public bool SimpleImpliedVolatilityTest()
{
OptionType type = OptionType.Call;
double strike = 31.21;
double spot = 31.525;
double volatility = 0.25116165;
double riskFreeRate = 0.085209;
double ttm = (double)35 / 365;
EquityOptionStaticData staticData = new EquityOptionStaticData(type, strike, spot, volatility, riskFreeRate, ttm);
IPriceable priceable = staticData.BuildPriceable();
double price = priceable.Price();
BlackScholes bs = new BlackScholes();
double volGuess = 0.25;
double relTolerance = 0.00001;
int maxAttempts = 10;
price = 1.28;
double impliedVol = bs.GetImpliedVolatility(type, price, spot, strike, riskFreeRate, ttm, volGuess, relTolerance, maxAttempts);
double relDiff = Math.Abs(impliedVol - volatility) / volatility;
if (relDiff <= relTolerance)
{
return(true);
}
else
{
return(false);
}
}
public double CallPrice()
{
OptionType type = OptionType.Call;
double strike = 29.14;
double spot = 27.04;
double volatility = 0.47;
double riskFreeRate = 0.1413;
double ttm = 11 / 252;
EquityOptionStaticData staticData = new EquityOptionStaticData(type, strike, spot, volatility, riskFreeRate, ttm);
IPriceable priceable = staticData.BuildPriceable();
double price = priceable.Price();
return(price);
}
