public static Greeks GetOptionOnFutureGreeks(double underlyingPrice, double strike, double riskFreeRate,
DateTime expirationDate, DateTime calculationDate, string optionType, string exerciseType,
double optionPrice = double.NaN, double impliedVol = 0.15, string engineName = "baw")
{
QLNet.Date ExpirationDateObj = new QLNet.Date(expirationDate.Day, expirationDate.Month, expirationDate.Year);
QLNet.Date CalculationDateObj = new QLNet.Date(calculationDate.Day, calculationDate.Month, calculationDate.Year);
QLNet.DayCounter DayCountObj = new QLNet.Actual365Fixed();
QLNet.Calendar CalendarObj = new QLNet.UnitedStates();
Greeks GreeksOutput = new Greeks();
QLNet.Option.Type OptionTypeObj;
QLNet.Exercise ExerciseObj;
double ImpliedVol;
double OptionPrice;
int CalDte = DayCountObj.dayCount(CalculationDateObj, ExpirationDateObj);
GreeksOutput.CalDte = CalDte;
if (!double.IsNaN(optionPrice))
{
if (optionType.ToUpper() == "C")
{
if (optionPrice + strike - underlyingPrice <= 1.0e-12)
{
GreeksOutput.Delta = 1;
return(GreeksOutput);
}
}
else if (optionType.ToUpper() == "P")
{
if (optionPrice - strike + underlyingPrice <= 1.0e-12)
{
GreeksOutput.Delta = -1;
return(GreeksOutput);
}
}
}
if (CalDte == 0)
{
if (optionType.ToUpper() == "C")
{
if (strike <= underlyingPrice)
{
GreeksOutput.Delta = 1;
}
else
{
GreeksOutput.Delta = 0;
}
}
else if (optionType.ToUpper() == "P")
{
if (strike >= underlyingPrice)
{
GreeksOutput.Delta = -1;
}
else
{
GreeksOutput.Delta = 0;
}
}
return(GreeksOutput);
}
if (optionType.ToUpper() == "C")
{
OptionTypeObj = QLNet.Option.Type.Call;
}
else if (optionType.ToUpper() == "P")
{
OptionTypeObj = QLNet.Option.Type.Put;
}
else
{
return(GreeksOutput);
}
if (exerciseType.ToUpper() == "E")
{
ExerciseObj = new QLNet.EuropeanExercise(ExpirationDateObj);
}
else if (exerciseType.ToUpper() == "A")
{
ExerciseObj = new QLNet.AmericanExercise(CalculationDateObj, ExpirationDateObj);
}
else
{
return(GreeksOutput);
}
QLNet.Settings.setEvaluationDate(CalculationDateObj);
QLNet.Handle <Quote> UnderlyingObj = new QLNet.Handle <Quote>(new QLNet.SimpleQuote(underlyingPrice));
QLNet.Handle <YieldTermStructure> FlatRateObj = new QLNet.Handle <YieldTermStructure>(new QLNet.FlatForward(CalculationDateObj, riskFreeRate, DayCountObj));
QLNet.Handle <BlackVolTermStructure> FlatVolTsObj = new QLNet.Handle <BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, impliedVol, DayCountObj));
QLNet.BlackProcess BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);
QLNet.PlainVanillaPayoff PayoffObj = new QLNet.PlainVanillaPayoff(OptionTypeObj, strike);
QLNet.VanillaOption OptionObj = new QLNet.VanillaOption(PayoffObj, ExerciseObj);
if (engineName == "baw")
{
OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
}
else if (engineName == "fda")
{
OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
}
else
{
return(GreeksOutput);
}
if (!double.IsNaN(optionPrice))
{
try
{
ImpliedVol = OptionObj.impliedVolatility(targetValue: optionPrice, process: BlackProc, accuracy: 1e-5);
}
catch
{
return(GreeksOutput);
}
FlatVolTsObj = new QLNet.Handle <BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, ImpliedVol, DayCountObj));
BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);
if (engineName == "baw")
{
OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
}
else if (engineName == "fda")
{
OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
}
OptionPrice = optionPrice;
