/// <summary>
/// Gets the price.
/// </summary>
/// <returns></returns>
public double GetPrice()
{
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double rate = EquityAnalytics.GetRateCCLin365(0, _tau, _rtdays, _rtamts);
return(BSprice(fwd, _tau, _strike, rate, _vol, _isCall));
}
/// <summary>
/// Gets the vega.
/// </summary>
/// <returns></returns>
public double GetVega()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
double lhs = _spot * Math.Sqrt(_tau) * _nd.ProbabilityDensity(d1) * 0.01 * Math.Exp(-q * _tau);
return(lhs);
}
/// <summary>
/// Gets the gamma.
/// </summary>
/// <returns></returns>
public double GetGamma()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
var temp = _nd.ProbabilityDensity(d1);
return(Math.Exp(q * _tau) * temp / _spot / _vol / Math.Sqrt(_tau));
}
/// <summary>
/// Gets the delta.
/// </summary>
/// <returns></returns>
public double GetDelta()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
double temp;
if (!_isCall)
{
temp = BasicMath.Ndist(d1) - 1;
}
else
{
temp = BasicMath.Ndist(d1);
}
return(Math.Exp(-q * _tau) * temp);
}
/// <summary>
/// Gets the price.
/// </summary>
/// <returns></returns>
public double GetPrice()
{
double fwd = EquityAnalytics.GetForwardCCLin365(_Spot, _tau, _divdays, _divamts, _ratedays, _rateamts);
double r = EquityAnalytics.GetRateCCLin365(0, _tau, _ratedays, _rateamts);
double q = EquityAnalytics.GetYieldCCLin365(_Spot, 0, _tau, _divdays, _divamts, _ratedays, _rateamts);
double df = EquityAnalytics.GetDFCCLin365(0, _tau, _ratedays, _rateamts);
double flatskewPrice = df * FlatSkewPrice(fwd, r, q);
double[] res = OptionAnalytics.OptWithGreeks(true, fwd, _Strike, _vol, _tau);
double callvega = res[3];
double price;
if (_isCall)
{
price = flatskewPrice - _skew * df * callvega;
}
else
{
price = flatskewPrice + _skew * df * callvega;
}
return(price);
}
/// <summary>
/// Gets the theta.
/// </summary>
/// <returns></returns>
public double GetTheta()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
double rate = EquityAnalytics.GetRateCCLin365(0, _tau, _rtdays, _rtamts);
double d2 = d1 - _vol * Math.Sqrt(_tau);
double rhs1 = -Math.Exp(-q * _tau) * _spot * _nd.ProbabilityDensity(d1) * _vol / 2 / Math.Sqrt(_tau);
double rhs3 = 0;
if (_isCall)
{
double rhs2 = -rate *_strike *Math.Exp(-rate *_tau) * _nd.CumulativeDistribution(d2);
//rhs3 = q * _spot * System.Math.Exp(-q * _tau) * _nd.CumulativeDistribution(d1);
return((rhs1 + rhs2 + rhs3) / 365.0);
}
else
{
double rhs2 = rate * _strike * Math.Exp(-rate * _tau) * _nd.CumulativeDistribution(-d2);
//rhs3 = -q * _spot * System.Math.Exp(-q * _tau) * _nd.CumulativeDistribution(-d1);
return((rhs1 + rhs2 + rhs3) / 365.0);
}
}
/// <summary>
/// Gets the AT MFWD.
/// </summary>
/// <param name="ratedays">The ratedays.</param>
/// <param name="rateamts">The rateamts.</param>
/// <param name="divdays">The divdays.</param>
/// <param name="divamts">The divamts.</param>
/// <param name="t">The t.</param>
/// <returns></returns>
public double GetATMfwd(int[] ratedays, double[] rateamts, int[] divdays, double[] divamts, double t)
{
return(EquityAnalytics.GetForwardCCLin365(_spot, t, divdays, divamts, ratedays, rateamts));
}