C# (CSharp) MathDual Exemples

Exemple #1

 private static Dual Normsdist(Dual z)
 {
     return(1 / (1.0 + MathDual.Exp(-1.7 * z)));
 }

Exemple #2

 private static Dual D1(Dual S, Dual K, Dual vol, Dual T, Dual r)
 {
     return((MathDual.Log(S / K) + (r + vol * vol / 2) * T) / (vol * MathDual.Sqrt(T)));
 }

Exemple #3

 private static Dual D2(Dual S, Dual K, Dual vol, Dual T, Dual r)
 {
     return(D1(S, K, vol, T, r) - vol * MathDual.Sqrt(T));
 }

Exemple #4

 public static Dual VanillaCall(Dual S, Dual K, Dual vol, Dual T, Dual r)
 {
     return(S * Normsdist(D1(S, K, vol, T, r)) - K * MathDual.Exp(-1.0 * r * T) * Normsdist(D2(S, K, vol, T, r)));
 }