public void MakeTheta(Tree SpotT, Pricer PriceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(SpotT, PriceT);
Tree T1 = new Tree(), T2 = new Tree();
T1.Tau = tau;
T1.Gridsteps = Gridsteps;
T1.Sig = sig;
T1.Spot = spot;
T1.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T1);
double P1 = PriceT.Price();
double t = tau - 1.00 / 365.00;
T2.Tau = t;
T2.Gridsteps = Gridsteps;
T2.Sig = sig;
T2.Spot = spot;
T2.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T2);
double P2 = PriceT.Price();
Theta = (P2 - P1);
}
public void MakeVega(Tree SpotT, Pricer PriceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(SpotT, PriceT);
Tree T1 = new Tree(), T2 = new Tree();
T1.Tau = tau;
T1.Gridsteps = Gridsteps;
T1.Sig = .99 * sig;
T1.Spot = spot;
T1.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T1);
double P1 = PriceT.Price();
T2.Tau = tau;
T2.Gridsteps = Gridsteps;
T2.Sig = 1.01 * sig;
T2.Spot = spot;
T2.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T2);
double P2 = PriceT.Price();
if (sig != 0)
{
Vega = 0.01 * (P2 - P1) / (2 * 0.01 * sig);
}
}
public static double FindPrice(ZeroCurve myZero, DivList myDiv, OrcWingVol myVol, double t,
double strike, double spot, string style, string paystyle, double gridsteps)
{
//get the atfwd
double atFwd = GetATMfwd(myZero, myDiv, spot, t);
//set up the tree
var myTree = new Tree();
int nGridsteps = (gridsteps < 20.0) ? 20 : Convert.ToInt32(gridsteps);
myTree.Gridsteps = nGridsteps;
myTree.Tau = t;
myTree.Sig = myVol.orcvol(atFwd, strike);
myTree.Spot = spot;
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer {
Strike = strike, Payoff = paystyle, Smoothing = "y", Style = style
};
myPrice.MakeGrid(myTree);
double pr = myPrice.Price();
return(pr);
}
