public static List <double> PriceSetting(InitialTerm.InitialParameter param)
{
var priceList = new List <double>();
var forward = ForwardCalculator.CalcForwardRate(param);
foreach (InitialTerm.VolatilityType volatilityType
in Enum.GetValues(typeof(InitialTerm.VolatilityType)))
{
var type = JudgeMaterial.JudgeOfCallPut.CallOrPut(volatilityType);
var volatility = JudgeMaterial.JudgeOfVolatility.Volatility(param, volatilityType);
var strike = StrikrCalcultor.CalcStrike(param, forward, volatility, param.deltaType, volatilityType);
var d1 = DFuncCalculator.CalcDValue(param, volatility, param.tau, forward, strike);
var d2 = d1 - volatility * Math.Sqrt(param.tau);
priceList.Add(FlyAdjustment.PriceCalculator.CalcOptionPrice(param, forward, strike, d1, d2, type));
}
return(priceList);
}
public static List <double> StrikeSetting(InitialTerm.InitialParameter param)
{
var strikeList = new List <double>();
var forward = ForwardCalculator.CalcForwardRate(param);
foreach (InitialTerm.VolatilityType volatilityType
in Enum.GetValues(typeof(InitialTerm.VolatilityType)))
{
var volatility = JudgeMaterial.JudgeOfVolatility.Volatility(param, volatilityType);
strikeList.Add(StrikrCalcultor.CalcStrike(
param,
forward,
volatility,
param.deltaType,
volatilityType));
}
return(strikeList);
}
public static double CalcInvCdf(
InitialTerm.InitialParameter param,
double volatility,
double forward,
double delta,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
Volatility = volatility;
Forward = forward;
DeltaType = deltaType;
Number = delta;
var strikeCalculator = new StrikrCalcultor(param);
return(UseBisection.Calc(
strikeCalculator.DeltaFunctionOfStrike,
0.5 * param.spotRate,
2.0 * param.spotRate));
}
