private void ProcessCalculatedResult(optionPriceResult pricings, IOptionDetail optionToPrice)
{
try
{
if (pricings != null)
{
if (optionToPrice != null)
{
if (log.IsDebugEnabled)
{
log.Debug("delta: " + pricings.delta + ", gamma: " + pricings.gamma + ", theta: " + pricings.theta
+ ", vega: " + pricings.vega + ", price: " + pricings.price + ", Quantity: " + optionToPrice.Quantity
+ ", Type: " + (optionToPrice.IsCall ? "Call" : "Put"));
}
optionToPrice.PremiumAmount = pricings.price * optionToPrice.Quantity * (optionToPrice.Side == SideEnum.BUY ? -1 : 1);
optionToPrice.Delta = pricings.delta * optionToPrice.Quantity * (optionToPrice.Side == SideEnum.BUY ? 1 : -1);
optionToPrice.Gamma = optionToPrice.Quantity * pricings.gamma * (optionToPrice.Side == SideEnum.BUY ? 1 : -1); // long options => long gamma
optionToPrice.Theta = optionToPrice.Quantity * pricings.theta * (optionToPrice.Side == SideEnum.BUY ? 1 : -1); // long options => short theta
optionToPrice.Vega = optionToPrice.Quantity * pricings.vega * (optionToPrice.Side == SideEnum.BUY ? 1 : -1); // long options => long vega
optionToPrice.Rho = optionToPrice.Quantity * pricings.rho;
optionToPrice.ParentRequest.Delta += optionToPrice.Delta;
optionToPrice.ParentRequest.Gamma += optionToPrice.Gamma;
optionToPrice.ParentRequest.Vega += optionToPrice.Vega;
optionToPrice.ParentRequest.Theta += optionToPrice.Theta;
optionToPrice.ParentRequest.Rho += optionToPrice.Rho;
optionToPrice.ParentRequest.PremiumAmount += optionToPrice.PremiumAmount;
}
}
}
catch (Exception asyncException)
{
log.Error(asyncException.Message, asyncException);
}
}
public bool CalculatePricing(IOptionDetail optionToPrice)
{
if (optionToPrice == null)
{
throw new ArgumentNullException("optionToPrice");
}
try
{
if (CanCalculatePricing(optionToPrice.Strike, optionToPrice.Volatility, optionToPrice.UnderlyingPrice, optionToPrice.InterestRate, optionToPrice.DaysToExpiry, optionToPrice.DayCountConvention))
{
if (log.IsDebugEnabled)
{
log.Debug("strike: " + optionToPrice.Strike + ", volatility: " + optionToPrice.Volatility + ", underlying price: " + optionToPrice.UnderlyingPrice
+ ", interest rate: " + optionToPrice.InterestRate + ", days to expiry: " + optionToPrice.DaysToExpiry + ", DayCountConvention: "
+ optionToPrice.DayCountConvention + ", Type: " + (optionToPrice.IsEuropean ? "European " : "American ") + (optionToPrice.IsCall ? "Call" : "Put"));
}
ProcessCalculatedResult(pricerProxy.calculate(optionToPrice.Strike, optionToPrice.Volatility, optionToPrice.UnderlyingPrice, optionToPrice.DaysToExpiry,
optionToPrice.InterestRate, optionToPrice.IsCall, optionToPrice.IsEuropean, optionToPrice.DayCountConvention), optionToPrice);
}
return(true);
}
catch (Exception asyncException)
{
log.Error(asyncException.Message, asyncException);
return(false);
}
}
/// <summary>
/// Converts GUI formatted option leg of the RFQ into the web service format.
/// </summary>
/// <param name="requestForQuoteOptionLeg"> the GUI formatted RFQ's option leg to be converted.</param>
/// <returns> the web service formatted RFQ's option leg.</returns>
/// <exception cref="ArgumentNullException"> thrown if the GUI formatted RFQ's option leg is null.</exception>
private optionDetailImpl CreateServiceOptionLegFromRequestForQuoteLeg(IOptionDetail requestForQuoteOptionLeg)
{
if (requestForQuoteOptionLeg == null)
{
throw new ArgumentNullException("requestForQuoteOptionLeg");
}
if (Math.Abs(requestForQuoteOptionLeg.DayCountConvention - 0) < RequestForQuoteConstants.EPSILON)
{
throw new ArgumentException("DayCountConvention CANNOT BE ZERO");
}
return(new optionDetailImpl()
{
isCall = requestForQuoteOptionLeg.IsCall,
isEuropean = requestForQuoteOptionLeg.IsEuropean,
legId = requestForQuoteOptionLeg.LegId,
quantity = requestForQuoteOptionLeg.Quantity,
description = requestForQuoteOptionLeg.Description,
strikePercentage = requestForQuoteOptionLeg.StrikePercentage,
maturityDate = requestForQuoteOptionLeg.MaturityDate.ToShortDateString(),
tradeDate = requestForQuoteOptionLeg.TradeDate.ToShortDateString(),
yearsToExpiry = requestForQuoteOptionLeg.DaysToExpiry / requestForQuoteOptionLeg.DayCountConvention,
premiumPercentage = requestForQuoteOptionLeg.PremiumPercentage,
delta = requestForQuoteOptionLeg.Delta,
gamma = requestForQuoteOptionLeg.Gamma,
vega = requestForQuoteOptionLeg.Vega,
theta = requestForQuoteOptionLeg.Theta,
rho = requestForQuoteOptionLeg.Rho,
interestRate = requestForQuoteOptionLeg.InterestRate,
volatility = requestForQuoteOptionLeg.Volatility,
underlyingPrice = requestForQuoteOptionLeg.UnderlyingPrice,
dayCountConvention = requestForQuoteOptionLeg.DayCountConvention,
daysToExpiry = requestForQuoteOptionLeg.DaysToExpiry,
premium = requestForQuoteOptionLeg.PremiumAmount,
underlyingRIC = requestForQuoteOptionLeg.RIC,
strike = requestForQuoteOptionLeg.Strike,
side = requestForQuoteOptionLeg.Side.ToString(),
});
}