Exemple #1
0
        private static void FutureOptionPrice(DataForFutureOptionPrices data, double[] callSigma, double[] putSigma, double spotPrice,
                                              double interestRate, out double[] callPrice, out double[] putPrice)
        {
            int arrayLength      = data.DaysToExpiry.Length;
            int priceArrysLength = data.DaysToExpiry[arrayLength - 1];

            callPrice = new double[priceArrysLength];
            putPrice  = new double[priceArrysLength];

            for (int i = 0; i < arrayLength; i++)
            {
                int de = data.DaysToExpiry[i];
                callPrice[de - 1] = new BlackScholesModel(de, spotPrice, interestRate, spotPrice, 0, 0, 0, LegType.Call).GetEuroPrice(callSigma[i]);
                putPrice[de - 1]  = new BlackScholesModel(de, spotPrice, interestRate, spotPrice, 0, 0, 0, LegType.Put).GetEuroPrice(putSigma[i]);
            }

            int firstExpiry = data.DaysToExpiry[0];

            for (int i = 0; i < firstExpiry - 1; i++)
            {
                callPrice[i] = (i + 1) * callPrice[firstExpiry - 1] / firstExpiry;
                putPrice[i]  = (i + 1) * putPrice[firstExpiry - 1] / firstExpiry;
            }

            for (int i = 0; i < arrayLength - 1; i++)
            {
                int currExp = data.DaysToExpiry[i];
                int nextExp = data.DaysToExpiry[i + 1];
                for (int j = currExp; j < nextExp - 1; j++)
                {
                    callPrice[j] = DoLinearInterpolation(currExp, nextExp, callPrice[currExp - 1], callPrice[nextExp - 1], j + 1);
                    putPrice[j]  = DoLinearInterpolation(currExp, nextExp, putPrice[currExp - 1], putPrice[nextExp - 1], j + 1);
                }
            }
        }
Exemple #2
0
        public static Greeks GetGreeks(double daysToExpiry /*T-t, maturity*/, double strike /*K*/, double interestRate /*r*/, double spotPrice /*S*/,
                                       double ask, double bid, double lastPrice, LegType callOrPut, double?divYield = null)
        {
            if (divYield == null)
            {
                divYield = 0;
            }

            BlackScholesModel bsm = new BlackScholesModel(daysToExpiry, strike, interestRate, spotPrice, ask, bid, lastPrice, callOrPut, divYield);

            Greeks greeks = new Greeks();

            greeks.Delta = bsm.EuroDelta;
            greeks.Gamma = bsm.EuroGamma;
            greeks.Theta = bsm.EuroTheta;
            greeks.Sigma = bsm.Sigma;
            greeks.Rho   = bsm.EuroRho;
            greeks.RhoFx = bsm.EuroRhoFx;
            greeks.Vega  = bsm.EuroVega;

            return(greeks);
        }