其他示例

期权计算工具

C++ SDK 目前不内置期权定价计算库，但可以通过 SDK 提供的行情接口获取期权的盘口价格、隐含波动率、希腊值等信息，再结合第三方数学库（如 QuantLib）进行本地期权定价计算。

以下示例演示了如何通过 C++ SDK 获取期权行情数据，并利用返回的希腊值和隐含波动率进行分析。

⚠️
注意
如需本地计算期权定价和希腊值，推荐使用 QuantLib C++ 库。以下示例中的本地计算部分需要自行安装 QuantLib。

通过 SDK 获取期权行情与希腊值

使用 get_option_brief 获取期权的实时行情快照，返回数据中包含隐含波动率和希腊值等指标。

#include <iostream>
#include "tigerapi/quote_client.h"
#include "tigerapi/client_config.h"

using namespace TIGER_API;
using namespace web::json;

int main() {
    // 初始化配置
    ClientConfig config(false, U("/path/to/your/properties/"));

    // 初始化行情客户端
    QuoteClient quote_client(config);

    // 获取期权行情快照（包含希腊值等指标）
    // 期权标识符格式: "标的代码  到期日方向行权价" (OCC格式)
    value result = quote_client.get_option_brief(U("AAPL  240621C00190000"));
    ucout << result.serialize() << std::endl;

    return 0;
}

返回示例

{
  "askPrice": 35.5,
  "askSize": 10,
  "bidPrice": 35.0,
  "bidSize": 15,
  "latestPrice": 35.25,
  "volume": 1234,
  "openInterest": 5678,
  "impliedVol": 0.4648,
  "delta": 0.6006,
  "gamma": 0.0246,
  "theta": -0.4430,
  "vega": 0.1304,
  "rho": 0.0265
}

获取期权链数据

通过 get_option_chain 获取指定标的和到期日的完整期权链，可配合筛选条件过滤。

#include <iostream>
#include "tigerapi/quote_client.h"
#include "tigerapi/client_config.h"

using namespace TIGER_API;
using namespace web::json;

int main() {
    ClientConfig config(false, U("/path/to/your/properties/"));
    QuoteClient quote_client(config);

    // 获取期权到期日列表
    value symbols = value::array();
    symbols[0] = value::string(U("AAPL"));
    value expirations = quote_client.get_option_expiration(symbols);
    ucout << U("Expirations: ") << expirations.serialize() << std::endl;

    // 获取指定到期日的期权链
    value chain = quote_client.get_option_chain(U("AAPL"), U("2024-06-21"));
    ucout << U("Option chain: ") << chain.serialize() << std::endl;

    // 带筛选条件获取期权链（仅价内期权）
    value filter = value::object();
    filter[U("in_the_money")] = value::boolean(true);
    value filtered_chain = quote_client.get_option_chain(U("AAPL"), U("2024-06-21"), filter);
    ucout << U("In-the-money options: ") << filtered_chain.serialize() << std::endl;

    return 0;
}

结合 QuantLib 进行本地期权定价计算

如果需要在本地进行期权定价和希腊值计算，可以结合 QuantLib C++ 库。以下示例演示了使用 QuantLib 计算美式期权的隐含波动率和希腊值。

📘
使用前需要先安装 QuantLib C++ 库。可通过 vcpkg 安装：vcpkg install quantlib，或通过 brew 安装：brew install quantlib

#include <iostream>
#include <ql/quantlib.hpp>

using namespace QuantLib;

int main() {
    // 设置评估日期
    Date evaluationDate(19, April, 2022);
    Settings::instance().evaluationDate() = evaluationDate;

    // 期权参数
    Option::Type optionType = Option::Call;
    Real underlying = 985.0;       // 标的资产价格
    Real strike = 990.0;           // 行权价
    Rate riskFreeRate = 0.017;     // 无风险利率
    Rate dividendRate = 0.0;       // 股息率
    Date settlementDate(14, April, 2022);   // 结算日期
    Date expirationDate(22, April, 2022);   // 期权到期日

