public Task <QuotationResult> CalculatePremiums(QuotationInput quoteparams)
{
try
{
return(Task.Run(() =>
{
double d1 = 0.0;
double d2 = 0.0;
QuotationResult quotes = new QuotationResult();
double S = double.Parse(quoteparams.StockPrice.Replace(".", ","));
double K = double.Parse(quoteparams.StrikePrice.Replace(".", ","));
double T = double.Parse(quoteparams.TimeToMaturity.Replace(".", ","));
double r = double.Parse(quoteparams.InterestRate.Replace(".", ","));
double v = double.Parse(quoteparams.Volatility.Replace(".", ","));
d1 = Math.Round((Math.Log(S / K) + (r + v * v / 2.0) * T) / v / Math.Sqrt(T), 4);
d2 = Math.Round(d1 - v * Math.Sqrt(T), 4);
quotes.D1 = d1;
quotes.D2 = d2;
quotes.CallPremium = Math.Round(S * CumulativeNormDistFunction(d1) - K * Math.Exp(-r * T) * CumulativeNormDistFunction(d2), 4);
quotes.PutPremium = Math.Round(K * Math.Exp(-r * T) * CumulativeNormDistFunction(-d2) - S * CumulativeNormDistFunction(-d1), 4);
return quotes;
}));
}
catch (Exception ex)
{
throw;
}
}
public BlackScholesQuotationViewModel(IOptionsPricerService pricerService, IEventAggregator eventAggregator)
{
_pricerService = pricerService;
_eventAggregator = eventAggregator;
QuotationInput = new QuotationInput();
QuotationResult = new QuotationResult();
Name = "BlackScholes";
}
public static PriceResult ToPriceResult(this QuotationResult quotationResult)
{
return(new PriceResult
{
InsurerName = quotationResult.Name,
Price = quotationResult.Price,
Tax = quotationResult.Tax
});
}
public IHttpActionResult GetQuotation(string currency)
{
var quotation = new QuotationResult();
try
{
quotation = new QuotationService().GetQuotation(currency);
}
catch (Exception e)
{
return(new ResponseMessageResult(Request.CreateResponse(HttpStatusCode.InternalServerError, e.Message)));
}
return(new ResponseMessageResult(Request.CreateResponse(quotation.Result, quotation.Message)));
}
public void ItCreatesPriceResult()
{
var quotationResult = new QuotationResult
{
Name = "Insurance company",
Tax = 5,
Price = 2
};
var priceResult = quotationResult.ToPriceResult();
Assert.NotNull(priceResult);
Assert.Equal(quotationResult.Name, priceResult.InsurerName);
Assert.Equal(quotationResult.Price, priceResult.Price);
Assert.Equal(quotationResult.Tax, priceResult.Tax);
}
public void RegisterSale(string clientId, int amount, QuotationResult result)
{
foreach (var quotation in result.Result)
{
var broker = GetBrokerTransactions(quotation.BrokerId, true);
broker.Push(-quotation.Amount);
}
var client = GetClientTransactions(clientId, true);
client.Push(new TransactionData
{
EventDate = DateTime.Now,
IsSale = true,
QuotationResult = result,
RequestedAmount = amount
});
}
public void CalculatePremiums_should_return_double2()
{
//Arrange
var pricer = new OptionsPricerService();
var input = new QuotationInput()
{
StockPrice = "64.0",
StrikePrice = "60.0",
Volatility = "0.27",
InterestRate = "0.045",
TimeToMaturity = (180.0 / 365.0).ToString(CultureInfo.InvariantCulture)
};
QuotationResult expected = new QuotationResult()
{
CallPremium = 7.7661,
PutPremium = 2.4493
};
//Act
var result = pricer.CalculatePremiums(input);
//Assert
Assert.Equal(expected.CallPremium, result.Result.CallPremium, 3);
Assert.Equal(expected.PutPremium, result.Result.PutPremium, 3);
}
public void CalculatePremiums_should_return_double()
{
//Arrange
var pricer = new OptionsPricerService();
var input = new QuotationInput()
{
StockPrice = "50.0",
StrikePrice = "55.0",
Volatility = "0.2",
InterestRate = "0.09",
TimeToMaturity = "1.0"
};
QuotationResult expected = new QuotationResult()
{
CallPremium = 3.8617,
PutPremium = 4.1279
};
//Act
var result = pricer.CalculatePremiums(input);
//Assert
Assert.Equal(expected.CallPremium, result.Result.CallPremium);
Assert.Equal(expected.PutPremium, result.Result.PutPremium);
}
