/// <summary>
/// Prices the specified stock trade.
/// </summary>
/// <param name="trade">The stock trade.</param>
/// <param name="market">The market.</param>
/// <param name="result">The result.</param>
public void Price(ITrade trade, IMarketData market, IResult result)
{
var stock = (Stock)trade;
result.AddValue(stock.Amount * market.StockPrice);
result.AddDelta(stock.Amount);
}
/// <summary>
/// Prices the Option trade.
/// </summary>
/// <param name="trade">The trade.</param>
/// <param name="market">The market.</param>
/// <param name="result">The result.</param>
public void Price(ITrade trade, IMarketData market, IResult result)
{
var option = (Option)trade;
var optionResult = _optionResults.FirstOrDefault(x => x.Contract.Equals(option.Contract));
if (optionResult != null)
{
result.AddDelta(optionResult.BaseResult.Delta * (option.Notional / optionResult.Contract.BaseNotional));
result.AddValue(optionResult.BaseResult.Value * (option.Notional / optionResult.Contract.BaseNotional));
}
}
/// <summary>
/// Prices the specified Option trade.
/// </summary>
/// <param name="trade">The trade.</param>
/// <param name="market">The market.</param>
/// <param name="result">The result.</param>
/// <exception cref="System.Exception">Unrecognized Option type.</exception>
public void Price(ITrade trade, IMarketData market, IResult result)
{
var option = (Option)trade;
var spot = market.StockPrice;
var strike = option.Contract.Strike;
var ivol = market.VolSurface.Vol(option.Contract.Maturity - market.Time, strike);
var years = (option.Contract.Maturity - market.Time).TotalDays / 365.0;
var d1 = (Math.Log(spot / strike) + ivol * ivol * years / 2.0) / (ivol * Math.Sqrt(years));
var d2 = d1 - ivol * Math.Sqrt(years);
var nD1 = NormalDistribution.CDF(d1);
var nD2 = NormalDistribution.CDF(d2);
double value, delta;
switch (option.Contract.OptionType)
{
case OptionContract.Type.Call:
{
value = spot * nD1 - strike * nD2;
delta = nD1;
break;
}
case OptionContract.Type.Put:
{
value = strike * (1.0 - nD2) - spot * (1.0 - nD1);
delta = -(1.0 - nD1);
break;
}
default:
throw new Exception("Unrecognized Option type.");
}
result.AddValue(option.Notional * value);
result.AddDelta(option.Notional * delta);
}
/// <summary>
/// Prices the specified cash.
/// </summary>
/// <param name="trade">The cash.</param>
/// <param name="market">The market.</param>
/// <param name="result">The result.</param>
public void Price(ITrade trade, IMarketData market, IResult result)
{
var cash = (Cash)trade;
result.AddValue(cash.Amount);
}
