internal void updateCQGDataStatus(String dataStatus, Color backColor, Color foreColor)
{
#if DEBUG
try
#endif
{
if (this.InvokeRequired)
{
this.BeginInvoke((MethodInvoker) delegate()
{
this.dataStatus.ForeColor = foreColor;
this.dataStatus.BackColor = backColor;
this.dataStatus.Text = dataStatus;
});
}
else
{
this.dataStatus.ForeColor = foreColor;
this.dataStatus.BackColor = backColor;
this.dataStatus.Text = dataStatus;
}
}
#if DEBUG
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
#endif
}
// The cumulative normal distribution function
public static double CND(double X)
{
try
{
double L, K, w;
double a1 = 0.31938153,
a2 = -0.356563782,
a3 = 1.781477937,
a4 = -1.821255978,
a5 = 1.330274429;
L = Math.Abs(X);
K = 1.0 / (1.0 + 0.2316419 * L);
w = 1.0 - 1.0 / Math.Sqrt(2.0 * Math.PI) * Math.Exp(-L * L / 2) * (a1 * K + a2 * K * K + a3
* Math.Pow(K, 3) + a4 * Math.Pow(K, 4) + a5 * Math.Pow(K, 5));
if (X < 0.0)
{
w = 1.0 - w;
}
return(w);
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut("OptionCalcs", ex);
}
return(0);
}
// The Black and Scholes (1973) Stock option formula
public static double blackScholes(char CallPutFlag, double S, double X, double T, double r, double v)
{
try
{
if (T == 0)
{
T = 0.0001;
}
double d1, d2;
d1 = (Math.Log(S / X) + (r + v * v / 2) * T) / (v * Math.Sqrt(T));
d2 = d1 - v * Math.Sqrt(T);
if (CallPutFlag == 'c' || CallPutFlag == 'C')
{
return(S * CND(d1) - X * Math.Exp(-r * T) * CND(d2));
}
else
{
return(X * Math.Exp(-r * T) * CND(-d2) - S * CND(-d1));
}
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut("OptionCalcs", ex);
}
return(0);
}
internal void initializeCQGAndCallbacks(Object obj)
{
try
{
// Create real CQGCEL object and put it into the dictionary
// Remark: we do not use "m_CEL = new CQG.CQGCEL();" to facilitate further reflection on this COM object
string typeName = "CQG.CQGCELClass";
m_CEL = (CQGCEL)CQGAssm.CreateInstance(typeName);
m_CEL_key = FakeCQG.Internal.Core.CreateUniqueKey();
FakeCQG.Internal.ServerDictionaries.PutObjectToTheDictionary(m_CEL_key, m_CEL);
QueryHandler.UsedObjs.Add(m_CEL_key, m_CEL);
m_CEL_CELDataConnectionChg(eConnectionStatus.csConnectionDown);
m_CEL.DataConnectionStatusChanged += new _ICQGCELEvents_DataConnectionStatusChangedEventHandler(m_CEL_CELDataConnectionChg);
m_CEL.DataError += new _ICQGCELEvents_DataErrorEventHandler(m_CEL_DataError);
m_CEL.APIConfiguration.ReadyStatusCheck = eReadyStatusCheck.rscOff;
m_CEL.APIConfiguration.CollectionsThrowException = false;
m_CEL.APIConfiguration.TimeZoneCode = eTimeZone.tzPacific;
connectCQG();
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
}
public static double ND(double X)
{
try
{
return(Math.Exp(-X * X / 2) / Math.Sqrt(2 * Math.PI));
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut("OptionCalcs", ex);
}
return(0);
}
private void m_CEL_DataError(System.Object cqg_error, System.String error_description)
{
try
{
if (mainForm != null)
{
mainForm.UpdateCQGDataStatus(
"CQG ERROR", Color.Yellow, Color.Red);
}
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
}
// The generalized Black and Scholes formula
//
// S - stock price
// X - strike price of option
// r - risk-free interest rate
// T - time to expiration in years
// v - volatility of the relative price change of the underlying stock price
// b - cost-of-carry
// b = r --> Black-Scholes stock option model
// b = 0 --> Black futures option model
// b = r-q --> Merton stock option model with continuous dividend yield q
// b = r - r(f) --> Garman-Kohlhagen currency option model, where r(f) is the risk-free rate of the foreign currency
//
// Examples:
// a) currency option
// T = 0.5, 6 month to expiry
// S = 1.56, USD/DEM exchange rate is 1.56
// X = 1.6, strike is 1.60
// r = 0.06, domestic interest rate in Germany is 6% per annum
// r(f) = 0.08, foreign risk-free interest rate in the U.S. is 8% per annum
// v = 0.12, volatility is 12% per annum
// c = 0.0291
public static double calculateOptionVolatility(char callPutFlag, double S, double X, double T, double r, double currentOptionPrice)
{
double tempV = 0.5;
try
{
if (T == 0)
{
T = 0.0001;
}
int i = 0;
//double tempV = 0.1;
double volInc = 0.5;
double priceTest;
//double diffBtwnTempPriceAndTruePrice = 999999;
int maxIter = 100;
while (i < maxIter)
{
priceTest = blackScholes(callPutFlag, S, X, T, r, tempV);
if (Math.Abs(currentOptionPrice - priceTest) < 0.01)
{
return(tempV);
}
else if (priceTest - currentOptionPrice > 0)
{
volInc /= 2;
tempV -= volInc;
}
else
{
volInc /= 2;
tempV += volInc;
