private double?GetStrikePriceForLegOld(OptionChain chain, StrategyLeg leg, DateAndNumberOfDaysUntil date)
{
if (leg == null || leg.LegType == LegType.Security)
{
return(null);
}
IList <double> strikePrices = chain.GetStrikePrices(date);
if (leg.BuyOrSell == BuyOrSell.Buy)
{
double strikePrice = leg.LegType == LegType.Call ?
strikePrices.LastAndIndex(d => d < chain.UnderlyingCurrentPrice).Item2 :
strikePrices.FirstAndIndex(d => d > chain.UnderlyingCurrentPrice).Item2;
return(strikePrice);
}
else
{
List <DateAndStandardDeviation> stdDevs = _predictionAndStdDevService.GetExpiriesAndStandardDeviations(chain, chain.ExpirationDates, 1.0);
DateAndStandardDeviation stdDevPricesForCurrentExpiry = stdDevs.Single(d => d.DateAndNumberOfDaysUntil.FutureDate.Equals(date.FutureDate));
double strikePrice = leg.LegType == LegType.Call
? strikePrices.GetClosest(stdDevPricesForCurrentExpiry.StdDev.UpPrice)
: strikePrices.GetClosest(stdDevPricesForCurrentExpiry.StdDev.DownPrice);
return(strikePrice);
}
}
public List <DateAndStandardDeviationViewModel> GetExpiriesAndStandardDeviations(string symbol, double sd, double?volatility)
{
OptionChain optionChain = GetOptionChainWithPredefinedVolatility(symbol, volatility);
List <DateAndStandardDeviation> expiryAndStandardDeviation = _predictionAndStdDevService.GetExpiriesAndStandardDeviations(optionChain,
optionChain.ExpirationDates, sd);
List <DateAndStandardDeviationViewModel> viewModel =
Mapper.Map <List <DateAndStandardDeviation>, List <DateAndStandardDeviationViewModel> >(expiryAndStandardDeviation);
return(viewModel);
}