    // 构建行权方式和标的资产
    auto exercise = ext::make_shared<AmericanExercise>(settlementDate, expirationDate);
    auto payoff = ext::make_shared<PlainVanillaPayoff>(optionType, strike);
    VanillaOption option(payoff, exercise);

    // 市场数据句柄
    auto spotHandle = ext::make_shared<SimpleQuote>(underlying);
    auto volHandle = ext::make_shared<SimpleQuote>(0.0); // 临时设为0
    auto rateHandle = ext::make_shared<SimpleQuote>(riskFreeRate);
    auto divHandle = ext::make_shared<SimpleQuote>(dividendRate);

    DayCounter dayCounter = Actual365Fixed();
    Calendar calendar = UnitedStates(UnitedStates::NYSE);

    auto flatVol = ext::make_shared<BlackConstantVol>(
        evaluationDate, calendar,
        Handle<Quote>(volHandle), dayCounter);
    auto flatRate = ext::make_shared<FlatForward>(
        evaluationDate, Handle<Quote>(rateHandle), dayCounter);
    auto flatDiv = ext::make_shared<FlatForward>(
        evaluationDate, Handle<Quote>(divHandle), dayCounter);

    auto bsmProcess = ext::make_shared<BlackScholesMertonProcess>(
        Handle<Quote>(spotHandle),
        Handle<YieldTermStructure>(flatDiv),
        Handle<YieldTermStructure>(flatRate),
        Handle<BlackVolTermStructure>(flatVol));

    // 使用有限差分法定价引擎
    option.setPricingEngine(
        ext::make_shared<FdBlackScholesVanillaEngine>(bsmProcess, 100, 100));

    // 根据期权价格计算隐含波动率
    Real optionPrice = 33.6148; // 期权市场价格，可用 (ask + bid) / 2
    Volatility impliedVol = option.impliedVolatility(optionPrice, bsmProcess);
    std::cout << "implied volatility: " << impliedVol << std::endl;

    // 更新波动率后重新计算希腊值
    volHandle->setValue(impliedVol);

    std::cout << "value: " << option.NPV() << std::endl;
    std::cout << "delta: " << option.delta() << std::endl;
    std::cout << "gamma: " << option.gamma() << std::endl;
    std::cout << "theta: " << option.theta() << std::endl;
    std::cout << "vega: " << option.vega() << std::endl;
    std::cout << "rho: " << option.rho() << std::endl;

    std::cout << std::endl;

    // 直接使用隐含波动率计算期权价格
    Real knownVolatility = 0.6153;
    volHandle->setValue(knownVolatility);

    std::cout << "---- 使用已知隐含波动率计算 ----" << std::endl;
    std::cout << "value: " << option.NPV() << std::endl;
    std::cout << "delta: " << option.delta() << std::endl;
    std::cout << "gamma: " << option.gamma() << std::endl;
    std::cout << "theta: " << option.theta() << std::endl;
    std::cout << "vega: " << option.vega() << std::endl;
    std::cout << "rho: " << option.rho() << std::endl;

    return 0;
}

完整示例：SDK 行情 + QuantLib 计算

以下示例将 Tiger Open API 行情查询与 QuantLib 本地计算相结合，实现完整的期权分析流程。

#include <iostream>
#include <string>
#include "tigerapi/quote_client.h"
#include "tigerapi/client_config.h"
#include <ql/quantlib.hpp>

using namespace TIGER_API;
using namespace web::json;
using namespace QuantLib;

int main() {
    // 1. 通过 SDK 获取期权行情数据
    ClientConfig config(false, U("/path/to/your/properties/"));
    QuoteClient quote_client(config);

    // 获取期权实时行情
    value brief = quote_client.get_option_brief(U("AAPL  240209P00185000"));
    ucout << U("Option brief: ") << brief.serialize() << std::endl;

