private void btnCalculateIV_Click(object sender, EventArgs e)
{
try
{
var blackNScholesCaculator = new BlackNScholesCaculator()
{
DayLefts = DayLefts,
RiskFreeInterestRate = this.RiskFreeInterestRate,
StockPrice = this.StockPrice,
Strike = this.StrikePrice
};
var iv = OptionType == EOptionType.Call
? blackNScholesCaculator.GetCallIVBisections(OptionPrice)
: blackNScholesCaculator.GetPutIVBisections(OptionPrice);
txtBNSBisections.Text = iv.ToString(CultureInfo.InvariantCulture);
txtIterationCounter.Text = blackNScholesCaculator.IterationCounter.ToString();
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
/// <summary>
/// Calculate the IV according the actual prices, UNL and option price.
/// </summary>
/// <param name="optionData"></param>
/// <returns></returns>
public double CalculateIVByOptionPrice(OptionData optionData)
{
var blackNScholesCaculator = new BlackNScholesCaculator()
{
DayLefts = optionData.DaysLeft,
Multiplier = optionData.Multiplier,
RiskFreeInterestRate = RiskFreeInterestRate,
StockPrice = optionData.UnderlinePrice,
Strike = optionData.OptionContract.Strike,
};
double iv = 0;
try
{
iv = optionData.OptionContract.OptionType == EOptionType.Call
? blackNScholesCaculator.GetCallIVBisections(optionData.PriceOfOneOption)
: blackNScholesCaculator.GetPutIVBisections(optionData.PriceOfOneOption);
}
catch (Exception ex)
{
Logger.Error(ex.Message + ": wrong calculation, ImpliedVolatility = 0 !!!!", ex);
}
return(iv);
}
