public static double CalcDelta(EnumOptionType OptionType, double S, double K, double r, double T, double Sigma, double q)
{
if (Sigma != 0 && T != 0)
{
double ndOne = CND(dOne(S, K, r, T, Sigma, q));
return((OptionType == EnumOptionType.Call) ? ndOne : ndOne - 1);
}
else
{
return(double.NaN);
}
}
public static double CalcRho(EnumOptionType OptionType, double S, double K, double r, double T, double Sigma, double q)
{
if (Sigma != 0 && T != 0)
{
double d2 = dTwo(S, K, r, T, Sigma, q);
return((OptionType == EnumOptionType.Call) ?
K * T * Math.Exp(-r * T) * CND(d2) :
-K *T *Math.Exp(-r *T) * CND(-d2));
}
else
{
return(double.NaN);
}
}
public static double OptionPrice(EnumOptionType OptionType, double S, double K, double r, double T, double Sigma, double q)
{
if (Sigma != 0 && T != 0)
{
double d1 = dOne(S, K, r, T, Sigma, q);
double d2 = dTwo(S, K, r, T, Sigma, q);
double exp_r = Math.Exp(-r * T);
double exp_q = Math.Exp(-q * T);
return((OptionType == EnumOptionType.Call) ?
S * exp_q * CND(d1) - K * exp_r * CND(d2) :
K *exp_r *CND(-d2) - S * exp_q * CND(-d1));
}
else
{
return(double.NaN);
}
}
public static double CalcTheta(EnumOptionType OptionType, double S, double K, double r, double T, double Sigma, double q)
{
if (Sigma != 0 && T != 0)
{
double d1 = dOne(S, K, r, T, Sigma, q);
double d2 = dTwo(S, K, r, T, Sigma, q);
double ndOne = CND(d1);
double ndTwo = CND(d2);
if (OptionType == EnumOptionType.Call)
{
return(S * PDF(d1) * Sigma * Math.Exp(-q * T) / (2 * Math.Sqrt(T)) + q * S * CND(d1) * Math.Exp(-q * T) - r * K * Math.Exp(-r * T) * CND(d2));
}
else
{
return(-S *PDF(d1) * Sigma * Math.Exp(-q * T) / (2 * Math.Sqrt(T)) - q * S * CND(-d1) * Math.Exp(-q * T) + r * K * Math.Exp(-r * T) * CND(d2));
}
}
else
{
return(double.NaN);
}
}
public double GetFairPrice(double Spot, double Strik, double TDays, double Rate, double Volatility, EnumOptionType OptionType)
{
double _FairPrice = 0, _PHI = 1;
if (OptionType == EnumOptionType.Put)
{
_PHI = -1;
}
if (TDays > 0)
{
double _VT = Volatility * Math.Sqrt(TDays);
double _R = Math.Log(1 + Rate);
double _D1 = GetD1(Spot, Strik, TDays, Rate, Volatility);
double _D2 = GetD2(_D1, TDays, Volatility);
_FairPrice = _PHI * Spot * GetCND(_PHI * _D1) - _PHI * Strik * Math.Exp((0 - _R) * TDays) * GetCND(_PHI * _D2);
}
else
{
_FairPrice = Math.Max(_PHI * (Spot - Strik), 0);
}
return(_FairPrice);
}
