double IPricer.Price(BSParameter param)
{
double d1 = 0.0;
double d2 = 0.0;
double optionValue = 0.0;
double S = param.Stock;
double X = param.Strike;
double r = param.InterestRate;
double T = param.Day;
double v = param.Vol;
OptionTypeEnum optionType = param.OptionType;
d1 = (Math.Log(S / X) + (r + v * v / 2.0) * T) / (v * Math.Sqrt(T));
d2 = d1 - v * Math.Sqrt(T);
if (optionType == OptionTypeEnum.CallOption)
{
optionValue = S * CumulativeNormalDistributionFun(d1) - X * Math.Exp(-r * T) * CumulativeNormalDistributionFun(d2);
}
else if (optionType == OptionTypeEnum.PutOption)
{
optionValue = X * Math.Exp(-r * T) * CumulativeNormalDistributionFun(-d2) - S * CumulativeNormalDistributionFun(-d1);
}
PricingTerminated?.Invoke(this, null);
return(optionValue);
}
private void ConvertParamAndPrice()
{
// i don't want to pass the view Model to the code behind
var bsParam = new BSParameter()
{
Strike = Param.Strike,
Stock = Param.Stock,
Day = Param.Day,
Vol = Param.Vol,
InterestRate = Param.InterestRate,
OptionType = OptionTypeEnum.CallOption
};
_pricer.Price(bsParam);
}
public void TestPrice()
{
IPricer model = new Pricer();
var bsParam = new BSParameter()
{
Strike = 65,
Stock = 60,
Day = 0.25,
Vol = 0.3,
InterestRate = 0.08,
OptionType = OptionTypeEnum.CallOption
};
double price = model.Price(bsParam);
Assert.AreEqual(2.1333718619310424d, price);
}