/// <summary>
/// Рассчитать вегу опциона.
/// </summary>
/// <param name="currentTime">Текущее время.</param>
/// <param name="deviation">Стандартное отклонение. Если оно не указано, то используется <see cref="DefaultDeviation"/>.</param>
/// <param name="assetPrice">Цена базового актива. Если цена не указана, то получается цена последней сделки из <see cref="UnderlyingAsset"/>.</param>
/// <returns>Вега опциона.</returns>
public virtual decimal Vega(DateTimeOffset currentTime, decimal?deviation = null, decimal?assetPrice = null)
{
assetPrice = GetAssetPrice(assetPrice);
var timeToExp = GetExpirationTimeLine(currentTime);
return(TryRound(DerivativesHelper.Vega(assetPrice.Value, timeToExp, D1(deviation ?? DefaultDeviation, assetPrice.Value, timeToExp))));
}
/// <summary>
/// Рассчитать ро опциона.
/// </summary>
/// <param name="currentTime">Текущее время.</param>
/// <param name="deviation">Стандартное отклонение. Если оно не указано, то используется <see cref="DefaultDeviation"/>.</param>
/// <param name="assetPrice">Цена базового актива. Если цена не указана, то получается цена последней сделки из <see cref="UnderlyingAsset"/>.</param>
/// <returns>Ро опциона.</returns>
public virtual decimal Rho(DateTimeOffset currentTime, decimal?deviation = null, decimal?assetPrice = null)
{
deviation = deviation ?? DefaultDeviation;
assetPrice = GetAssetPrice(assetPrice);
var timeToExp = GetExpirationTimeLine(currentTime);
return(TryRound(DerivativesHelper.Rho(OptionType, Option.Strike, assetPrice.Value, RiskFree, deviation.Value, timeToExp, D1(deviation.Value, assetPrice.Value, timeToExp))));
}
private decimal?GetExpRate(DateTimeOffset currentTime)
{
var timeLine = GetExpirationTimeLine(currentTime);
if (timeLine == null)
{
return(null);
}
return((decimal)DerivativesHelper.ExpRate(RiskFree, timeLine.Value));
}
/// <summary>
/// Рассчитать дельту опциона.
/// </summary>
/// <param name="currentTime">Текущее время.</param>
/// <param name="deviation">Стандартное отклонение. Если оно не указано, то используется <see cref="DefaultDeviation"/>.</param>
/// <param name="assetPrice">Цена базового актива. Если цена не указана, то получается цена последней сделки из <see cref="UnderlyingAsset"/>.</param>
/// <returns>Дельта опциона. Если значение равно <see langword="null"/>, то расчет значения в данный момент невозможен.</returns>
public virtual decimal?Delta(DateTimeOffset currentTime, decimal?deviation = null, decimal?assetPrice = null)
{
assetPrice = GetAssetPrice(assetPrice);
if (assetPrice == null)
{
return(null);
}
return(TryRound(DerivativesHelper.Delta(OptionType, assetPrice.Value, D1(deviation ?? DefaultDeviation, assetPrice.Value, GetExpirationTimeLine(currentTime)))));
}
/// <summary>
/// Рассчитать премию опциона.
/// </summary>
/// <param name="currentTime">Текущее время.</param>
/// <param name="deviation">Стандартное отклонение. Если оно не указано, то используется <see cref="DefaultDeviation"/>.</param>
/// <param name="assetPrice">Цена базового актива. Если цена не указана, то получается цена последней сделки из <see cref="UnderlyingAsset"/>.</param>
/// <returns>Премия опциона. Если значение равно <see langword="null"/>, то расчет значения в данный момент невозможен.</returns>
public virtual decimal?Premium(DateTimeOffset currentTime, decimal?deviation = null, decimal?assetPrice = null)
{
deviation = deviation ?? DefaultDeviation;
assetPrice = GetAssetPrice(assetPrice);
if (assetPrice == null)
{
return(null);
}
var timeToExp = GetExpirationTimeLine(currentTime);
return(TryRound(DerivativesHelper.Premium(OptionType, GetStrike(), assetPrice.Value, RiskFree, Dividend, deviation.Value, timeToExp, D1(deviation.Value, assetPrice.Value, timeToExp))));
}
/// <summary>
/// To calculate the option gamma.
/// </summary>
/// <param name="currentTime">The current time.</param>
/// <param name="deviation">The standard deviation. If it is not specified, then <see cref="BlackScholes.DefaultDeviation"/> is used.</param>
/// <param name="assetPrice">The price of the underlying asset. If the price is not specified, then the last trade price getting from <see cref="BlackScholes.UnderlyingAsset"/>.</param>
/// <returns>The option gamma. If the value is equal to <see langword="null" />, then the value calculation currently is impossible.</returns>
public virtual decimal?Gamma(DateTimeOffset currentTime, decimal?deviation = null, decimal?assetPrice = null)
{
deviation = deviation ?? DefaultDeviation;
assetPrice = GetAssetPrice(assetPrice);
if (assetPrice == null)
{
return(null);
}
var timeToExp = GetExpirationTimeLine(currentTime);
if (timeToExp == null)
{
return(null);
}
return(TryRound(DerivativesHelper.Gamma(assetPrice.Value, deviation.Value, timeToExp.Value, D1(deviation.Value, assetPrice.Value, timeToExp.Value))));
}
private decimal GetExpRate(DateTimeOffset currentTime)
{
return((decimal)DerivativesHelper.ExpRate(RiskFree, GetExpirationTimeLine(currentTime)));
}
/// <summary>
/// Рассчитать параметр d1 определения вероятности исполнения опциона.
/// </summary>
/// <param name="deviation">Стандартное отклонение.</param>
/// <param name="assetPrice">Цена базового актива.</param>
/// <param name="timeToExp">Период опциона до экспирации.</param>
/// <returns>Параметр d1.</returns>
protected override double D1(decimal deviation, decimal assetPrice, double timeToExp)
{
return(DerivativesHelper.D1(assetPrice, Option.Strike, 0, 0, deviation, timeToExp));
}
/// <summary>
/// To calculate the d1 parameter of the option fulfilment probability estimating.
/// </summary>
/// <param name="deviation">Standard deviation.</param>
/// <param name="assetPrice">Underlying asset price.</param>
/// <param name="timeToExp">The option period before the expiration.</param>
/// <returns>The d1 parameter.</returns>
protected virtual double D1(decimal deviation, decimal assetPrice, double timeToExp)
{
return(DerivativesHelper.D1(assetPrice, GetStrike(), RiskFree, Dividend, deviation, timeToExp));
}
/// <summary>
/// To calculate the implied volatility.
/// </summary>
/// <param name="currentTime">The current time.</param>
/// <param name="premium">The option premium.</param>
/// <returns>The implied volatility. If the value is equal to <see langword="null" />, then the value calculation currently is impossible.</returns>
public virtual decimal?ImpliedVolatility(DateTimeOffset currentTime, decimal premium)
{
//var timeToExp = GetExpirationTimeLine();
return(TryRound(DerivativesHelper.ImpliedVolatility(premium, diviation => Premium(currentTime, diviation))));
}
/// <summary>
/// The time before expiration calculation.
/// </summary>
/// <param name="currentTime">The current time.</param>
/// <returns>The time remaining until expiration. If the value is equal to <see langword="null" />, then the value calculation currently is impossible.</returns>
public virtual double?GetExpirationTimeLine(DateTimeOffset currentTime)
{
return(DerivativesHelper.GetExpirationTimeLine(Option.GetExpirationTime(), currentTime));
}
