract("AAPL", expiry, optionType)
{
Strike = strike
};
var option = new OptionData()
{
UnderlinePrice = underline,
Theta = theta,
OptionContract = optionContract
};
return(option);
}
/// <summary>
/// Calculate the margin requierd to sell 1 option of the given position data.
/// It calculates considering the situation and relations of entire positions of the given UNL.
/// </summary>
/// <param name="positionData"></param>
/// <returns></returns>
public double OnePositionSellMargin(OptionsPositionData positionData)
{
var symbol = positionData.OptionData.Symbol;
CalculateUNLRequierdMargin(symbol);
var marginData = MarginDataDic[symbol];
//double unlRate = positionData.OptionData.LastPrice;
var unlRate = _appManager.ManagedSecuritiesManager.Securities[symbol].LastPrice;
double strike = positionData.OptionContract.Strike;
EOptionType type = positionData.OptionType;
bool mate = false;
switch (marginData.PutCallPositionRelation)
{
case EPutCallPositionRelation.Equel:
break;
case EPutCallPositionRelation.PutGCall:
if (type == EOptionType.Call)
{
mate = true;
}
break;
case EPutCallPositionRelation.CallGPut:
if (type == EOptionType.Put)
{
mate = true;
}
break;
}
var result = CalculateMargin(unlRate, strike, mate, type);
return(result);
}
public OptionCalculationData(EOptionType optionType, int position, double currentUNLPrice, int multiplier)
{
OptionType = optionType;
ResultDataValues = new ResultData();
Position = position;
CurrentUNLPrice = currentUNLPrice;
Multiplier = multiplier;
}
public OptionContract(string symbol, DateTime expiry, EOptionType type,
string exchange = "SMART", int multiplier = 100, string currency = "USD")
: base(symbol, SecurityType.Option)
{
Expiry = expiry;
Multiplier = multiplier;
OptionType = type;
}
/// <summary>
/// Get the Implied Volatility on the ATM option.
/// </summary>
public double GetImVolOnATMOption(EOptionType optionType, DateTime expiryDate)
{
var option = GetATMOptionData(expiryDate, optionType);
if (option != null)
{
return(option.ImpliedVolatility);
}
return(0);
}
/// <summary>
/// Check if there is any option that close enugh to the ATM option.
/// </summary>
/// <param name="optionType"></param>
/// <param name="expiryDate"></param>
/// <returns></returns>
public bool CheckForATMOption(EOptionType optionType, DateTime expiryDate)
{
//
var exist = OptionDataDic.Values
.Any(op => op.Expiry == expiryDate &&
op.OptionContract.OptionType == optionType &&
op.DeltaOffsetFromATM < AllConfigurations.AllConfigurationsObject.Trading
.MaxDeltaOffsetAllowed);
return(exist);
}
public BnSCalculationData(string symbol, EOptionType optionType, double stockPrice, double strike,
int dayLeftsOriginal, int multiplier = 100)
{
Symbol = symbol;
OptionType = optionType;
StockPrice = stockPrice;
Strike = strike;
DayLeftsOriginal = dayLeftsOriginal;
ResultDataValues = new ResultData();
Multiplier = multiplier;
}
/// <summary>
/// Calculates the number of the mate couples of given UNL (symbol),
/// Also return the single options (without mate and the type of the singl).
/// </summary>
/// <param name="symbol">The UNL symbol</param>
/// <param name="singleCount">The number of single options, that have no adequate mate.</param>
/// <param name="optionType">The option type of the single.</param>
/// <returns></returns>
public int GetCoupleMateOptionsCount(string symbol, out int singleCount, out EOptionType optionType)
{
var posList = GetPositionList(symbol);
var callPositionsCount = posList.Where(pd => pd.OptionType == EOptionType.Call).Sum(pd => pd.Quantity);
var putPositionsCount = posList.Where(pd => pd.OptionType == EOptionType.Put).Sum(pd => pd.Quantity);
var result = Min(callPositionsCount, putPositionsCount);
singleCount = Abs(callPositionsCount - putPositionsCount);
optionType = callPositionsCount >= putPositionsCount ? EOptionType.Call : EOptionType.Put;
return(result);
}
public double CalculateMargin(double unlRate, double strike, bool mate, EOptionType type = EOptionType.Call)
{
double lossPercantag = mate ? WITH_MATE_LOSS_PERCANTAG : NO_MATE_LOSS_PERCANTAG;
//lossPercantag = 0.06;
//lossPercantag = 0.245;
const int multiplier = 100;
var requierdMargin = type == EOptionType.Call ?