}
else
{
OptionPrice = OptionObj.NPV();
ImpliedVol = impliedVol;
}
OptionObj = new QLNet.VanillaOption(PayoffObj, new QLNet.EuropeanExercise(ExpirationDateObj));
OptionObj.setPricingEngine(new QLNet.AnalyticEuropeanEngine(BlackProc));
GreeksOutput.Delta = OptionObj.delta();
GreeksOutput.Vega = OptionObj.vega();
GreeksOutput.Theta = OptionObj.thetaPerDay();
GreeksOutput.Gamma = OptionObj.gamma();
GreeksOutput.OptionPrice = OptionPrice;
GreeksOutput.ImpliedVol = ImpliedVol;
return(GreeksOutput);
}
public override void calculate()
{
Utils.QL_REQUIRE(process_.x0() > 0.0, () => "negative or null underlying given");
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-striked payoff given");
Exercise exercise = arguments_.exercise;
double t = process_.riskFreeRate().link.dayCounter().yearFraction(process_.riskFreeRate().link.referenceDate(),
exercise.lastDate());
double a = model_.link.parameters()[0];
double sigma = model_.link.parameters()[1];
double eta = process_.blackVolatility().link.blackVol(exercise.lastDate(), payoff.strike());
double varianceOffset;
if (a * t > Math.Pow(Const.QL_EPSILON, 0.25))
{
double v = sigma * sigma / (a * a) * (t + 2 / a * Math.Exp(-a * t) - 1 / (2 * a) * Math.Exp(-2 * a * t) - 3 / (2 * a));
double mu = 2 * rho_ * sigma * eta / a * (t - 1 / a * (1 - Math.Exp(-a * t)));
varianceOffset = v + mu;
}
else
{
// low-a algebraic limit
double v = sigma * sigma * t * t * t * (1 / 3.0 - 0.25 * a * t + 7 / 60.0 * a * a * t * t);
double mu = rho_ * sigma * eta * t * t * (1 - a * t / 3.0 + a * a * t * t / 12.0);
varianceOffset = v + mu;
}
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(
new ShiftedBlackVolTermStructure(varianceOffset, process_.blackVolatility()));
GeneralizedBlackScholesProcess adjProcess =
new GeneralizedBlackScholesProcess(process_.stateVariable(),
process_.dividendYield(),
process_.riskFreeRate(),
volTS);
AnalyticEuropeanEngine bsmEngine = new AnalyticEuropeanEngine(adjProcess);
VanillaOption option = new VanillaOption(payoff, exercise);
option.setupArguments(bsmEngine.getArguments());
bsmEngine.calculate();
results_ = bsmEngine.getResults() as OneAssetOption.Results;
}
public DiscretizedVanillaOption(VanillaOption.Arguments args, StochasticProcess process, TimeGrid grid) {
arguments_ = args;
stoppingTimes_ = new InitializedList<double>(args.exercise.dates().Count);
for (int i=0; i<stoppingTimes_.Count; ++i) {
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (!grid.empty()) {
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
protected override void performCalculations()
{
exerciseDate_ = calendar_.advance(termStructure_.link.referenceDate(), maturity_);
tau_ = termStructure_.link.timeFromReference(exerciseDate_);
type_ = strikePrice_ * termStructure_.link.discount(tau_) >=
s0_.link.value() * dividendYield_.link.discount(tau_)
? Option.Type.Call
: Option.Type.Put;
StrikedTypePayoff payoff = new PlainVanillaPayoff(type_, strikePrice_);
Exercise exercise = new EuropeanExercise(exerciseDate_);
option_ = new VanillaOption(payoff, exercise);
base.performCalculations();
}
public override void calculate()
{
AmericanExercise ex = arguments_.exercise as AmericanExercise;
Utils.QL_REQUIRE(ex != null, () => "non-American exercise given");
Utils.QL_REQUIRE(ex.payoffAtExpiry(), () => "payoff must be at expiry");
Utils.QL_REQUIRE(ex.dates()[0] <= process_.blackVolatility().link.referenceDate(), () =>
