private double getStockVolatility(List <StockTransaction> stockData)
{
double vol = 0;
List <double> close = new List <double>();
for (int i = 0; i < stockData.Count; i++)
{
close.Add(stockData[i].Close * stockData[i].AdjFactor);
}
vol = HistoricalVolatilityExtension.getHistoricalVolatilityByClosePrice(close);
return(vol);
}
private double getOptionDelta(DateTime date, string BondCode, string stockCode)
{
double delta = 0.5;
var bondInfo = getBondDailyInfo(date, BondCode);
int days = DateTimeExtension.DateUtils.GetSpanOfTradeDays(date, bondInfo.conversionEndDate);
double duration = (double)days / 252.0;
var stockList = getPreviousStockCloseList(date, stockCode, days);
var stockLastClose = stockList[stockList.Count() - 1];
double volatility = HistoricalVolatilityExtension.getHistoricalVolatilityByClosePrice(stockList);
double strike = bondInfo.conversionPrice;
delta = ImpliedVolatilityExtension.ComputeOptionDelta(strike, duration, 0.04, 0, "认购", volatility, stockLastClose);
return(delta);
}
private double getHisVol(DateTime today, int duration)
{
int index = 0;
List <double> priceNowList = new List <double>();
for (int i = 0; i < priceList.Count(); i++)
{
if (priceList[i].DateTime == today)
{
index = i;
break;
}
}
for (int i = index - duration - 1; i < index; i++)
{
priceNowList.Add(priceList[i].Close);
}
double vol = HistoricalVolatilityExtension.getHistoricalVolatilityByClosePrice(priceNowList);
return(vol);
}
private double getHistoricalVol(List <double> data)
{
return(HistoricalVolatilityExtension.getHistoricalVolatilityByClosePrice(data));
}
