public override double GetPayoff(SortedList <DateTime, double> prices) { var priceAtExpiry = prices[ExpiryDate.PrevWorkingDay()]; if (IsCall) { return(Math.Max(0, priceAtExpiry - Strike)); } else { return(Math.Max(0, Strike - priceAtExpiry)); } }
public override double GetPayoff(SortedList <DateTime, double> prices) { var priceAtExpiry = prices[ExpiryDate.PrevWorkingDay()]; if (IsCall) { return(Math.Max(0, priceAtExpiry - Strike)); } else { return(Math.Max(0, Strike - priceAtExpiry)); } }