C# (CSharp) Exercise2 SpecialFunctions Examples

Example #1

File: ZeroCouponBondOption.cs Project: laraag/CsForFinancialMarkets

        public override double CallPrice()
        {
            double pf = Math.Exp(-r * (S - T));

            double tmp = sig * Math.Sqrt(T);

            double d1 = (Math.Log(pf / K) + (b + (sig * sig) * 0.5) * T) / tmp;
            double d2 = d1 - tmp;

            double callPrice = Math.Exp(-r * T) * ((pf * SpecialFunctions.N(d1)) - (K * SpecialFunctions.N(d2)));

            return(callPrice);
        }