"American option with window exercise not handled yet");
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-striked payoff given");
double spot = process_.stateVariable().link.value();
Utils.QL_REQUIRE(spot > 0.0, () => "negative or null underlying given");
double variance = process_.blackVolatility().link.blackVariance(ex.lastDate(), payoff.strike());
double?barrier = arguments_.barrier;
Utils.QL_REQUIRE(barrier > 0.0, () => "positive barrier value required");
Barrier.Type barrierType = arguments_.barrierType;
// KO degenerate cases
if ((barrierType == Barrier.Type.DownOut && spot <= barrier) ||
(barrierType == Barrier.Type.UpOut && spot >= barrier))
{
// knocked out, no value
results_.value = 0;
results_.delta = 0;
results_.gamma = 0;
results_.vega = 0;
results_.theta = 0;
results_.rho = 0;
results_.dividendRho = 0;
return;
}
// KI degenerate cases
if ((barrierType == Barrier.Type.DownIn && spot <= barrier) ||
(barrierType == Barrier.Type.UpIn && spot >= barrier))
{
// knocked in - is a digital european
Exercise exercise = new EuropeanExercise(arguments_.exercise.lastDate());
IPricingEngine engine = new AnalyticEuropeanEngine(process_);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
results_.value = opt.NPV();
results_.delta = opt.delta();
results_.gamma = opt.gamma();
results_.vega = opt.vega();
results_.theta = opt.theta();
results_.rho = opt.rho();
results_.dividendRho = opt.dividendRho();
return;
}
double riskFreeDiscount = process_.riskFreeRate().link.discount(ex.lastDate());
AnalyticBinaryBarrierEngine_helper helper = new AnalyticBinaryBarrierEngine_helper(
process_, payoff, ex, arguments_);
results_.value = helper.payoffAtExpiry(spot, variance, riskFreeDiscount);
}
public static Greeks GetOptionOnFutureGreeks(double underlyingPrice,double strike,double riskFreeRate,
DateTime expirationDate, DateTime calculationDate, string optionType, string exerciseType,
double optionPrice=double.NaN,double impliedVol=0.15,string engineName="baw")
{
QLNet.Date ExpirationDateObj = new QLNet.Date(expirationDate.Day, expirationDate.Month, expirationDate.Year);
QLNet.Date CalculationDateObj = new QLNet.Date(calculationDate.Day, calculationDate.Month, calculationDate.Year);
QLNet.DayCounter DayCountObj = new QLNet.Actual365Fixed();
QLNet.Calendar CalendarObj = new QLNet.UnitedStates();
Greeks GreeksOutput = new Greeks();
QLNet.Option.Type OptionTypeObj;
QLNet.Exercise ExerciseObj;
double ImpliedVol;
double OptionPrice;
int CalDte = DayCountObj.dayCount(CalculationDateObj, ExpirationDateObj);
GreeksOutput.CalDte = CalDte;
if (!double.IsNaN(optionPrice))
{
if (optionType.ToUpper() == "C")
{
if (optionPrice + strike - underlyingPrice <= 1.0e-12)
{
GreeksOutput.Delta = 1;
return GreeksOutput;
}
}
else if (optionType.ToUpper() == "P")
{
if (optionPrice - strike + underlyingPrice <= 1.0e-12)
{
GreeksOutput.Delta = -1;
return GreeksOutput;
}
}
}
if (CalDte == 0)
{
if (optionType.ToUpper() == "C")
{
if (strike <= underlyingPrice)
{
GreeksOutput.Delta = 1;
}
else
{
GreeksOutput.Delta = 0;
}
}
else if (optionType.ToUpper() == "P")
{
if (strike >= underlyingPrice)
{
GreeksOutput.Delta = -1;
}
else
{
GreeksOutput.Delta = 0;
}
}
return GreeksOutput;
}
if (optionType.ToUpper() == "C")
{
OptionTypeObj = QLNet.Option.Type.Call;
}
else if (optionType.ToUpper() == "P")
{
OptionTypeObj = QLNet.Option.Type.Put;
}
else
{
return GreeksOutput;
}
if (exerciseType.ToUpper() == "E")
{
