private void PlusCount(ExpirationDate expD)
{
int idx = ExpirationDates.IndexOf(expD);
expD.Count++;
ExpirationDates[idx] = expD;
}
private void MinusCount(ExpirationDate expD)
{
if (expD.Count > 0)
{
int idx = ExpirationDates.IndexOf(expD);
expD.Count--;
ExpirationDates[idx] = expD;
}
}
/// <summary>
/// Get expire dates with days to expire closest to daysInFuture
/// </summary>
public void GetClosestExpiryDatesToDaysInFeature(double daysInFuture, out DateAndNumberOfDaysUntil low, out DateAndNumberOfDaysUntil highOrEqual)
{
Tuple <int, DateAndNumberOfDaysUntil> lastSmaler = ExpirationDates.LastAndIndex(e => e.TotalNumberOfDaysUntilExpiry < daysInFuture);
Tuple <int, DateAndNumberOfDaysUntil> firstBigger = ExpirationDates.FirstAndIndex(e => e.TotalNumberOfDaysUntilExpiry >= daysInFuture);
low = lastSmaler.Item1 == -1
? ExpirationDates[0]
: lastSmaler.Item2;
highOrEqual = firstBigger.Item1 == -1
? ExpirationDates[ExpirationDates.Count - 1]
: firstBigger.Item2;
}
private double GetVolatilityForPrediction(IReadOnlyList <OptionPair> optionPairs, double daysInFuture)
{
double volatility;
// if there are dates with NumOfDaysUntilExpired == daysInFuture
// the volatility is calculated as average impliedVolatility from options with this date
DateAndNumberOfDaysUntil futureExpiry = ExpirationDates.FirstOrDefault(date => date.TotalNumberOfDaysUntilExpiry.AlmostEqual(daysInFuture));
if (futureExpiry != null)
{
List <OptionPair> chainsWithExpiry = optionPairs.Where(chain => chain.Expiry == futureExpiry).ToList();
volatility = GetAverageVolatilityFromAtTheMoneyOption(chainsWithExpiry);
return(volatility);
}
DateAndNumberOfDaysUntil sigma1Date, sigma2Date;
GetClosestExpiryDatesToDaysInFeature(daysInFuture, out sigma1Date, out sigma2Date);
if (sigma1Date.FutureDate == sigma2Date.FutureDate)
{
List <OptionPair> chainsWithExpiry = optionPairs.Where(chain => chain.Expiry == sigma1Date).ToList();
volatility = GetAverageVolatilityFromAtTheMoneyOption(chainsWithExpiry);
return(volatility);
}
List <OptionPair> optionChainsSigma1 = optionPairs.Where(chain => chain.Expiry == sigma1Date).ToList();
List <OptionPair> optionChainsSigma2 = optionPairs.Where(chain => chain.Expiry == sigma2Date).ToList();
double sigma1 = GetAverageVolatilityFromAtTheMoneyOption(optionChainsSigma1);
double sigma2 = GetAverageVolatilityFromAtTheMoneyOption(optionChainsSigma2);
double n1 = sigma1Date.TotalNumberOfDaysUntilExpiry;
double n2 = sigma2Date.TotalNumberOfDaysUntilExpiry;
volatility = Math.Sqrt(365.0 / daysInFuture *
((n1 / 365.0 * sigma1 * sigma1) * (n2 - daysInFuture) / (n2 - n1) +
n2 / 365.0 * sigma2 * sigma2 * (daysInFuture - n1) / (n2 - n1)));
return(volatility);
}
public string Validate()
{
// check sum of the items which have an expiration date and compare it with the item count
return(NumItems == ExpirationDates.Sum(x => x.NumItems) ? null :
"Son kullanma tarihi listesindeki ürünlerin sayısı stoktaki toplam ürün sayısından farklı.\nLütfen düzeltip tekrar deneyin.");
}
