/// <summary>
/// 计算期权持仓的delta值
/// </summary>
/// <param name="positionLast">最后持仓状态</param>
/// <param name="holdingStatus">记录的跨式期权情况</param>
/// <param name="today">今日日期</param>
/// <param name="dataToday">今日数据</param>
/// <param name="index">交易时间对应的下标</param>
/// <returns></returns>
private double computeOptionDelta(Dictionary <string, PositionsWithDetail> positionLast, StraddlePair holdingStatus, DateTime today, Dictionary <string, List <KLine> > dataToday, int index)
{
double delta = 0;
foreach (var item in positionLast)
{
if (item.Key == holdingStatus.callCodeFront)
{
var callDelta = ImpliedVolatilityUtilities.ComputeOptionDelta(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认购", ImpliedVolatilityUtilities.ComputeImpliedVolatility(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认购", dataToday[item.Key][index].close, dataToday["510050.SH"][index].close), dataToday["510050.SH"][index].close);
delta += holdingStatus.callPositionFront * callDelta;
}
if (item.Key == holdingStatus.putCodeFront)
{
var putDelta = ImpliedVolatilityUtilities.ComputeOptionDelta(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认沽", ImpliedVolatilityUtilities.ComputeImpliedVolatility(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDate) / 252.0, 0.04, 0, "认沽", dataToday[item.Key][index].close, dataToday["510050.SH"][index].close), dataToday["510050.SH"][index].close);
delta += holdingStatus.putPositionFront * putDelta;
}
if (item.Key == holdingStatus.callCodeNext)
{
var callDelta = ImpliedVolatilityUtilities.ComputeOptionDelta(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDateNext) / 252.0, 0.04, 0, "认购", ImpliedVolatilityUtilities.ComputeImpliedVolatility(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDateNext) / 252.0, 0.04, 0, "认购", dataToday[item.Key][index].close, dataToday["510050.SH"][index].close), dataToday["510050.SH"][index].close);
delta += holdingStatus.callPositionNext * callDelta;
}
if (item.Key == holdingStatus.putCodeNext)
{
var putDelta = ImpliedVolatilityUtilities.ComputeOptionDelta(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDateNext) / 252.0, 0.04, 0, "认沽", ImpliedVolatilityUtilities.ComputeImpliedVolatility(holdingStatus.strike, DateUtils.GetSpanOfTradeDays(today, holdingStatus.endDateNext) / 252.0, 0.04, 0, "认沽", dataToday[item.Key][index].close, dataToday["510050.SH"][index].close), dataToday["510050.SH"][index].close);
delta += holdingStatus.putPositionNext * putDelta;
}
}
return(delta);
}
/// <summary>
/// 估算未来的期权价格
/// </summary>
/// <param name="days"></param>
/// <param name="code"></param>
/// <param name="etfPrice"></param>
/// <returns></returns>
private double computeFuturePrice(int days, string code, double etfPrice)
{
double price = 0;
var option = OptionUtilities.getOptionByCode(optionList, code);
int x = Convert.ToInt32(optionPrice[code].duration - days);
int y = Convert.ToInt32(Math.Round(1000 * Math.Log(option.strike / etfPrice), 0) + 500);
double vol = volSurface[x, y];
price = ImpliedVolatilityUtilities.ComputeOptionPrice(option.strike, (optionPrice[code].duration - days) / 252.0, riskFreeRate, 0, option.optionType, vol, etfPrice);
return(price);
}
public void computeVol()
{
var etfPrice = dataList[ETF].last;
Console.Clear();
foreach (var code in dataListKey)
{
var option = dataList[code];
var optionCode = code;
if (optionCode != ETF && etfPrice != 0)
{
var info = optionInfo[optionCode];
var ask = option.ask1;
var bid = option.bid1;
var mid = (ask + bid) / 2;
var strike = info.strike;
var type = info.optionType;
var vol = ImpliedVolatilityUtilities.ComputeImpliedVolatility(strike: strike, duration: duartion / 252.0, riskFreeRate: rate, StockRate: 0, optionType: type, optionPrice: mid, underlyingPrice: etfPrice);
Console.WriteLine("本地时间：{2}，数据时间：{3},期权：{0},波动率：{1}", info.optionName, Math.Round(vol, 3), DateTime.Now.TimeOfDay.ToString("hhmmss"), option.time.ToString("hhmmss"));
}
}
}
private void computeImpv()
{
optionVol = new double[etfDailyData.Count()];
for (int i = startIndex; i < etfDailyData.Count(); i++)
{
DateTime today = etfDailyData[i].time;
double etfPrice = etfDailyData[i].close;
double volThisMonth;
double volNextMonth;
double duration;
//获取当日期限结构,选取当月合约
List <double> dateStructure = OptionUtilities.getDurationStructure(optionInfoList, today);
double duration0 = dateStructure[0] == 0 ? dateStructure[1] : dateStructure[0];
duration = duration0;
var call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
var callATM = call[0];
var callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today);
double callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
var put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
var putATM = put[0];
var putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today);
double putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
if (callImpv * putImpv == 0)
{
volThisMonth = callImpv + putImpv;
}
else
{
volThisMonth = (callImpv + putImpv) / 2;
}
//获取当日期限结构,选取下月合约,若下月合约不存在，就获取季月合约
double duration1 = dateStructure[0] == 0 ? dateStructure[2] : dateStructure[1];
duration = duration1;
call = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认购").OrderBy(x => Math.Abs(x.strike - etfPrice)).Where(x => x.startDate <= today).ToList();
callATM = call[0];
callPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(callATM.optionCode, today, today);
callImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(callATM.strike, duration / 252.0, 0.04, 0, callATM.optionType, callPrice[0].close, etfPrice);
put = OptionUtilities.getOptionListByOptionType(OptionUtilities.getOptionListByDuration(optionInfoList, today, duration), "认沽").OrderBy(x => Math.Abs(x.strike - callATM.strike)).ToList();
putATM = put[0];
putPrice = Platforms.container.Resolve <OptionDailyRepository>().fetchFromLocalCsvOrWindAndSave(putATM.optionCode, today, today);
putImpv = ImpliedVolatilityUtilities.ComputeImpliedVolatility(putATM.strike, duration / 252.0, 0.04, 0, putATM.optionType, putPrice[0].close, etfPrice);
if (callImpv * putImpv == 0)
{
volNextMonth = callImpv + putImpv;
}
else
{
volNextMonth = (callImpv + putImpv) / 2;
}
if (duration0 >= step)
{
optionVol[i] = Math.Sqrt(step / duration0) * volThisMonth;
}
else if ((duration0 < step && duration1 > step))
{
optionVol[i] = Math.Sqrt((duration1 - step) / (duration1 - duration0)) * volThisMonth + Math.Sqrt((step - duration0) / (duration1 - duration0)) * volNextMonth;
}
else if (duration1 <= step)
{
optionVol[i] = volNextMonth;
}
}
}