ExerciseObj = new QLNet.EuropeanExercise(ExpirationDateObj);
}
else if (exerciseType.ToUpper() == "A")
{
ExerciseObj = new QLNet.AmericanExercise(CalculationDateObj, ExpirationDateObj);
}
else
{
return GreeksOutput;
}
QLNet.Settings.setEvaluationDate(CalculationDateObj);
QLNet.Handle<Quote> UnderlyingObj = new QLNet.Handle<Quote>(new QLNet.SimpleQuote(underlyingPrice));
QLNet.Handle<YieldTermStructure> FlatRateObj = new QLNet.Handle<YieldTermStructure>(new QLNet.FlatForward(CalculationDateObj, riskFreeRate, DayCountObj));
QLNet.Handle<BlackVolTermStructure> FlatVolTsObj = new QLNet.Handle<BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, impliedVol, DayCountObj));
QLNet.BlackProcess BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);
QLNet.PlainVanillaPayoff PayoffObj = new QLNet.PlainVanillaPayoff(OptionTypeObj, strike);
QLNet.VanillaOption OptionObj = new QLNet.VanillaOption(PayoffObj, ExerciseObj);
if (engineName == "baw")
{
OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
}
else if (engineName == "fda")
{
OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
}
else
{
return GreeksOutput;
}
if (!double.IsNaN(optionPrice))
{
try
{
ImpliedVol = OptionObj.impliedVolatility(targetValue:optionPrice, process:BlackProc,accuracy:1e-5);
}
catch
{
return GreeksOutput;
}
FlatVolTsObj = new QLNet.Handle<BlackVolTermStructure>(new QLNet.BlackConstantVol(CalculationDateObj, CalendarObj, ImpliedVol, DayCountObj));
BlackProc = new QLNet.BlackProcess(UnderlyingObj, FlatRateObj, FlatVolTsObj);
if (engineName == "baw")
{
OptionObj.setPricingEngine(new QLNet.BaroneAdesiWhaleyApproximationEngine(BlackProc));
}
else if (engineName == "fda")
{
OptionObj.setPricingEngine(new QLNet.FDAmericanEngine(BlackProc, 100, 100));
}
OptionPrice = optionPrice;
}
else
{
OptionPrice = OptionObj.NPV();
ImpliedVol = impliedVol;
}
OptionObj = new QLNet.VanillaOption(PayoffObj, new QLNet.EuropeanExercise(ExpirationDateObj));
OptionObj.setPricingEngine(new QLNet.AnalyticEuropeanEngine(BlackProc));
GreeksOutput.Delta = OptionObj.delta();
GreeksOutput.Vega = OptionObj.vega();
GreeksOutput.Theta = OptionObj.thetaPerDay();
GreeksOutput.Gamma = OptionObj.gamma();
GreeksOutput.OptionPrice = OptionPrice;
GreeksOutput.ImpliedVol = ImpliedVol;
return GreeksOutput;
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// master data load
this.indexOptionDAO_.SelectOwn();
// market data load
// index data
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
QLNet.Settings.setEvaluationDate(calcDate);
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexOptionDAO_.UNDERLYING_INDEX_CD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
double indexData = clstb.LAST;
// curveData --------------------------------------------------
string curve_cd = "IRSKRW";
YieldCurve curveManager = new YieldCurve();
curveManager.loadCurveData(calcDate,curve_cd,clsHDAT_CURVEDATA_TB.RATE_TYP_Type.YTM);
QLNet.YieldTermStructure yield_ts = curveManager.yieldCurve();
// calculate
string maturityDateStr = this.indexOptionDAO_.MATURITY_DT;
System.Globalization.CultureInfo us
= new System.Globalization.CultureInfo("en-US");
DateTime maturityDate = DateTime.ParseExact(maturityDateStr, "yyyyMMdd", us);
DayCounter dc = new Actual365Fixed();
Calendar cal = new NullCalendar();
double vol = 0.3;
double strike = this.indexOptionDAO_.STRIKE;
PlainVanillaPayoff strikePayoff = new PlainVanillaPayoff(Option.Type.
