public override double TheoreticalOptionPrice(Option.OptionT type, double p, double s, double d, double r, double v, double t, out double delta)
{
if (t <= 0)
{
if (type == Option.OptionT.Call)
{
delta = 0;
return(Math.Max(p - s, 0));
}
else
{
delta = 0;
return(Math.Max(s - p, 0));
}
}
else
{
assetPrice = p * Math.Exp(-d * t); // factor stock-price with dividen yield
strike = s;
timeStep = t;
volatility = v;
riskFreeRate = r;
putCall = type;
// calculate delta
delta = Delta(type, p, s, r, d, v, t);
// calculate option value
return(OptionValue());
}
}
public virtual double ImpliedVolatility(Option.OptionT type, double o, double p, double s, double r, double d, double t)
{
// check incoming variables
if (t <= 0 || double.IsNaN(o) || double.IsNaN(p) || double.IsNaN(s) || double.IsNaN(r) || double.IsNaN(t))
{
return(double.NaN);
}
int i;
double min = MIN_VOLATILITY, max = MAX_VOLATILITY;
double x, e, v = double.NaN, delta;
for (i = 0; i < VOLATILITY_ITERATIONS; i++)
{
// calculate option price with guessed volatility
v = (min + max) * 0.5;
x = TheoreticalOptionPrice(type, p, s, r, d, v, t, out delta);
// check result accuracy
e = o - x;
if (Math.Abs(e) < VOLATILITY_ACCURACY)
{
if (v < 0.01)
{
return(double.NaN);
}
else
{
return(v);
}
}
// set
if (e > 0)
{
min = v;
}
else
{
max = v;
}
}
if (v < 0.01 || i == VOLATILITY_ITERATIONS)
{
return(double.NaN);
}
else
{
return(v);
}
}
public override double TheoreticalOptionPrice(Option.OptionT type, double p, double s, double r, double d, double v, double t, out double delta)
{
if (type == Option.OptionT.Call)
{
if (t <= 0)
{
delta = 0;
return(Math.Max(p - s, 0));
}
else
{
double d1, d2;
D(p, s, r, d, v, t, out d1, out d2);
if (double.IsInfinity(d1))
{
delta = 0;
return(Math.Max(p - s * Math.Exp(-r * t), 0));
}
else
{
delta = Math.Exp(-d * t) * nd.CDF(d1);
return(p * delta - s * Math.Exp(-r * t) * nd.CDF(d2));
}
}
}
else
{
if (t <= 0)
{
delta = 0;
return(Math.Max(s - p, 0));
}
else
{
double d1, d2;
D(p, s, r, d, v, t, out d1, out d2);
if (double.IsInfinity(d1))
{
delta = 0;
return(Math.Max(s * Math.Exp(-r * t) - p, 0));
}
else
{
delta = -Math.Exp(-d * t) * nd.CDF(-d1);
return(s * Math.Exp(-r * t) * nd.CDF(-d2) + p * delta);
}
}
}
}
private double Payoff(double S, double X, Option.OptionT PutCall)
{
switch (PutCall)
{
case Option.OptionT.Call:
return(Call(S, X));
case Option.OptionT.Put:
return(Put(S, X));
default:
return(0.0);
}
}
public virtual double Delta(Option.OptionT type, double p, double s, double r, double d, double v, double t)
{
if (t <= 0)
{
return(1);
}
double d1, d2;
D(p, s, r, d, v, t, out d1, out d2);
if (type == Option.OptionT.Call)
{
return(Math.Exp(-d * t) * nd.CDF(d1));
}
else
{
return(-Math.Exp(-d * t) * nd.CDF(-d1));
}
}
public virtual double Rho(Option.OptionT type, double p, double s, double r, double d, double v, double t)
{
if (t <= 0)
{
return(0);
}
double d1, d2;
D(p, s, r, d, v, t, out d1, out d2);
if (type == Option.OptionT.Call)
{
return(s * t * Math.Exp(-r * t) * nd.CDF(d2));
}
else
{
return(s * t * Math.Exp(-r * t) * nd.CDF(-d2));
}
}
public virtual double Theta(Option.OptionT type, double p, double s, double r, double d, double v, double t)
{
if (t <= 0)
{
return(0);
}
double d1, d2;
D(p, s, r, d, v, t, out d1, out d2);
if (type == Option.OptionT.Call)
{
return(-(p * Math.Exp(-d * t) * nd.PDF(d1) * v) / (2 * Math.Sqrt(t)) - r * s * Math.Exp(-r * t) * nd.CDF(d2) - d * p * Math.Exp(-d * t) * nd.CDF(d1));
}
else
{
return(-(p * Math.Exp(-d * t) * nd.PDF(d1) * v) / (2 * Math.Sqrt(t)) + r * s * Math.Exp(-r * t) * nd.CDF(-d2) + d * p * Math.Exp(-d * t) * nd.CDF(-d1));
}
}
public virtual double StockPrice(Option.OptionT type, double o, double s, double r, double d, double v, double t)
{
// check incoming variables
if (t <= 0 || double.IsNaN(o) || double.IsNaN(v) || double.IsNaN(s) || double.IsNaN(r) || double.IsNaN(t))
{
return(double.NaN);
}
int i;
double min = MIN_STOCKPRICE, max = Math.Max(10 * s, MAX_STOCKPRICE);
double x, e, p = double.NaN, delta;
for (i = 0; i < STOCKPRICE_ITERATIONS; i++)
{
// calculate option price with guessed volatility
p = (min + max) * 0.5;
x = TheoreticalOptionPrice(type, p, s, r, d, v, t, out delta);
// check result accuracy
e = o - x;
if (Math.Abs(e) < STOCKPRICE_ACCURACY)
{
if (p < 0.01)
{
return(double.NaN);
}
else
{
return(p);
}
}
// set new area
if (type == Option.OptionT.Call)
{
if (e > 0)
{
min = p;
}
else
{
max = p;
}
}
else
{
if (e > 0)
{
max = p;
}
else
{
min = p;
}
}
}
if (p < 0.01 || i == STOCKPRICE_ITERATIONS)
{
return(double.NaN);
}
else
{
return(p);
}
}
public abstract double TheoreticalOptionPrice(Option.OptionT type, double p, double s, double r, double d, double v, double t, out double delta);