    // 获取标的股票最新价格
    value symbols = value::array();
    symbols[0] = value::string(U("AAPL"));
    value stock_brief = quote_client.get_brief(symbols);
    ucout << U("Stock brief: ") << stock_brief.serialize() << std::endl;

    // 2. 从返回数据中提取关键参数
    // 注意：实际代码中需要根据返回的 JSON 结构解析字段
    double askPrice = 2.50;   // 从 brief 中获取
    double bidPrice = 2.30;   // 从 brief 中获取
    double latestPrice = 185.0; // 从 stock_brief 中获取

    // 3. 使用 QuantLib 进行本地计算
    Date evaluationDate(5, February, 2024);
    Settings::instance().evaluationDate() = evaluationDate;

    Option::Type optionType = Option::Put;
    Real underlying = latestPrice;
    Real strike = 185.0;
    Rate riskFreeRate = 0.0241;
    Rate dividendRate = 0.0;
    Date settlementDate(5, February, 2024);
    Date expirationDate(9, February, 2024);

    auto exercise = ext::make_shared<AmericanExercise>(settlementDate, expirationDate);
    auto payoff = ext::make_shared<PlainVanillaPayoff>(optionType, strike);
    VanillaOption option(payoff, exercise);

    auto spotHandle = ext::make_shared<SimpleQuote>(underlying);
    auto volHandle = ext::make_shared<SimpleQuote>(0.0);
    auto rateHandle = ext::make_shared<SimpleQuote>(riskFreeRate);
    auto divHandle = ext::make_shared<SimpleQuote>(dividendRate);

    DayCounter dayCounter = Actual365Fixed();
    Calendar calendar = UnitedStates(UnitedStates::NYSE);

    auto flatVol = ext::make_shared<BlackConstantVol>(
        evaluationDate, calendar,
        Handle<Quote>(volHandle), dayCounter);
    auto flatRate = ext::make_shared<FlatForward>(
        evaluationDate, Handle<Quote>(rateHandle), dayCounter);
    auto flatDiv = ext::make_shared<FlatForward>(
        evaluationDate, Handle<Quote>(divHandle), dayCounter);

    auto bsmProcess = ext::make_shared<BlackScholesMertonProcess>(
        Handle<Quote>(spotHandle),
        Handle<YieldTermStructure>(flatDiv),
        Handle<YieldTermStructure>(flatRate),
        Handle<BlackVolTermStructure>(flatVol));

    option.setPricingEngine(
        ext::make_shared<FdBlackScholesVanillaEngine>(bsmProcess, 100, 100));

    // 计算隐含波动率 (使用 ask 和 bid 的均值)
    Real optionPrice = (askPrice + bidPrice) / 2.0;
    Volatility impliedVol = option.impliedVolatility(optionPrice, bsmProcess);
    volHandle->setValue(impliedVol);

    std::cout << "---- 期权分析结果 ----" << std::endl;
    std::cout << "implied volatility: " << impliedVol << std::endl;
    std::cout << "value: " << option.NPV() << std::endl;
    std::cout << "delta: " << option.delta() << std::endl;
    std::cout << "gamma: " << option.gamma() << std::endl;
    std::cout << "theta: " << option.theta() << std::endl;
    std::cout << "vega: " << option.vega() << std::endl;
    std::cout << "rho: " << option.rho() << std::endl;

    return 0;
}

示例输出结果

{
	"delta": -0.4291523762730371,
	"gamma": 0.06867092999396703,
	"predictedValue": 1.8448482568095044,
	"rho": -0.007994670535451135,
	"theta": -0.27407985875145857,
	"vega": 0.07649602025704422,
	"volatility": 0.5919
}

除本使用文档中提供的例子之外，C++ SDK的更多示例正在不断更新中，如有新的例子，我们会及时同步在Github代码仓库。

https://github.com/tigerfintech/openapi-cpp-sdk

我们还会不断添加更多示例，并更新在使用文档和Github仓库中，请持续关注。如果您对SDK的使用有任何疑问，请直接联系我们