public static double GetBlsDelta(PayOffType type, double curPrice, double strikePrice, double tYear, double TYear, double volYear, double rfYear)
{
double d1 = (Math.Log(curPrice / strikePrice)
+ (rfYear + volYear * volYear / 2) * (TYear - tYear)) / (volYear * Math.Sqrt(TYear - tYear));
//double d2 = d1 - vol * Math.Sqrt(T - t);
double delta = 0.5;
// Call 매도 포지션 델타
if(type == PayOffType.LongCall)
{
delta = GetNormalCdf(d1);
}
else if (type == PayOffType.LongPut)
{
delta = GetNormalCdf(d1) - 1;
}
else if (type == PayOffType.ShortCall)
{
delta = -1 * GetNormalCdf(d1);
}
else if (type == PayOffType.ShortPut)
{
delta = 1 - GetNormalCdf(d1);
}
return delta;
}
public European(
double strike,
PayOffType type)
{
Strike = strike;
if (type == PayOffType.Call)
{
CallPut = 1.0;
}
else if (type == PayOffType.Put)
{
CallPut = -1.0;
}
}
public IndividualTradingSimulator(MarketDataSetKey key, double baseInvest, TradingDirection direction,
PayOffType payOffType, double strikePriceDiffRate, int livePeriod, double impliedVol,
bool bAmountBasis, List<PriceData> prices)
{
_key = key;
_baseInvest = baseInvest;
_direction = direction;
_payoffType = payOffType;
_strikePriceDiffRate = strikePriceDiffRate;
_livePeriod = livePeriod;
_impliedVol = impliedVol;
_bAmountBasis = bAmountBasis;
_priceDataList = prices;
_bUseReturnModel = false;
}
