double ComputeGamma(OptionInstrument option, double riskFactor)
{
var diffDate = (option.ExpirationDate - Data.ParamDate).TotalDays / 365.00;
var d1 = (Math.Log(riskFactor / option.Strike) + 0.5 * Math.Pow(Data.Volatility, 2) * diffDate) / (Data.Volatility * Math.Sqrt(diffDate));
return(Math.Exp(-Data.Rate * diffDate) * Tools.NormalDensity(d1) / (riskFactor * Data.Volatility * Math.Sqrt(diffDate)));
}
static void Main(string[] args)
{
DateTime expirationDate = DateTime.Parse("01/05/2019");
DateTime riskFactorDate = DateTime.Parse("01/09/2019");
DateTime paramDate = DateTime.Parse("01/04/2019");
var option = new OptionInstrument(60, expirationDate, OptionType.Put,
Way.Sell, Underlying.Petrol, riskFactorDate);
Data.InitMarketData(0.25, 0.05, paramDate);
var pricingcfg = new PricingConfiguration(
new List <GreekType>
{
GreekType.Delta,
GreekType.Gamma,
GreekType.Vega,
GreekType.Rho,
GreekType.Tetha
});
var pricer = new Pricer();
var results = pricer.Results(option, pricingcfg);
Console.WriteLine("Le prix de l'option :" + results.Mtm);
foreach (var result in results.Results)
{
Console.WriteLine("La valeur de " + result.Key.ToString() + " : " + result.Value);
}
/*// prcing europeene option
* var maturity = DateTime.Parse("01/05/2019");
* var paramDate = DateTime.Parse("01/04/2019");
* var riskFctorDate = DateTime.Parse("01/09/2019");
* var diif = (paramDate-maturity).TotalDays;
* var option = new OptionInstrument(60, maturity);
* var interpolator = new InterpolatorFuturePrice("CL", riskFctorDate);
* var riskFator = interpolator.InterpolationBackStepProcess();
* var optionData = new OptionMarketData(riskFator, paramDate, 0.05, 0.25);
*
* var pricer = new OptionPricer(option, optionData,"call");
*
*
* var listGreeks = new List<string>()
* {
* "Delta",
* "Vega",
* "Theta",
* "Rho",
* "Gamma"
* };
*
* PrintResult print = new PrintResult(pricer,true,true,listGreeks);
* print.Print();
*/
// InitMarketData
// Construction of Product + PricingConfiguration
// Call the method Price
}
public DataTestCase(List <GreekType> greekTypes, double vol, double rate, OptionInstrument option, DateTime evalDate)
{
GreekTypes = greekTypes;
Vol = vol;
Rate = rate;
Option = option;
EvalDate = evalDate;
}
public PricingResults Results(OptionInstrument option, PricingConfiguration pricingcfg)
{
var blackModel = new BlackModelOption();
double riskfacor = Interpolators.InterpolateForward(option.SousJacent, option.RiskFactorDate);
double price = blackModel.PriceBlackModel(option, riskfacor);
var resultGreeks = blackModel.ComputeGreeks(pricingcfg.GreeksToCompute, riskfacor, option);
return(new PricingResults(resultGreeks, price));
}
private void Button_Click(object sender, RoutedEventArgs e)
{
GetData(out vol, out strikeValue, out interestRate, out valueDate, out maturityDate, out riskfacorDate);
way = (Way)System.Enum.Parse(typeof(Way), Way.SelectedItem.ToString());
optionType = (OptionType)System.Enum.Parse(typeof(OptionType), TypeOption.SelectedItem.ToString());
sousJacent = (Underlying)System.Enum.Parse(typeof(Underlying), sousjacent.SelectedItem.ToString());
var x = MyGreeks.SelectedItems;
var z = MyGreeks.SelectedItem;
listGreeks = MyGreeks.SelectedItems.Cast <GreekType>().ToList();
Data.InitMarketData(vol, interestRate, valueDate);
var option = new OptionInstrument(strikeValue, maturityDate, optionType, way, sousJacent, riskfacorDate);
var pricingcfg = new PricingConfiguration(listGreeks);
var pricer = new Pricer();
Result.Text = pricer.Results(option, pricingcfg).Mtm.ToString();
var resultGreek = pricer.Results(option, pricingcfg).Results;
if (resultGreek.Count != 0)
{
foreach (var result in resultGreek)
{
switch (result.Key)
{
case GreekType.Delta:
ValueDelta.Text = result.Value.ToString("");
break;
case GreekType.Vega:
ValueVega.Text = result.Value.ToString();
