Realtime Greeks (#44)

* partial securitydata * Security data cache done. need data cache general still * Pass the option collection up * start data cache * shell methods * progress * nullability * more * delegate cleanup * Allow supplemental data update logic * gets done * builds. time to test data structures * composite sample app * covariance * create new ones * internal data cache implementation * internalize internal sets * Allow 2 configs at the same time. Giggity. * overflow bug * optional candle * checkpoint * partial cleanup * Compile but need values filled from api * greek supplementary data fetch * greek sample app * tweak dividend call * nullability * hookups * working * perf improvements * more hooks * back to default sample app * braces formatting * more formatting * unused var * integrate the cache * No async (#45) * WIP on SMS/RealtimeGreeks * composite sample app * unused field * stack only greek struct * nullability * Plugin for consolidation of hookups * add doc comments * Startup load, and offload the followup event without using closure * troubleshoot httpclient interferring with websocket * cleanup and doc part 1 * more doc updates * start on readme * readme * detail
intrinio · Oct 24, 2024 · 94f5221 · 94f5221
1 parent ac56c1a
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diff --git a/Intrinio.Realtime/CandleStick.cs b/Intrinio.Realtime/CandleStick.cs
@@ -6,7 +6,6 @@ namespace Intrinio.Realtime;
 
 public abstract class CandleStick
 {
-    private readonly string _contract;
     private readonly double _openTimestamp;
     private readonly double _closeTimestamp;
     private readonly IntervalType _interval;

