Meganerd (Все сообщения пользователя)

-- F: Текущая цена фьючерса
-- S: Страйк
-- V: Волатильность
-- T: Время в долях года до окончания срока действия опциона (30 / 365)
function Black_Scholes(F, S, V, T)
    d1 = (math.log(F / S) + V * V * (T / 366) / 2) / (V * math.sqrt(T / 366))
    d2 = d1 - V * math.sqrt(T / 366)

    Call = F * N(d1) - S * N(d2)
    Put = Call + S - F
    return Call
end

function N(x) -- Функция стандартного нормального распределения
    if x > 10 then return 1 end
    if x < -10 then return 0 end
    ax = math.abs(x)
    t = 1 / (1 + 0.2316419 * ax)
    d = 1 / math.sqrt(2 * math.pi) * math.exp(-x * x / 2)
    p = d * t * ((((1.330274429 * t - 1.821255978) * t + 1.781477937) * t - 0.356563782) * t + 0.31938153)
    if x > 0 then return 1 - p else return p end
end

function GetOptionTheorprices()
    ClassCode = "SPBOPT";
    SecCode = "RI120000BH4";
    BaseClassCode = "SPBFUT";
    --заказ данных
    ParamRequest(ClassCode, SecCode, "volatility");
    ParamRequest(ClassCode, SecCode, "theorprice");
    ParamRequest(ClassCode, SecCode, "DAYS_TO_MAT_DATE");
    ParamRequest(ClassCode, SecCode, "strike");
    ParamRequest(ClassCode, SecCode, "optiontype");
    ParamRequest(ClassCode, SecCode, "optionbase");
    Optionbase = getParamEx(ClassCode, SecCode, "optionbase").param_image;
    ParamRequest(BaseClassCode, Optionbase, "settleprice");
    Optiontype = getParamEx(ClassCode, SecCode, "optiontype").param_image;
    DAYS_TO_MAT_DATE = getParamEx(ClassCode, SecCode, "DAYS_TO_MAT_DATE").param_value + 0;
    option_base_settleprice = getParamEx("SPBFUT", Optionbase, "settleprice").param_value + 0;
    strike = getParamEx(ClassCode, SecCode, "strike").param_value + 0;
    volatility = getParamEx(ClassCode, SecCode, "volatility").param_value + 0;
    theorprice = getParamEx(ClassCode, SecCode, "theorprice").param_value + 0;
    Black_Scholes_Price = Black_Scholes(option_base_settleprice, strike, volatility / 100.0, DAYS_TO_MAT_DATE / 365.0);
    message(
        "QLua: _____________________________________" ..
        "\n" .. YYYYMMDD() ..
        "\nClassCode=" .. tostring(ClassCode) ..
        "\nSecCode=" .. tostring(SecCode) ..
        "\nOption Base ClassCode=" .. tostring(BaseClassCode) ..
        "\nOptionbase=" .. tostring(Optionbase) ..
        "\nOptiontype=" .. tostring(Optiontype) ..
        "\nDAYS_TO_MAT_DATE=" .. tostring(DAYS_TO_MAT_DATE) ..
        "\nOption Base settleprice=" .. tostring(option_base_settleprice) ..
        "\nstrike=" .. tostring(strike) ..
        "\nvolatility=" .. tostring(volatility) ..
        "\ntheorprice=" .. tostring(theorprice) ..
        "\nBlack_Scholes_Price=" .. tostring(Black_Scholes_Price) ..
        "\nQLua: _____________________________________",
        1);
    --[[
        Результат:
        QLua: _____________________________________
        2024.06.29
        ClassCode=SPBOPT
        SecCode=RI120000BH4
        Option Base ClassCode=SPBFUT
        Optionbase=RIU4
        Optiontype=Call
        DAYS_TO_MAT_DATE=48.0
        Option Base settleprice=115200.0
        strike=120000.0
        volatility=18.318
        theorprice=1280.0
        Black_Scholes_Price=0.0
        QLua: _____________________________________
    ]]
end

function main()
    do_it = true;
    while (do_it) do
        GetOptionTheorprices();
        for _ = 1, 20 do
            sleep(500);
            if not do_it then
                return;
            end
        end
    end
end

function OnStop()
    do_it = false;
end

function YYYYMMDD(datetime)
    if not datetime then
        datetime = os.date("*t");
    end
    local DD = datetime.day
    if DD < 10 then DD = "0" .. DD end

    local MM = datetime.month
    if MM < 10 then MM = "0" .. MM end

    local YYYY = datetime.year
    return table.concat({ YYYY, MM, DD }, ".");
end