Exemple #1
0
 private static Dual Normsdist(Dual z)
 {
     return(1 / (1.0 + MathDual.Exp(-1.7 * z)));
 }
Exemple #2
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 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)));
 }