diff --git a/Intrinio.Realtime/Composite/BlackScholesGreekCalculator.cs b/Intrinio.Realtime/Composite/BlackScholesGreekCalculator.cs
@@ -0,0 +1,209 @@
+using System;
+using System.Runtime.CompilerServices;
+
+namespace Intrinio.Realtime.Composite;
+
+public static class BlackScholesGreekCalculator
+{
+    private const double LOW_VOL = 0.0D;
+    private const double HIGH_VOL = 5.0D;
+    private const double VOL_TOLERANCE = 0.0001D;
+    private const double MIN_Z_SCORE = -8.0D;
+    private const double MAX_Z_SCORE = 8.0D;
+
+
+    public static Greek Calculate( double riskFreeInterestRate, 
+                                    double dividendYield, 
+                                    Intrinio.Realtime.Equities.Trade underlyingTrade,
+                                    Intrinio.Realtime.Options.Trade latestOptionTrade, 
+                                    Intrinio.Realtime.Options.Quote latestOptionQuote) 
+    {
+        if (latestOptionQuote.AskPrice <= 0.0D || latestOptionQuote.BidPrice <= 0.0D)
+            return new Greek(0.0D, 0.0D, 0.0D, 0.0D, 0.0D, false);
+        if (riskFreeInterestRate <= 0.0D)
+            return new Greek(0.0D, 0.0D, 0.0D, 0.0D, 0.0D, false);;
+
+        bool isPut = latestOptionTrade.IsPut();
+        double underlyingPrice = underlyingTrade.Price;
+        double strike = latestOptionTrade.GetStrikePrice();
+        double daysToExpiration = GetDaysToExpiration(latestOptionTrade, latestOptionQuote);
+        double marketPrice = (latestOptionQuote.AskPrice + latestOptionQuote.BidPrice) / 2.0D;
+        double impliedVolatility = CalcImpliedVolatility(isPut, underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice);
+        double sigma = impliedVolatility;
+        double delta = CalcDelta(isPut, underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma);
+        double gamma = CalcGamma(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma);
+        double theta = CalcTheta(isPut, underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma);
+        double vega = CalcVega(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma);
+
+        return new Greek(impliedVolatility, delta, gamma, theta, vega, true);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcImpliedVolatilityCall(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice) 
+    {
+        double low = LOW_VOL, high = HIGH_VOL;
+        while ((high - low) > VOL_TOLERANCE)
+        {
+            if (CalcPriceCall(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, (high + low) / 2.0D, dividendYield) > marketPrice)
+                high = (high + low) / 2.0D;
+            else
+                low = (high + low) / 2.0D;
+        }
+
+        return (high + low) / 2.0D;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcImpliedVolatilityPut(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice) 
+    {
+        double low = LOW_VOL, high = HIGH_VOL;
+        while ((high - low) > VOL_TOLERANCE)
+        {
+            if (CalcPricePut(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, (high + low) / 2.0D, dividendYield) > marketPrice)
+                high = (high + low) / 2.0D;
+            else
+                low = (high + low) / 2.0D;
+        }
+
+        return (high + low) / 2.0D;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcImpliedVolatility(bool isPut, double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice)
+    {
+        return isPut 
+            ? CalcImpliedVolatilityPut(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice) 
+            : CalcImpliedVolatilityCall(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcDeltaCall(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        return NormalSDist( D1( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) );
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcDeltaPut(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        return CalcDeltaCall( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma) - 1;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcDelta(bool isPut, double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        return isPut
+            ? CalcDeltaPut(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma)
+            : CalcDeltaCall(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcGamma(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        return Phi( D1( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) ) / ( underlyingPrice * sigma * System.Math.Sqrt(daysToExpiration) );
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcThetaCall(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        double term1 = underlyingPrice * Phi( D1( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) ) * sigma / ( 2.0D * System.Math.Sqrt(daysToExpiration) );
+        double term2 = riskFreeInterestRate * strike * System.Math.Exp(-1.0D * riskFreeInterestRate * daysToExpiration) * NormalSDist( D2( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) );
+        return ( -term1 - term2 ) / 365.25D;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcThetaPut(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        double term1 = underlyingPrice * Phi( D1( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) ) * sigma / ( 2.0D * System.Math.Sqrt(daysToExpiration) );
+        double term2 = riskFreeInterestRate * strike * System.Math.Exp(-1.0D * riskFreeInterestRate * daysToExpiration) * NormalSDist( - D2( underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) );
+        return ( -term1 + term2 ) / 365.25D;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcTheta(bool isPut, double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        return isPut
+            ? CalcThetaPut(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma)
+            : CalcThetaCall(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, dividendYield, marketPrice, sigma);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcVega(double underlyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double dividendYield, double marketPrice, double sigma)
+    {
+        return 0.01D * underlyingPrice * System.Math.Sqrt(daysToExpiration) * Phi(D1(underlyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double D1(double underylyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double sigma, double dividendYield)
+    {
+        double numerator = ( System.Math.Log(underylyingPrice / strike) + (riskFreeInterestRate - dividendYield + 0.5D * System.Math.Pow(sigma, 2.0D) ) * daysToExpiration);
+        double denominator = ( sigma * System.Math.Sqrt(daysToExpiration));
+        return numerator / denominator;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double D2(double underylyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double sigma, double dividendYield)
+    {
+        return D1( underylyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield ) - ( sigma * System.Math.Sqrt(daysToExpiration) );
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double NormalSDist(double z)
+    {
+        if (z < MIN_Z_SCORE)
+            return 0.0D;
+        if (z > MAX_Z_SCORE)
+            return 1.0D;
+        double i = 3.0D, sum = 0.0D, term = z;
+        while ((sum + term) != sum)
+        {
+            sum += term;
+            term = term * z * z / i;
+            i += 2.0D;
+        }
+        return 0.5D + sum * Phi(z);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double Phi(double x)
+    {
+        double numerator = System.Math.Exp(-1.0D * x*x / 2.0D);
+        double denominator = System.Math.Sqrt(2.0D * System.Math.PI);
+        return numerator / denominator;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcPriceCall(double underylyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double sigma, double dividendYield)
+    {
+        double d1 = D1( underylyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield );
+        double discountedUnderlying = System.Math.Exp(-1.0D * dividendYield * daysToExpiration) * underylyingPrice;
+        double probabilityWeightedValueOfBeingExercised = discountedUnderlying * NormalSDist( d1 );
+
+        double d2 = d1 - ( sigma * System.Math.Sqrt(daysToExpiration) );
+        double discountedStrike = System.Math.Exp(-1.0D * riskFreeInterestRate * daysToExpiration) * strike;
+        double probabilityWeightedValueOfDiscountedStrike = discountedStrike * NormalSDist( d2 );
+
+        return probabilityWeightedValueOfBeingExercised - probabilityWeightedValueOfDiscountedStrike;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double CalcPricePut(double underylyingPrice, double strike, double daysToExpiration, double riskFreeInterestRate, double sigma, double dividendYield)
+    {
+        double d2 = D2( underylyingPrice, strike, daysToExpiration, riskFreeInterestRate, sigma, dividendYield );
+        double discountedStrike = strike * System.Math.Exp(-1.0D * riskFreeInterestRate * daysToExpiration);
+        double probabiltityWeightedValueOfDiscountedStrike = discountedStrike * NormalSDist( -1.0D * d2 );
+
+        double d1 = d2 + ( sigma * System.Math.Sqrt(daysToExpiration) );
+        double discountedUnderlying = underylyingPrice * System.Math.Exp(-1.0D * dividendYield * daysToExpiration);
+        double probabilityWeightedValueOfBeingExercised = discountedUnderlying * NormalSDist( -1.0D * d1 );
+
+        return probabiltityWeightedValueOfDiscountedStrike - probabilityWeightedValueOfBeingExercised;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double GetDaysToExpiration(Intrinio.Realtime.Options.Trade latestOptionTrade, Intrinio.Realtime.Options.Quote latestOptionQuote)
+    {
+        double latestActivity = System.Math.Max(latestOptionTrade.Timestamp, latestOptionQuote.Timestamp);
+        double expiration = (latestOptionTrade.GetExpirationDate() - DateTime.UnixEpoch.ToUniversalTime()).TotalSeconds;
+        return (expiration - latestActivity) / 86400.0D; //86400 is seconds in a day
+    }
+}