public void ComputeVol(int date, int[] time)
{
if (date < 20150416)
{
IHList = null;//2015年4月16之前IH不存在。
}
if (date < 20150209)
{
optionList = null;//2015年2月9日之前50ETF期权不存在。
}
OptionInformation myOption = new OptionInformation(date);
optionList = myOption.GetOptionCodeByDate(date);
optionListInt = myOption.GetOptionNameByDate(date);
GetDataDaily myData = new GetDataDaily(date, IHList, optionList);
foreach (var time0 in time)
{
this.time = time0;
int index = TradeDays.TimeToIndex(time0);
ImpvCurveOfCallMid = new SortedDictionary <double, SortedDictionary <double, double> >();
ImpvCurveOfPutMid = new SortedDictionary <double, SortedDictionary <double, double> >();
ComputeVolDaily(myData, index);
string CsvName = "VolatilitySurfaceCallMid" + date.ToString() + time0.ToString() + ".csv";
SaveVolToCsv(CsvName, "call", "mid", ImpvCurveOfCallMid);
CsvName = "VolatilitySurfacePutMid" + date.ToString() + time0.ToString() + ".csv";
SaveVolToCsv(CsvName, "put", "mid", ImpvCurveOfPutMid);
}
}
/// <summary>
/// 计算隐含波动率
/// </summary>
/// <param name="myData">数据</param>
/// <param name="index">时间下标</param>
public void ComputeVolDaily(GetDataDaily myData, int index)
{
levelOne etfData = myData.dataDaily["510050.SH"][index];
foreach (int code in optionListInt)
{
string codeStr = code.ToString() + ".SH";
optionFormat option = OptionInformation.myOptionList[code];
levelOne optionData = myData.dataDaily[codeStr][index];
double duration = TradeDays.GetTimeSpan(date, option.endDate);
Impv vol = new Impv(option, optionData, etfData, duration);
double sigma = vol.computeVol();
GetCurve(option.strike, option.optionType, duration, sigma);
}
}
