/*

* Option.cpp

*

* Created on: 22-Sep-2016

* Author: ashish

*/

#include "Option.h"

#include "eaBase.h"

#include "fmt/format.h"

namespace Underlying {

static const double TIME_IN_YEAR_SEC = (3600 * 24.0 * 252);

static const double rate = 0.04;

Option::Option(int index, EsteeMaster& e, closingPrice& p) : Future(index, e, p) { greeks = new eaGreeks(e.getEsteeID()); }

void Option::calculateIV(Future* f) {

auto spec = getSpec();

auto price = getPrice();

isCall = spec->Security_Type == 6 ? true : false;

strikePrice = spec->Strike_Price;

std::cout << spec->Expiry_Date << "\t" << price->_id.Date << std::endl;

timeToExpiry = (spec->Expiry_Date - price->_id.Date).total_seconds() / TIME_IN_YEAR_SEC;

lFuturePrice = f->getPrice()->Settlement_price;

interestRate = rate;

lOptionPrice = price->Settlement_price;

moneyness = lFuturePrice / strikePrice;

iv = eaBlackScholes::calculateIVUsingFuture(isCall, strikePrice, timeToExpiry, lFuturePrice, interestRate, lOptionPrice);

// std::cout << *this;

// Calculate all Greeks

if (iv > ea_DOUBLEMAX || iv < ea_DOUBLEMIN) {

// Dont dont anything

std::cout << "Implied Volatility is not correct";

return;

}

// calculate Greeks

greeks->delta = eaBlackScholes::blackScholesDelta(isCall, strikePrice, timeToExpiry, lFuturePrice, interestRate, iv);

greeks->gamma = eaBlackScholes::blackScholesGamma(isCall, strikePrice, timeToExpiry, lFuturePrice, interestRate, iv);

greeks->theta = eaBlackScholes::blackScholesTheta(isCall, strikePrice, timeToExpiry, lFuturePrice, interestRate, iv);

greeks->vega = eaBlackScholes::blackScholesVega(isCall, strikePrice, timeToExpiry, lFuturePrice, interestRate, iv);

greeks->rho = eaBlackScholes::blackScholesRho(isCall, strikePrice, timeToExpiry, lFuturePrice, interestRate, iv);

}

std::ostream& operator<<(std::ostream& s, const Option& o) {

return s << fmt::format("{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13}", o.getPrice()->_id.Date, o.getSpec()->Expiry_Date, o.isCall, o.strikePrice, o.timeToExpiry, o.lFuturePrice,

o.interestRate, o.lOptionPrice, o.iv, o.greeks->delta, o.greeks->gamma, o.greeks->theta, o.greeks->vega, o.greeks->rho);

}

}