private static void FutureOptionPrice(DataForFutureOptionPrices data, double[] callSigma, double[] putSigma, double spotPrice,
double interestRate, out double[] callPrice, out double[] putPrice)
{
int arrayLength = data.DaysToExpiry.Length;
int priceArrysLength = data.DaysToExpiry[arrayLength - 1];
callPrice = new double[priceArrysLength];
putPrice = new double[priceArrysLength];
for (int i = 0; i < arrayLength; i++)
{
int de = data.DaysToExpiry[i];
callPrice[de - 1] = new BlackScholesModel(de, spotPrice, interestRate, spotPrice, 0, 0, 0, LegType.Call).GetEuroPrice(callSigma[i]);
putPrice[de - 1] = new BlackScholesModel(de, spotPrice, interestRate, spotPrice, 0, 0, 0, LegType.Put).GetEuroPrice(putSigma[i]);
}
int firstExpiry = data.DaysToExpiry[0];
for (int i = 0; i < firstExpiry - 1; i++)
{
callPrice[i] = (i + 1) * callPrice[firstExpiry - 1] / firstExpiry;
putPrice[i] = (i + 1) * putPrice[firstExpiry - 1] / firstExpiry;
}
for (int i = 0; i < arrayLength - 1; i++)
{
int currExp = data.DaysToExpiry[i];
int nextExp = data.DaysToExpiry[i + 1];
for (int j = currExp; j < nextExp - 1; j++)
{
callPrice[j] = DoLinearInterpolation(currExp, nextExp, callPrice[currExp - 1], callPrice[nextExp - 1], j + 1);
putPrice[j] = DoLinearInterpolation(currExp, nextExp, putPrice[currExp - 1], putPrice[nextExp - 1], j + 1);
}
}
}
public static Greeks GetGreeks(double daysToExpiry /*T-t, maturity*/, double strike /*K*/, double interestRate /*r*/, double spotPrice /*S*/,
double ask, double bid, double lastPrice, LegType callOrPut, double?divYield = null)
{
if (divYield == null)
{
divYield = 0;
}
BlackScholesModel bsm = new BlackScholesModel(daysToExpiry, strike, interestRate, spotPrice, ask, bid, lastPrice, callOrPut, divYield);
Greeks greeks = new Greeks();
greeks.Delta = bsm.EuroDelta;
greeks.Gamma = bsm.EuroGamma;
greeks.Theta = bsm.EuroTheta;
greeks.Sigma = bsm.Sigma;
greeks.Rho = bsm.EuroRho;
greeks.RhoFx = bsm.EuroRhoFx;
greeks.Vega = bsm.EuroVega;
return(greeks);
}
