private double FloatingPut(double S, double X, double T, double r, double b, double sigma, double Smax)
{
double b1 = (Math.Log(S / Smax) + (b + sigma * sigma / 2.0) * T) / sigma / Math.Sqrt(T);
double b2 = b1 - sigma * Math.Sqrt(T);
double put = 0.0;
if (b == 0.0)
{
put = -S *Math.Exp(-r *T) * NormalCdf.NormalCdfHart(-b1) + Smax * Math.Exp(-r * T) * NormalCdf.NormalCdfHart(-b2)
+ S * Math.Exp(-r * T) * sigma * Math.Sqrt(T) * (NormalCdf.NormalPdf(b1) + b1 * NormalCdf.NormalCdfHart(b1));
}
if (b != 0.0)
{
put = -S *Math.Exp((b - r) *T) * NormalCdf.NormalCdfHart(-b1) + Smax * Math.Exp(-r * T) * NormalCdf.NormalCdfHart(-b2)
+ S * Math.Exp(-r * T) * sigma * sigma * 0.5 / b * (-Math.Pow(S / Smax, -2.0 * b / sigma / sigma) * NormalCdf.NormalCdfHart(b1 - 2.0 * b / sigma * Math.Sqrt(T)) + Math.Exp(b * T) * NormalCdf.NormalCdfHart(b1));
}
return(put);
}
//Payoff:
//FloatingCall: S - S_min
//FloatingPut: S_max - S
private double FloatingCall(double S, double X, double T, double r, double b, double sigma, double Smin)
{
double a1 = (Math.Log(S / Smin) + (b + sigma * sigma / 2.0) * T) / sigma / Math.Sqrt(T);
double a2 = a1 - sigma * Math.Sqrt(T);
double call = 0.0;
if (b == 0.0)
{
call = S * Math.Exp(-r * T) * NormalCdf.NormalCdfHart(a1) - Smin * Math.Exp(-r * T) * NormalCdf.NormalCdfHart(a2)
+ S * Math.Exp(-r * T) * sigma * Math.Sqrt(T) * (NormalCdf.NormalPdf(a1) + a1 * (NormalCdf.NormalCdfHart(a1) - 1));
}
if (b != 0.0)
{
call = S * Math.Exp((b - r) * T) * NormalCdf.NormalCdfHart(a1) - Smin * Math.Exp(-r * T) * NormalCdf.NormalCdfHart(a2)
+ S * Math.Exp(-r * T) * sigma * sigma * 0.5 / b * (Math.Pow(S / Smin, -2.0 * b / sigma / sigma) * NormalCdf.NormalCdfHart(-a1 + 2.0 * b / sigma * Math.Sqrt(T)) - Math.Exp(b * T) * NormalCdf.NormalCdfHart(-a1));
}
return(call);
}
