public double[,] Price(double faceValue, int periods)
{
double[,] shortRateLattice = LatticeBuilder.ConstructLattice(this.rate, this.u, this.d, periods);
double[,] bondPriceLattice = new double[periods + 1, periods + 1];
// Initialize the face values
for (int j = 0; j <= periods; j++)
{
bondPriceLattice[periods, j] = faceValue;
}
// Fill the rest of the matrix
double[,] r = shortRateLattice;
double[,] z = bondPriceLattice;
for (int i = periods - 1; i >= 0; i--)
{
for (int j = i; j >= 0; j--)
{
z[i, j] = 1 / (1 + r[i, j]) * (qu * z[i + 1, j + 1] + qd * z[i + 1, j]);
}
}
return(z);
}
public double[,] Price(double faceValue, int periods)
{
double[,] shortRateLattice = LatticeBuilder.ConstructLattice(this.rate, this.u, this.d, periods);
var zcbPrice = this.zcb.Price(faceValue, periods);
var optionPrice = new double[expirationPeriods + 1, expirationPeriods + 1];
Func <double, double, double> putCallFunction = delegate(double strike, double price)
{
if (putCallType == PutCallType.Call)
{
return(Math.Max(0, price - strike));
}
return(Math.Max(0, strike - price));
};
Func <double, double, double> americanEuropeanFunction = delegate(double optionValue, double earlyExercizeValue)
{
if (americanEuropeanType == AmericanEuropeanType.European)
{
return(optionValue);
}
return(Math.Max(optionValue, earlyExercizeValue)); // American type
};
// Initialize the expiry
for (int j = 0; j <= expirationPeriods; j++)
{
optionPrice[expirationPeriods, j] = putCallFunction(strike, zcbPrice[expirationPeriods, j]);
}
double[,] r = shortRateLattice;
double[,] z = optionPrice;
// Fill the rest of the matrix
for (int i = expirationPeriods - 1; i >= 0; i--)
{
for (int j = i; j >= 0; j--)
{
var optionValue = 1 / (1 + r[i, j]) * (qu * z[i + 1, j + 1] + qd * z[i + 1, j]);
var earlyExercizeValue = putCallFunction(this.strike, zcbPrice[i, j]);
z[i, j] = americanEuropeanFunction(optionValue, earlyExercizeValue);
}
}
return(z);
}
public double[,] Price(double strike)
{
double[,] stockPrice = LatticeBuilder.ConstructLattice(this.currentPrice, this.u, this.d, this.expirationPeriods);
var optionPrice = new double[expirationPeriods + 1, expirationPeriods + 1];
Func <double, double, double> putCallFunction = delegate(double _strike, double _price)
{
if (putCallType == PutCallType.Call)
{
return(Math.Max(0, _price - _strike));
}
return(Math.Max(0, _strike - _price));
};
Func <double, double, double> americanEuropeanFunction = delegate(double _optionValue, double _earlyExerciseValue)
{
if (americanEuropeanType == AmericanEuropeanType.European)
{
return(_optionValue);
}
return(Math.Max(_optionValue, _earlyExerciseValue)); // American type
};
// Initialize the expiry
for (int j = 0; j <= expirationPeriods; j++)
{
optionPrice[expirationPeriods, j] = putCallFunction(strike, stockPrice[expirationPeriods, j]);
}
double[,] c = optionPrice;
// Fill the rest of the matrix
for (int i = expirationPeriods - 1; i >= 0; i--)
{
for (int j = i; j >= 0; j--)
{
var optionValue = (1 / riskFreeRate) * (qu * c[i + 1, j + 1] + qd * c[i + 1, j]);
var earlyExerciseValue = putCallFunction(strike, stockPrice[i, j]);
c[i, j] = americanEuropeanFunction(optionValue, earlyExerciseValue);
}
}
return(c);
}
