140 lines
5.8 KiB
C#
140 lines
5.8 KiB
C#
using Qdp.ComputeService.Data.CommonModels.ValuationParams.Equity;
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using Qdp.Foundation.Implementations;
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using YLErp.Abstract;
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using YLErp.BLL.Calculation;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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/// <summary>
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/// 隐含波动率计算服务
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/// </summary>
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public class ImpliedVolCalcService
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{
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/// <summary>
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/// 根据权利金计算隐含波动率
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/// </summary>
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/// <param name="premium">期权单价</param>
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/// <param name="valueDate">计算日期</param>
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public static double ImpliedVolFromPremium(
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double premium,
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DateTime valueDate,
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string underlyingTicker,
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string underlyingInstrumentType,
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double strike,
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DateTime startDate,
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DateTime endDate,
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string optionType,
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string exerciseType,
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double spotPrice,
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double notional,
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double riskFreeRate,
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string tradeType,
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DateTime exerciseDate,
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double participationRate,
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double principalRate,
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bool isAnnualized,
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double annualizeFactor,
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double dividendRate = 0.0,
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bool isMoneynessOption = false,
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double initialSpotPrice = 0.0,
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Dictionary<Date, double> dividends = null,
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bool hasNightMarket = false,
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bool preciseTimeMode = false,
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double ttmDays = double.NaN, IVolatility volatility = null)
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{
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var optionTradeParam = new VanillaOptionTradeParam
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{
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annualizedFactor = annualizeFactor,
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buysell = tradeType,
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preciseTimeMode = preciseTimeMode,
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dividendRate = dividendRate,
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dividends = dividends,
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endDate = endDate,
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exerciseDate = exerciseDate,
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exerciseType = exerciseType,
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hasNightMarket = hasNightMarket,
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initialSpotPrice = initialSpotPrice,
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isAnnualized = isAnnualized,
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isMoneynessOption = isMoneynessOption,
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notional = notional,
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optionType = QdpConverter.ConvertOptionType(optionType),
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participationRate = participationRate,
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principalRate = principalRate,
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riskFreeRate = riskFreeRate,
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settlementDate = exerciseDate,
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startDate = startDate,
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strike = strike,
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timeToMaturityDays = ttmDays,
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tradeDate = startDate,
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underlyingInstrumentType = underlyingInstrumentType,
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underlyingTickers = new[] { underlyingTicker },
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tradeId = null,
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volSurfaceNames = null,
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isForwardTrade = false
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};
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return ImpliedVolFromPremium(premium, valueDate, optionTradeParam, spotPrice, volatility);
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}
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/// <summary>
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/// 根据权利金计算隐含波动率
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/// </summary>
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/// <param name="premium">期权单价</param>
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/// <param name="valueDate">计算日期</param>
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/// <param name="optionTradeParam">期权要素</param>
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/// <param name="spotPrice">标的现价</param>
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public static double ImpliedVolFromPremium(double premium, DateTime valueDate
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, VanillaOptionTradeParam optionTradeParam, double spotPrice, IVolatility volatility = null)
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{
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//在计算ImpliedVol时，提前处理strike，然后都当做非MoneynessOption处理
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if (optionTradeParam.isMoneynessOption)
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{
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optionTradeParam.isMoneynessOption = false;
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optionTradeParam.strike *= optionTradeParam.initialSpotPrice;
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}
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if (optionTradeParam.volSurfaceNames == null || !optionTradeParam.volSurfaceNames.Any())
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{
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optionTradeParam.volSurfaceNames = new[] { Guid.NewGuid().ToString() };
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}
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var volSurfaceName = optionTradeParam.volSurfaceNames[0];
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if (optionTradeParam.underlyingTickers == null || !optionTradeParam.underlyingTickers.Any())
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{
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throw new Exception("缺少标的代码");
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}
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var underlyingTicker = optionTradeParam.underlyingTickers[0];
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optionTradeParam.buysell = "买入";
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var optionTrade = QdpTradeBuilder.GetVanillaOptionTrade(optionTradeParam);
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using (var marketProxy = new MarketProxy(valueDate, optionTradeParam.riskFreeRate))
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{
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//设置标的价格
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marketProxy.SetStockPrice(underlyingTicker, spotPrice);
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marketProxy.SetVolSurface(volSurfaceName, volatility ?? QdpVolHelper.GetDefaultVolatility(0.3));
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OptionValuationParameters parameters;
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if (optionTradeParam.underlyingInstrumentType == ConsGlobal.InstrumentType.Stock)
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{
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//设置DividendCurve
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var dividendCurveName = Guid.NewGuid().ToString();
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var dividendCurve = CalculatorHelper.CreateConstantRiskFreeCurve(dividendCurveName, optionTradeParam.dividendRate);
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marketProxy.SetYieldCurve(dividendCurveName, dividendCurve);
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parameters = new OptionValuationParameters(marketProxy.DiscountCurveName, dividendCurveName, volSurfaceName, underlyingTicker);
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}
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else
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{
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parameters = new OptionValuationParameters(marketProxy.DiscountCurveName, MarketProxy.ConstantZeroCurve, volSurfaceName, underlyingTicker);
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}
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return optionTrade.ImpliedVolFromPremium(premium, marketProxy.QdpMarket, parameters);
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}
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}
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}
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}
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