(unlRate * (1 + lossPercantag) - strike) * multiplier :
(strike - unlRate * (1 - lossPercantag)) * multiplier;
return(requierdMargin);
}
public void SetQuestTalkOption(uint questid, int step, bool bNpcSay, string strCap)
{
m_questid = questid;
m_step = step;
m_eOpType = EOptionType.EOT_ScenarioTalk;
if (bNpcSay)
{
SetNpcCaption(m_questid, m_step, strCap);
}
else
{
SetHeroCaption(strCap);
}
}
public OptionData GetATMOptionData(DateTime expiry, EOptionType optionType)
{
const double epsilon = 0.005;
//Get all the options nearest the ATM
var options = OptionDataDic.Values
.Where(od => od.Expiry == expiry && od.OptionContract.OptionType == optionType &&
od.DeltaOffsetFromATM < 0.05).ToList();
if (options.Count == 0)
{
return(null);
}
var minDeltaOffset = options.Min(od => od.DeltaOffsetFromATM);
var atmOptionData = options.FirstOrDefault(od => od.DeltaOffsetFromATM < (minDeltaOffset + epsilon));
if (atmOptionData == null)
{
throw new Exception("ATM Option didn't found. check your calculation!!!");
}
return(atmOptionData);
}
public void SetAcceptTalkOption(uint questid)
{
m_questid = questid;
m_eOpType = EOptionType.EOT_AcceptQuest;
SetQuestCaption(m_questid);
}
public BnSCalculationData(string symbol, EOptionType optionType)
{
Symbol = symbol;
OptionType = optionType;
ResultDataValues = new ResultData();
}
public string GetOptionKey(DateTime expiry, EOptionType optionType, double strike)
{
return($"{expiry}.{optionType}.{strike}");
}
private void grpOptionType_EditValueChanged(object sender, EventArgs e)
{
OptionType = (int)grpOptionType.EditValue == 1 ? EOptionType.Put : EOptionType.Call;
}
public static double ImpliedVolatility(double S, double X, double t, double r, double P, EOptionType OptionType, EPutCall PutCall, EOptionPrice Method)
{
int n = 0;
switch (Method)
{
case EOptionPrice.Binomial:
n = 100;
break;
case EOptionPrice.MonteCarlo:
n = 100000;
break;
}
double Eps = 0.001;
return(FinMath.ImpliedVolatility(S, X, t, r, P, OptionType, PutCall, Method, n, Eps));
}
public static double ImpliedVolatility(double S, double X, double t, double r, double P, EOptionType OptionType, EPutCall PutCall, EOptionPrice Method, int n, double Eps)
{
double num1 = 0.0;
double num2 = 10.0;
double num3 = 0.0;
double s = 0.0;
while (Math.Abs(num2 - num1) > Eps)
{
s = num1 + (num2 - num1) / 2.0;
switch (Method)
{
case EOptionPrice.BlackScholes:
num3 = FinMath.BS(S, X, t, s, r, PutCall);
break;
case EOptionPrice.Binomial:
num3 = FinMath.BM(S, X, t, s, r, PutCall, n);
break;
case EOptionPrice.MonteCarlo:
num3 = FinMath.MC(S, X, t, s, r, PutCall, n);
break;
}
if (num3 > P)
{
num2 = s;
}
else
{
num1 = s;
}
}
return(s);
}
public double CalculateMarginTest(double unlRate, double strike, bool mate, EOptionType type = EOptionType.Call)
{
var result = MarginManager.CalculateMargin(unlRate, strike, mate, type);
return(result);
}
public static double ImpliedVolatility(double S, double X, double t, double r, double P, EOptionType OptionType, EPutCall PutCall, EOptionPrice Method, int n, double Eps)
{
double num1 = 0.0;
double num2 = 10.0;
double num3 = 0.0;
double s = 0.0;
while (Math.Abs(num2 - num1) > Eps)
{
s = num1 + (num2 - num1) / 2.0;
switch (Method)
{
case EOptionPrice.BlackScholes:
num3 = FinMath.BS(S, X, t, s, r, PutCall);
break;
case EOptionPrice.Binomial:
num3 = FinMath.BM(S, X, t, s, r, PutCall, n);
break;
case EOptionPrice.MonteCarlo:
num3 = FinMath.MC(S, X, t, s, r, PutCall, n);
break;
}
if (num3 > P)
num2 = s;
else
num1 = s;
}
return s;
}
public static double ImpliedVolatility(double S, double X, double t, double r, double P, EOptionType OptionType, EPutCall PutCall, EOptionPrice Method)
{
int n = 0;
switch (Method)
{
case EOptionPrice.Binomial:
n = 100;
break;
case EOptionPrice.MonteCarlo:
n = 100000;
break;
}
double Eps = 0.001;
return FinMath.ImpliedVolatility(S, X, t, r, P, OptionType, PutCall, Method, n, Eps);
}
public void SetCompleteTalkOption(uint questid)
{
m_questid = questid;
m_eOpType = EOptionType.EOT_CompleteQuest;
SetQuestCaption(m_questid);
}
