private void DoCalculation()
{
IsCalculateEnabled = false;
RaisePropertyChanged("IsCalculateEnabled");
ErrorCode errcode = FirstValidation();
if (errcode != ErrorCode.OK)
{
Result = Utility.getErrorMsg(errcode);
}
else
{
var prob = new ImpliedVolatilityProb(
_spotPrice,
_interestRate,
_maturity,
_strikePrice,
_optionPremium,
_optionType
);
errcode = prob.validate();
if (errcode != ErrorCode.OK)
{
Result = Utility.getErrorMsg(errcode);
}
else
{
Result = Math.Round(prob.calculate(), 4).ToString();
}
}
RaisePropertyChanged("Result");
IsCalculateEnabled = true;
RaisePropertyChanged("IsCalculateEnabled");
}
public static double ImpliedVolatilityCalculate(ImpliedVolatilityProb prob)
{
double s = prob.SpotPrice;
double k = prob.StrikePrice;
double t = prob.Maturity;
double r = prob.InterestRate;
double premium = prob.OptionPremium;
OptionTypeEnum optionType = prob.OptionType;
double sigmaHat = Math.Sqrt(2 * Math.Abs((Math.Log(s / k) + r * t) / t));
double tol = Double.MinValue;
double sigma = sigmaHat;
double sigmaDiff = 1;
int n = 1, nmax = 100;
while (sigmaDiff >= tol && n < nmax)
{
double increment = GetIncrement(s, k, t, r, sigma, premium, optionType);
sigma = sigma - increment;
sigmaDiff = Math.Abs(increment);
n++;
}
return(sigma);
}
