public static object BachelierGreek(double fwd, double strike, double maturity, double vol, string request)
{
return(FunctionRunnerUtils.Run("BachelierGreek", () =>
{
double gamma, theta, vega, vanna, vomma;
Bachelier.Greeks(fwd, strike, maturity, vol,
out gamma, out theta, out vega, out vanna, out vomma);
switch (request.Trim().ToLower())
{
case "gamma":
return gamma;
case "theta":
return theta;
case "vega":
return vega;
case "vanna":
return vanna;
case "vomma":
return vomma;
default:
throw new Exception(string.Format("Unknow greek : {0}", request));
}
}));
}
public static object BachelierImpliedVol(double forward, double strike, double maturity, double price, string optionType)
{
return(FunctionRunnerUtils.Run("BachelierImpliedVol", () =>
{
double q;
switch (optionType.Trim().ToLower())
{
case "call":
q = 1.0;
break;
case "put":
q = -1.0;
break;
default:
throw new Exception(string.Format("Unknow option type : {0}", optionType));
}
return Bachelier.ImpliedVol(price, forward, strike, maturity, q);
}));
}
