public Option Price(OptionType optionType, string underlyingName, DateTime maturity, double strike, double spot, double volatility, double interestRate)
{
Option option = new Option();
option.OptionType = optionType;
option.UnderlyingName = underlyingName;
option.Spot = spot;
option.Maturity = maturity;
option.Strike = strike;
if (optionType == PricerTuto.OptionType.Call)
{
option.PayOff = Math.Max(spot - strike, 0);
}
else //if (optionType == PricerTuto.OptionType.Put)
{
option.PayOff = Math.Max(strike - spot, 0);
}
option.Volatility = volatility;
option.InterestRate = interestRate;
var timeToExpirationYears = maturity.Subtract(this.DateService.Now).TotalDays / 260.0;
option.Price = BlackSholes.Price(
optionType,
option.Spot,
option.Strike,
timeToExpirationYears,
option.InterestRate,
option.Volatility);
option.Delta = BlackSholes.Delta(
optionType,
option.Spot,
option.Strike,
timeToExpirationYears,
option.InterestRate,
option.Volatility);
option.Gamma = BlackSholes.Gamma(
optionType,
option.Spot,
option.Strike,
timeToExpirationYears,
option.InterestRate,
option.Volatility);
return option;
}
public void WhenIComputeThePrice()
{
this.result = pricer.Price(this.input.OptionType, this.input.Underlying, this.input.Maturity, this.input.Strike, this.input.Spot, this.input.Volatility, this.input.Rate);
}
public void WhenIComputeThePriceWithMarketData(Table table)
{
var optionType = (OptionType)Enum.Parse(typeof(OptionType), table.Rows[0]["type"]);
var maturityString = table.Rows[0]["maturity"];
var strike = Double.Parse(table.Rows[0]["strike"], CultureInfo.InvariantCulture);
var underlyingName = table.Rows[0]["underlying"];
var maturity = this.ParseMaturity(maturityString);
this.result = pricer.PriceWithMarketData(optionType, underlyingName, maturity, strike);
}