break;
case GreekType.Gamma:
ValueGamma.Text = result.Value.ToString();
break;
case GreekType.Rho:
ValueRho.Text = result.Value.ToString();
break;
case GreekType.Tetha:
ValueTetha.Text = result.Value.ToString();
break;
}
}
}
}
public Dictionary <GreekType, double> ComputeGreeks(List <GreekType> greekTocompute,
double riskFactor, OptionInstrument option)
{
var results = new Dictionary <GreekType, double>();
foreach (var greek in greekTocompute)
{
switch (greek)
{
case GreekType.Delta:
results.Add(greek, CompuetDelta(option, riskFactor));
if (option.Sens == Way.Sell)
{
results[greek] = results[greek] * -1;
}
break;
case GreekType.Vega:
results.Add(greek, ComputeVega(option, riskFactor));
if (option.Sens == Way.Sell)
{
results[greek] = results[greek] * -1;
}
break;
case GreekType.Tetha:
results.Add(greek, ComputeTheta(option, riskFactor));
if (option.Sens == Way.Sell)
{
results[greek] = results[greek] * -1;
}
break;
case GreekType.Rho:
results.Add(greek, CompuetDelta(option, riskFactor));
if (option.Sens == Way.Sell)
{
results[greek] = results[greek] * -1;
}
break;
case GreekType.Gamma:
results.Add(greek, ComputeGamma(option, riskFactor));
if (option.Sens == Way.Sell)
{
results[greek] = results[greek] * -1;
}
break;
}
}
return(results);
}
double CompuetDelta(OptionInstrument option, double riskFacor)
{
var diffDate = (option.ExpirationDate - Data.ParamDate).TotalDays / 365.00;
var d1 = (Math.Log(riskFacor / option.Strike) + 0.5 * Math.Pow(Data.Volatility, 2) * diffDate) / (Data.Volatility * Math.Sqrt(diffDate));
if (option.Type == OptionType.Call)
{
return(Math.Exp(-Data.Rate * diffDate) * Tools.Phi(d1));
}
else
{
return(Math.Exp(-Data.Rate * diffDate) * (Tools.Phi(d1) - 1));
}
}
public void PriceOption()
{
// le mock de la volatilé,
Mock <Volatility> volMock = new Mock <Volatility>();
volMock.Setup(x => x.Vol()).Returns(0.25); // utilsation des linq lambda expression.
var maturity = DateTime.Parse("01/5/2019");
var paramDate = DateTime.Now;
var option = new OptionInstrument(100, maturity);
var optionData = new OptionMarketData(120, paramDate, 0.05, volMock.Object.Vol());
var pricer = new OptionPricer(option, optionData);
var prix = 0.0;
Assert.AreEqual(prix, 0);
}
double ComputeRho(OptionInstrument option, double riskFactor)
{
var maturity = (option.ExpirationDate - Data.ParamDate).TotalDays / 365.00;
var d1 = (Math.Log(riskFactor / option.Strike) + 0.5 * Math.Pow(Data.Volatility, 2) * maturity) /
(Data.Volatility * Math.Sqrt(maturity));
var d2 = d1 - Math.Sqrt(maturity);
if (option.Type == OptionType.Call)
{
return(option.Strike * maturity * Tools.Phi(d2));
}
else
{
return(-option.Strike * maturity * Tools.Phi(-d2));
}
}
double ComputeTheta(OptionInstrument option, double riskFactor)
{
var maturity = (option.ExpirationDate - Data.ParamDate).TotalDays / 365.00;
var d1 = (Math.Log(riskFactor / option.Strike) + 0.5 * Math.Pow(Data.Volatility, 2) * maturity) /
(Data.Volatility * Math.Sqrt(maturity));
var d2 = d1 - Math.Sqrt(maturity);
if (option.Type == OptionType.Call)
{
return(-riskFactor *Math.Exp(-Data.Rate *maturity) * Tools.NormalDensity(d1) * Data.Volatility / (2 * Math.Sqrt(maturity))
+ Data.Rate * riskFactor * Math.Exp(-Data.Rate * maturity) * Tools.Phi(d1) - Math.Exp(-Data.Rate * maturity) * Data.Rate * option.Strike * Tools.Phi(d2));
}
else
{
return(-riskFactor *Math.Exp(-Data.Rate *maturity) * Tools.NormalDensity(d1) * Data.Volatility / (2 * Math.Sqrt(maturity))
- Data.Rate * riskFactor * Math.Exp(-Data.Rate * maturity) * Tools.Phi(-d1) + Data.Rate * option.Strike * Math.Exp(-Data.Rate * maturity) * Tools.Phi(-d2));
}
}
public double PriceBlackModel(OptionInstrument option, double riskFactor)
{
var maturity = (option.ExpirationDate - Data.ParamDate).TotalDays / 365.00;
var d1 = (Math.Log(riskFactor / option.Strike) + 0.5 *
