public void Update(DateTime expiryDate, double strike, OptionType type, VolQuote volQuote)
{
VolExpiry existingExpiry = null;
if (this.VolExpiries.TryGetValue(expiryDate, out existingExpiry))
{
existingExpiry.Update(strike, type, volQuote);
}
else
{
VolExpiry volExpiry = new VolExpiry(expiryDate);
volExpiry.Update(strike, type, volQuote);
this.VolExpiries[expiryDate] = volExpiry;
}
}
private void BuildChart(DateTime expiry)
{
VolExpiry volExpiry = null;
double strikeMin = 9999.00;
double strikeMax = 0.00;
double volMin = 9999.00;
double volMax = 0.00;
if (this.VolSurface.VolExpiries.TryGetValue(expiry, out volExpiry))
{
foreach (VolStrike volStrike in volExpiry.VolStrikes.Values)
{
if (volStrike.VolCallQuote != null)
{
VolQuote volCallQuote = volStrike.VolCallQuote;
if (this.IsValid(volCallQuote.BidImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volCallQuote.BidImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["call_bid"].Points.AddXY(strike, vol);
}
if (this.IsValid(volCallQuote.AskImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volCallQuote.AskImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["call_ask"].Points.AddXY(strike, vol);
}
}
if (volStrike.VolPutQuote != null)
{
VolQuote volPutQuote = volStrike.VolPutQuote;
if (this.IsValid(volPutQuote.BidImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volPutQuote.BidImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["put_bid"].Points.AddXY(strike, vol);
}
if (this.IsValid(volPutQuote.AskImpliedVolatility))
{
double strike = volStrike.Strike;
strikeMin = Math.Min(strikeMin, strike);
strikeMax = Math.Max(strikeMax, strike);
double vol = volPutQuote.AskImpliedVolatility * 100;
volMin = Math.Min(volMin, vol);
volMax = Math.Max(volMax, vol);
chart1.Series["put_ask"].Points.AddXY(strike, vol);
}
}
}
}
chart1.ChartAreas[0].AxisX.Minimum = Math.Floor(strikeMin);
chart1.ChartAreas[0].AxisX.Maximum = Math.Ceiling(strikeMax);
chart1.ChartAreas[0].AxisX.Interval = 1;
chart1.ChartAreas[0].AxisY.Minimum = Math.Floor(volMin);
chart1.ChartAreas[0].AxisY.Maximum = Math.Ceiling(volMax);
chart1.ChartAreas[0].AxisY.Interval = 5;
}
