public EuropeanPutResult Calculate(double K, double S, double r, double t, double sigma)
{
EuropeanPutResult ePut = new EuropeanPutResult();
ePut.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(S, K, r, sigma, t);
ePut.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(ePut.IntegralPointD1, sigma, t);
ePut.Distribution1 = _distribution.CumulativeDistribution(-ePut.IntegralPointD1.Result.Value);
ePut.Distribution2 = _distribution.CumulativeDistribution(-ePut.IntegralPointD2.Result.Value);
ePut.Result.Value = CalculateValue(K, S, r, t, ePut);
return(ePut);
}
private static double CalculateValue(double K, double S, double r, double t, EuropeanPutResult ePut)
{
return(K * Math.Exp(-r * t) * ePut.Distribution2 - (S * ePut.Distribution1));
}
