public override void calculate()
{
if (!(arguments_.exercise.type() == Exercise.Type.European))
{
throw new Exception("not an European Option");
}
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
if (payoff == null)
{
throw new Exception("not an European Option");
}
double variance = process_.blackVolatility().link.blackVariance(arguments_.exercise.lastDate(), payoff.strike());
double dividendDiscount = process_.dividendYield().link.discount(arguments_.exercise.lastDate());
double riskFreeDiscount = process_.riskFreeRate().link.discount(arguments_.exercise.lastDate());
double drift = Math.Log(dividendDiscount / riskFreeDiscount) - 0.5 * variance;
Integrand f = new Integrand(arguments_.payoff, process_.stateVariable().link.value(), drift, variance);
SegmentIntegral integrator = new SegmentIntegral(5000);
double infinity = 10.0 * Math.Sqrt(variance);
results_.value = process_.riskFreeRate().link.discount(arguments_.exercise.lastDate()) /
Math.Sqrt(2.0 * Math.PI * variance) * integrator.value(f.value, drift - infinity, drift + infinity);
}
public override void calculate()
{
if (!(arguments_.exercise.type() == Exercise.Type.European))
throw new ApplicationException("not an European Option");
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
if (payoff == null)
throw new ApplicationException("not an European Option");
double variance = process_.blackVolatility().link.blackVariance(arguments_.exercise.lastDate(), payoff.strike());
double dividendDiscount = process_.dividendYield().link.discount(arguments_.exercise.lastDate());
double riskFreeDiscount = process_.riskFreeRate().link.discount(arguments_.exercise.lastDate());
double drift = Math.Log(dividendDiscount/riskFreeDiscount)-0.5 *variance;
Integrand f = new Integrand(arguments_.payoff, process_.stateVariable().link.value(), drift, variance);
SegmentIntegral integrator = new SegmentIntegral(5000);
double infinity = 10.0 *Math.Sqrt(variance);
results_.value = process_.riskFreeRate().link.discount(arguments_.exercise.lastDate()) /
Math.Sqrt(2.0 * Math.PI * variance) * integrator.value(f.value, drift - infinity, drift + infinity);
}