public void FillCalculatedFields(TradingAccount tradingAccount)
{
this.Quantity = (int)Math.Ceiling(tradingAccount.TradeSize / this.ContractAsk);
#region Delta
this.DeltaPL = ((this.Bid + (tradingAccount.ExpectedPriceChange * this.Delta)) * this.Quantity * 100m) - (19.98m + (this.Quantity * tradingAccount.RoundTripCommission)) - (this.Quantity * this.ContractAsk);
this.DeltaPLPercent = this.DeltaPL / (this.Quantity * this.ContractAsk);
#endregion
#region Black Scholes
this.BlackScholesPrice = this.CalculateBlackScholesPrice(tradingAccount, this.UnderlyingPrice);
this.BlackScholesPriceTarget = this.CalculateBlackScholesPrice(tradingAccount, this.UnderlyingPrice + (this.OptionType == OptionTypes.Call ? tradingAccount.ExpectedPriceChange : -tradingAccount.ExpectedPriceChange));
this.BlackScholesPriceChange = this.BlackScholesPriceTarget - this.BlackScholesPrice;
this.BlackScholesPL = ((this.Bid + this.BlackScholesPriceChange) * this.Quantity * 100m) - (19.98m + (this.Quantity * tradingAccount.RoundTripCommission)) - (this.Quantity * this.ContractAsk);
this.BlackScholesPLPercent = this.BlackScholesPL / (this.Quantity * this.ContractAsk);
#endregion
}
public Decimal CalculateBlackScholesPrice(TradingAccount tradingAccount, Decimal underlyingPrice)
{
Double S0 = (Double)underlyingPrice;
Double X = (Double)this.Strike;
Double sigma = (Double)this.ImpliedVolatility;
Double r = (Double)tradingAccount.RiskFreeInterestRate;
Double t = ((Double)this.ExpiryDays) / 365.0;
Double d1 = (Math.Log(S0 / X) + (t * (r + (Math.Pow(sigma, 2) / 2)))) / (sigma * Math.Sqrt(t));
Double d2 = d1 - (sigma * Math.Sqrt(t));
if (this.OptionType == OptionTypes.Call)
{
return((Decimal)((S0 * StaticStuff.N(d1)) - (X * Math.Pow(Math.E, -(r * t)) * StaticStuff.N(d2))));
}
else
{
return((Decimal)((X * Math.Pow(Math.E, -(r * t)) * StaticStuff.N(-d2)) - (S0 * StaticStuff.N(-d1))));
}
}