Math.Pow(Data.Volatility, 2) * maturity) / (Data.Volatility * Math.Sqrt(maturity));
var d2 = d1 - Math.Sqrt(maturity);
if (option.Type == OptionType.Call)
{
var x = Math.Exp(-Data.Rate * maturity)
* (riskFactor
* Tools.Phi(d1) - option.Strike * Tools.Phi(d2));
return(Math.Exp(-Data.Rate * (maturity))
* (riskFactor
* Tools.Phi(d1) - option.Strike * Tools.Phi(d2)));
}
else
{
return(Math.Exp(-Data.Rate * maturity)
* (-riskFactor * Tools.Phi(-d1) + option.Strike * Tools.Phi(-d2)));
}
}
public static async Task PlaceOrder(string[] args)
{
Debug.Print(System.Reflection.MethodBase.GetCurrentMethod().Name);
var rh = new RobinhoodClient(_token);
//Account account = rh.DownloadAllAccounts().Result.First();
//JToken instrumentData = null;
//while (instrumentData == null)
//{
// try
// {
// Console.Write("Symbol: ");
// rh.DownloadOptionStrikeInstrument(args).Wait();
// instrumentData = rh.results;
// MessageBox.Show(instrument.Name);
// }
// catch (Exception ex)
// {
// Utils.MessageBoxModal("Problem with initial order.\n\nWill try again 1 second after you hit OK.\n\nIf expiry date is today or wrong, no order will be places, /n/nsince no option instrument can be found ");
// System.Threading.Thread.Sleep(1000);
// }
//}
int qty = Convert.ToInt32(args[4]);
decimal price = Convert.ToDecimal(args[5]);
TimeInForce tif = TimeInForce.GoodTillCancel;
//OptionInstrument instrument = new OptionInstrument()
//{
// InstrumentUrl = "https://api.robinhood.com/options/instruments/5ac9f2ac-6d01-4d2d-94de-e18ae7602a81/", //new Url<OptionInstrument>(instrumentData.SelectToken("url").ToString()),
// Symbol = "c277b118-58d9-4060-8dc5-a3b5898955cb" //
// //instrumentData.SelectToken("chain_symbol").ToString()
//};
OptionInstrument instrument = new OptionInstrument()
{
InstrumentUrl = new Url <OptionInstrument>("https://api.robinhood.com/options/instruments/5ac9f2ac-6d01-4d2d-94de-e18ae7602a81/"), //new Url<OptionInstrument>(instrumentData.SelectToken("url").ToString()),
Symbol = "c277b118-58d9-4060-8dc5-a3b5898955cb" //
//instrumentData.SelectToken("chain_symbol").ToString()
};
var newOptionOrderSingle = new NewOptionOrderSingle(instrument);
newOptionOrderSingle.AccountUrl = // account.AccountUrl;
new Url <Account>("https://api.robinhood.com/accounts/475573473/");
//
newOptionOrderSingle.Quantity = Math.Abs(qty);
newOptionOrderSingle.Side = qty > 0 ? Side.Buy : Side.Sell;
newOptionOrderSingle.TimeInForce = tif;
if (price == 0)
{
newOptionOrderSingle.OrderType = OrderType.Market;
}
else
{
newOptionOrderSingle.OrderType = OrderType.Limit;
newOptionOrderSingle.Price = price;
}
_order = rh.PlaceOptionOrder(newOptionOrderSingle).Result;
Debug.Print("2:" + DateTime.Now);
_resultsLabel = RobinhoodClient._ErrorMessage;
// _resultsLabel = rh._
/// update lastMatch.buyAtPrice
///
/// await the order response
///
/// /// get reversals after
///
//bool isPending = order.State != null && order.State == "unconfirmed"; /// does this say pending or is there a better way
// /// if the order is pending or the order is partial
//if (isPending)
//{
// /// cancel the order
// rh.CancelOrder(order.CancelUrl).Wait();
// /// get the order status
// ///
// /// replace the order
//}
/// if new reversal
/// if not partial
/// remove order from lstMatch // so a resumption will create a new turn up (this means our reversal stats are not complete)
/// set lastMatch to null
/// exit stage left
///
///
/// else
/// if partial
/// record the partial order
/// reset contracts
/// re-order
/// else // order was filled
/// log the order
//using (TradeLogTableAdapter ta = new TradeLogTableAdapter())
//{
// ta.Insert(args[6], Convert.ToDateTime(args[7]), order.jsonText);
//}
///
/// Analyse the current status
/// Is the ask > buyAtPrice
/// Is it more than a penny?
