/// <summary>
/// Gets the theta.
/// </summary>
/// <returns></returns>
public double GetTheta()
{
double spot = Tree.Underlying(0, 0);
double _tau = Tree.Time;
int n1 = _divdays.Length;
int n2 = _ratedays.Length;
BinomialTreePricer lhs1 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', _tau, _vol, Tree.Columns, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
int[] _divdays1 = new int[n1];
for (int idx = 0; idx < n1; idx++)
{
_divdays1[idx] = Math.Max(_divdays[idx] - 1, 0);
}
int[] _ratedays1 = new int[n2];
for (int idx = 0; idx < n2; idx++)
{
_ratedays1[idx] = Math.Max(_ratedays[idx] - 1, 0);
}
BinomialTreePricer lhs2 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', _tau - 1.0 / 365.0, _vol, Tree.Columns, _flatFlag, Style, Smoothing, _ratedays1, _rateamts, _divdays1, _divamts, _treeType);
double p1 = lhs1.GetPrice();
double p2 = lhs2.GetPrice();
double theta = lhs2.GetPrice() - lhs1.GetPrice();
return(theta);
}
/// <summary>
/// Gets the vega.
/// </summary>
/// <returns></returns>
public double GetVega()
{
double spot = Tree.Underlying(0, 0);
double _tau = Tree.Time;
BinomialTreePricer lhs1 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', _tau, 0.99 * _vol, Tree.Columns, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
BinomialTreePricer lhs2 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', _tau, 1.01 * _vol, Tree.Columns, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
double P1 = lhs1.GetPrice();
double P2 = lhs2.GetPrice();
double vega = 0.0;
if (_vol != 0)
{
vega = 0.01 * (P2 - P1) / (2 * 0.01 * _vol);
}
return(vega);
}
/// <summary>
/// Gets the gamma.
/// </summary>
/// <returns></returns>
public double GetGamma()
{
double spot = Tree.Underlying(0, 0);
int steps = Tree.Columns + 2;
double tau = Tree.Time * (1 + 2 / steps);
BinomialTreePricer clone = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, _vol, steps, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
double[] S = new double[3];
double[] C = new double[3];
for (int i = 0; i <= 2; ++i)
{
S[i] = clone.Tree.Underlying(2, i);
C[i] = clone.GetPriceMatrix(2, i);
}
double gamma = 2 * (S[0] * (C[1] - C[2]) + S[1] * (C[2] - C[0]) + S[2] * (C[0] - C[1]))
/ (S[1] - S[0]) / (S[2] - S[0]) / (S[2] - S[1]);
return(gamma);
}
