Example #1
0
        /// <summary>
        ///
        /// </summary>
        /// <param name="style"></param>
        /// <param name="spot"></param>
        /// <param name="strike"></param>
        /// <param name="vol"></param>
        /// <param name="today"></param>
        /// <param name="expiry"></param>
        /// <param name="paystyle"></param>
        /// <param name="zeroDates"></param>
        /// <param name="zeroRates"></param>
        /// <param name="divDates"></param>
        /// <param name="divAms"></param>
        /// <param name="gridsteps"></param>
        /// <param name="smoo"></param>
        /// <param name="flatFlag"></param>
        /// <returns></returns>
        public static double[,] BinomialRelativeGetGreeks(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
                                                          string paystyle, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms, double gridsteps, string smoo, bool flatFlag)
        {
            const int arrsize = 4;

            gridsteps = (gridsteps == 0.0) ? 20 : gridsteps;
            int       nGridsteps = Convert.ToInt32(gridsteps);
            string    smoothing  = (smoo.ToLower().Equals("n")) ? "n" : "y";
            var       retArray   = new double[arrsize, arrsize];
            double    t          = expiry.Subtract(today).Days / 365.0;
            ZeroCurve myZero     = (new Wrapper()).UnpackZero(today, zeroDates, zeroRates);
            DivList   myDiv      = (new Wrapper()).UnpackDiv(today, expiry, divDates, divAms);
            //create the tree
            var myTree = new PropTree(t, vol, spot, nGridsteps, true)
            {
                Gridsteps = nGridsteps
            };

            myTree.MakeGrid(myZero, myDiv);
            //create pricer
            var myPrice = new Pricer(strike, paystyle, smoothing, style);

            myPrice.MakeGrid(myTree);
            myPrice.Price();
            var myGreeks = new Greeks();

            myGreeks.MakeDeltaGamma(myTree, myPrice, myZero, myDiv);
            double delta = myGreeks.Delta;
            double gamma = myGreeks.Gamma;

            myGreeks.MakeVega(myTree, myPrice, myZero, myDiv);
            double vega = myGreeks.Vega;

            myGreeks.MakeTheta(myTree, myPrice, myZero, myDiv);
            double theta = myGreeks.Theta;

            retArray[0, 0] = delta;
            retArray[0, 1] = gamma;
            retArray[0, 2] = vega;
            retArray[0, 3] = theta;
            return(retArray);
        }
Example #2
0
        /// <summary>
        ///
        /// </summary>
        /// <param name="style"></param>
        /// <param name="spot"></param>
        /// <param name="strike"></param>
        /// <param name="vol"></param>
        /// <param name="today"></param>
        /// <param name="expiry"></param>
        /// <param name="paystyle"></param>
        /// <param name="zeroDates"></param>
        /// <param name="zeroRates"></param>
        /// <param name="divDates"></param>
        /// <param name="divAms"></param>
        /// <param name="gridsteps"></param>
        /// <param name="smoo"></param>
        /// <param name="flatFlag"></param>
        /// <returns></returns>
        public static double BinomialRelativePricer(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
                                                    string paystyle, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms, double gridsteps, string smoo, bool flatFlag)
        {
            gridsteps = (gridsteps == 0.0) ? 20 : gridsteps;
            int       nGridsteps = Convert.ToInt32(gridsteps);
            string    smoothing  = (smoo.ToLower().Equals("n")) ? "n" : "y";
            double    t          = expiry.Subtract(today).Days / 365.0;
            var       wrapper    = new Wrapper();
            ZeroCurve myZero     = wrapper.UnpackZero(today, zeroDates, zeroRates);
            DivList   myDiv      = wrapper.UnpackDiv(today, expiry, divDates, divAms);
            //create the tree
            var myTree = new PropTree(t, vol, spot, nGridsteps, true);

            myTree.MakeGrid(myZero, myDiv);
            //create pricer
            var myPrice = new Pricer(strike, paystyle, smoothing, style);

            myPrice.MakeGrid(myTree);
            double pr = myPrice.Price();

            return(pr);
        }