/// Is the ask now lower than buyAtPrice i.e. the price is falling
/// Has there been a reversal?
/// Is BuyPrice >= Bid and <= Ask?
//if (!String.IsNullOrEmpty(order.ErrorMessage))
// MessageBox.Show(order.ErrorMessage);
//else
//{
// MessageBox.Show(string.Format("{0}\t{1}\t{2} x {3}\t{4}",
// order.Side,
// instrument.Symbol,
// order.Quantity,
// order.Price.HasValue ? order.Price.ToString() : "mkt",
// order.State));
//}
//if (!String.IsNullOrEmpty(order.RejectReason))
//{
// MessageBox.Show(order.RejectReason);
//}
//object state = SynchronizationContext.Current;
//var context = (SynchronizationContext)state;
//state = new object();
//context.Post(RHCockpit.frmBot.WorkerDone, state);
}
/// <summary>
///
/// </summary>
/// <param name="args">
/// args = new string[] { "QQQ", "2019-04-29", "call", "293", "1", "0.01" };
/// </param>
private async Task <OrderSnapshot> PlaceOptionOrderAsync(string[] args)
{
Debug.Print(System.Reflection.MethodBase.GetCurrentMethod().Name);
var rh = new RobinhoodClient(_token);
Account account = rh.DownloadAllAccounts().Result.First();
JToken instrumentData = null;
while (instrumentData == null)
{
try
{
// Console.Write("Symbol: ");
rh.DownloadOptionStrikeInstrument(args).Wait();
instrumentData = rh.results;
//Console.WriteLine(instrument.Name);
}
catch (Exception ex)
{
//MessageBox.Show(ex.Message + "\n\nInstrument problem. Try again.");
System.Threading.Thread.Sleep(1000);
}
}
int qty = Convert.ToInt32(args[4]);
decimal price = Convert.ToDecimal(args[5]);
TimeInForce tif = TimeInForce.GoodTillCancel;
OptionInstrument instrument = new OptionInstrument()
{
InstrumentUrl = new Url <OptionInstrument>(instrumentData.SelectToken("url").ToString()),
Symbol = instrumentData.SelectToken("chain_symbol").ToString()
};
var newOptionOrderSingle = new NewOptionOrderSingle(instrument);
newOptionOrderSingle.AccountUrl = account.AccountUrl;
newOptionOrderSingle.Quantity = Math.Abs(qty);
newOptionOrderSingle.Side = qty > 0 ? Side.Buy : Side.Sell;
newOptionOrderSingle.TimeInForce = tif;
newOptionOrderSingle.OrderType = OrderType.Limit;
newOptionOrderSingle.Price = price;
var order = await rh.PlaceOptionOrder(newOptionOrderSingle);
//if (!String.IsNullOrEmpty(order.ErrorMessage))
// //MessageBox.Show(order.ErrorMessage);
//else
// //MessageBox.Show(string.Format("{0}\t{1}\t{2} x {3}\t{4}",
// //order.Side,
// //instrument.Symbol,
// //order.Quantity,
// //order.Price.HasValue ? order.Price.ToString() : "mkt",
// //order.State));
//if (!String.IsNullOrEmpty(order.RejectReason))
//{
// //MessageBox.Show(order.RejectReason);
//}
return(order);
}