}
i++;
}
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut("OptionCalcs", ex);
}
return(tempV);
}
// Vega for the generalized Black and Scholes formula
public static double gVega(double S, double X, double T, double r, double b, double v)
{
try
{
if (T == 0)
{
T = 0.0001;
}
double d1 = (Math.Log(S / X) + (b + Math.Pow(v, 2) / 2) * T) / (v * Math.Sqrt(T));
return(S * Math.Exp((b - r) * T) * ND(d1) * Math.Sqrt(T));
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut("OptionCalcs", ex);
}
return(0);
}
public static double calculateOptionVolatilityNRCalc(char callPutFlag, double S, double X, double T, double r, double currentOptionPrice,
double epsilon)
{
double vi = 0, ci, vegai, prevVi = 0;
double b = 0; //for futures b = 0;
try
{
if (T == 0)
{
T = 0.0001;
}
vi = Math.Sqrt(Math.Abs(Math.Log(S / X) + r * T) * 2 / T);
//vi = 0.5;
ci = blackScholes(callPutFlag, S, X, T, r, vi);
vegai = gVega(S, X, T, r, b, vi);
//epsilon = 0.0001;
//epsilon *= 2;
int maxIter = 100;
int i = 0;
prevVi = vi;
double priceDifference = Math.Abs(currentOptionPrice - ci);
double smallestPriceDifference = priceDifference;
//bool nanFail = false;
while (priceDifference > (epsilon / 10) && i < maxIter)
{
//if (vi <= prevVi && vi > 0 && ci > 0)
if (priceDifference < smallestPriceDifference &&
vi <= prevVi &&
vi > 0 && ci > 0)
{
prevVi = vi;
smallestPriceDifference = priceDifference;
}
//if (nanFail)
//{
// vi = Math.Abs(vi - (ci - currentOptionPrice) / vegai);
//}
//else
{
vi = Math.Abs(vi - (ci - currentOptionPrice) / vegai);
}
ci = blackScholes(callPutFlag, S, X, T, r, vi);
priceDifference = Math.Abs(currentOptionPrice - ci);
//if(double.IsNaN(ci))
//{
// vi = prevVi;
// priceDifference = smallestPriceDifference;
// //nanFail = true;
// //break;
//}
//else
//{
// priceDifference = Math.Abs(currentOptionPrice - ci);
// //nanFail = false;
//}
if (vi <= 0 || double.IsInfinity(vi) || double.IsNaN(vi))
{
vi = prevVi;
break;
}
vegai = gVega(S, X, T, r, b, vi);
//if (vegai <= 0.005)
//{
// TSErrorCatch.debugWriteOut(vi + " "
// + ci);
// break;
//}
//int vegaIter = 0;
//vegai = 0;
//double tempVi = vi;
//int signVi = 1;
//while (vegai == 0 && vegaIter < maxIter)
//{
// vegai = gVega(S, X, T, r, b, tempVi);
// if(vegai <= 0.005)
// {
// //Random random = new Random();
// //tempVi = tempVi + signVi * tempVi * random.NextDouble();
// //signVi *= -1;
// //vi = tempVi;
// }
// //else
// //{
// // break;
// //}
// vegaIter++;
//}
//if (vegaIter == maxIter && vegai == 0)
//if (vegai == 0)
//{
// vi = prevVi;
// break;
// //vegai = gVega(S, X, T, r, b, vi);
//}
i++;
}
if (i == maxIter)
{
vi = prevVi;
}
// TSErrorCatch.debugWriteOut(vi + " "
// + ci);
//return vi;
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut("OptionCalcs", ex);
}
//if (vi <= 0 || double.IsInfinity(vi) || double.IsNaN(vi))
//{
// vi = prevVi;
//}
vi = double.IsInfinity(vi) || vi < 0 || double.IsNaN(vi) ? 0 : vi;
return(vi);
}
private void m_CEL_CELDataConnectionChg(eConnectionStatus new_status)
{
StringBuilder connStatusString = new StringBuilder();
StringBuilder connStatusShortString = new StringBuilder();
Color connColor = Color.Red;
try
{
if (m_CEL.IsStarted)
{
connStatusString.Append("CQG API:");
connStatusString.Append(m_CEL.Environment.CELVersion);
connStatusShortString.Append("CQG:");
if (new_status != eConnectionStatus.csConnectionUp)
{
if (new_status == eConnectionStatus.csConnectionDelayed)
{
connColor = Color.BlanchedAlmond;
connStatusString.Append(" - CONNECTION IS DELAYED");
connStatusShortString.Append("DELAYED");
currConnStat = eConnectionStatus.csConnectionDelayed;
CQGEventHandlers._ICQGCELEvents_DataConnectionStatusChangedEventHandlerImpl(eConnectionStatus.csConnectionDelayed);
}
else
{
connStatusString.Append(" - CONNECTION IS DOWN");
connStatusShortString.Append("DOWN");
currConnStat = eConnectionStatus.csConnectionDown;
CQGEventHandlers._ICQGCELEvents_DataConnectionStatusChangedEventHandlerImpl(eConnectionStatus.csConnectionDelayed);
}
}
else
{
connColor = Color.LawnGreen;
connStatusString.Append(" - CONNECTION IS UP");
connStatusShortString.Append("UP");
currConnStat = eConnectionStatus.csConnectionUp;
CQGEventHandlers._ICQGCELEvents_DataConnectionStatusChangedEventHandlerImpl(eConnectionStatus.csConnectionUp);
}
}
else
{
connStatusString.Append("WAITING FOR API CONNECTION");
connStatusShortString.Append("WAITING");
}
if (mainForm != null)
{
mainForm.UpdateConnectionStatus(
connStatusString.ToString(), connColor);
}
}
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
}