public static double MonteCarloPriceAndGreeks(this AsianOption option, Date valueDate, double spot, double vol, double rate, double div, OptionPriceandGreeks greek, int periods, int numOfSims = 100000)
{
var T = (double)(option._exerciseDate - valueDate) / 365;
var flag = (double)option._putOrCall;
double bump = 0.01;
var paths = GBMEquitySimulator.StockPathSimulator(spot, vol, div, rate, T, numOfSims, periods, bump);
var stockpaths = paths[0];
var stockpaths_up = paths[1];
var stockpaths_down = paths[2];
double value = Double.NaN;
// To do : create monte carlo vega, theta, and rho
if (greek == OptionPriceandGreeks.Price)
{
value = MonteCarloPrice(stockpaths, option._strike, flag, rate, T);
}
else if (greek == OptionPriceandGreeks.Delta)
{
value = (MonteCarloPrice(stockpaths_up, option._strike, flag, rate, T) - MonteCarloPrice(stockpaths, option._strike, flag, rate, T)) / bump;
}
else if (greek == OptionPriceandGreeks.Gamma)
{
value = (MonteCarloPrice(stockpaths_up, option._strike, flag, rate, T) - 2 * MonteCarloPrice(stockpaths, option._strike, flag, rate, T) + MonteCarloPrice(stockpaths_down, option._strike, flag, rate, T)) / (bump * bump);
}
return(value);
}
public static double BlackScholesPriceAndGreeks(this EuropeanOption option, Date valueDate, double spot, double vol, double rate, double div, OptionPriceandGreeks greek)
{
double value = Double.NaN;
if (greek == OptionPriceandGreeks.Price)
{
value = BlackScholesPrice(option, valueDate, spot, vol, rate, div);
}
else if (greek == OptionPriceandGreeks.Delta)
{
value = BlackScholesDelta(option, valueDate, spot, vol, rate, div);
}
else if (greek == OptionPriceandGreeks.Gamma)
{
value = BlackScholesGamma(option, valueDate, spot, vol, rate, div);
}
else if (greek == OptionPriceandGreeks.Vega)
{
value = BlackScholesVega(option, valueDate, spot, vol, rate, div);
}
else if (greek == OptionPriceandGreeks.Theta)
{
value = BlackScholesTheta(option, valueDate, spot, vol, rate, div);
}
else if (greek == OptionPriceandGreeks.Rho)
{
value = BlackScholesRho(option, valueDate, spot, vol, rate, div);
}
return(value);
}