Call, strike);
Exercise exercise = new EuropeanExercise(maturityDate);
VanillaOption q_option = new VanillaOption(strikePayoff,exercise);
Handle<Quote> x0 = new Handle<Quote>(new SimpleQuote(indexData));
FlatForward flatForward = new FlatForward(calcDate,0.01,dc);
Handle<YieldTermStructure> dividendTS = new Handle<YieldTermStructure>(flatForward);
Handle<YieldTermStructure> riskFreeTS = new Handle<YieldTermStructure>(yield_ts);
BlackConstantVol blackConstVol = new BlackConstantVol(calcDate,cal,vol,dc);
Handle<BlackVolTermStructure> blackVolTS = new Handle<BlackVolTermStructure>(blackConstVol);
GeneralizedBlackScholesProcess process =new GeneralizedBlackScholesProcess(x0 ,dividendTS,riskFreeTS,blackVolTS);
AnalyticEuropeanEngine europeanEngine = new AnalyticEuropeanEngine(process);
q_option.setPricingEngine(europeanEngine);
double value = q_option.NPV();
double indexMultiplier = this.indexOptionDAO_.INDEX_MULTIPLIER;
int quantity = this.indexOptionDAO_.QUANTITY;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.indexOptionDAO_.INSTRUMENT_ID,calcDateStr);
result_tb.CALC_DT = calcDateStr;
result_tb.INSTRUMENT_ID = this.indexOptionDAO_.INSTRUMENT_ID;
result_tb.INSTRUMENT_TYP = this.indexOptionDAO_.INSTRUMENT_TYP;
result_tb.UNDERLYING_ID = "KOSPI200";
result_tb.UNDERLYING_VALUE = indexData;
//result_tb.SEQ = 1;
result_tb.DELTA = (q_option.delta() * indexData / 100) * indexMultiplier * quantity; // 1% Delta
result_tb.GAMMA = 0.5 * (q_option.gamma() * indexData / 100) * indexMultiplier * quantity; // 1% Gamma
result_tb.VEGA = q_option.vega() / 100 * indexMultiplier * quantity; // 1% point Vega
result_tb.CALC_PRICE = value * indexMultiplier * quantity;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
// price
if (result_tb.UpdateDateResult() == 0)
{ throw new Exception("update result fail. no exist , calcDate : " + calcDate.ToString("yyyyMMdd") + " , inst_id : " + result_tb.INSTRUMENT_ID); }
// delta
// gamma and others : no exist ?
}
//static void Main(string[] args)
//{
// List<double> xGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// List<double> yGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// //List<double> xGrid = Enumerable.Range(0, 100);
// CubicInterpolation cubic = new CubicInterpolation(xGrid, xGrid.Count, yGrid,
// CubicInterpolation.DerivativeApprox.Kruger, true,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0);
//}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
// set up dates
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.May, 1998);
Date settlementDate = new Date(17, Month.May, 1998);
Settings.setEvaluationDate(todaysDate);
// our options
Option.Type type = Option.Type.Put;
double underlying = 36;
double strike = 40;
double dividendYield = 0.00;
double riskFreeRate = 0.06;
double volatility = 0.20;
Date maturity = new Date(17, Month.May, 1999);
DayCounter dayCounter = new Actual365Fixed();
Console.WriteLine("Option type = " + type);
Console.WriteLine("Maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Strike = " + strike);
Console.WriteLine("Risk-free interest rate = {0:0.000000%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.000000%}", dividendYield);
Console.WriteLine("Volatility = {0:0.000000%}", volatility);
Console.Write("\n");
string method;
Console.Write("\n");
// write column headings
int[] widths = new int[] { 35, 14, 14, 14 };
Console.Write("{0,-" + widths[0] + "}", "Method");
Console.Write("{0,-" + widths[1] + "}", "European");
Console.Write("{0,-" + widths[2] + "}", "Bermudan");
Console.WriteLine("{0,-" + widths[3] + "}", "American");
List<Date> exerciseDates = new List<Date>(); ;
for (int i = 1; i <= 4; i++)
exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
Exercise bermudanExercise = new BermudanExercise(exerciseDates);
Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption = new VanillaOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
europeanOption.theta();
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Integral
method = "Integral";
europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Finite differences
int timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps - 1));
americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps - 1));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
ulong mcSeed = 42;
IPricingEngine mcengine1 = new MakeMCEuropeanEngine<PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
int nSamples = 32768; // 2^15
IPricingEngine mcengine2 = new MakeMCEuropeanEngine<LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples)
.value();
europeanOption.setPricingEngine(mcengine2);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
IPricingEngine mcengine3 = new MakeMCAmericanEngine<PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
americanOption.setPricingEngine(mcengine3);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", "N/A");
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// End test
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void calculate(GBMParaViewModel para)
{
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
double volatility = 0.0;
if (this.callPutEnum_ == Option.Type.Call)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_,true), 1);
}
}
else if (this.callPutEnum_ == Option.Type.Put)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_,true), 1);
}
}
Date maturity = new Date(this.maturiry_);
DayCounter dayCounter = new Actual365Fixed();
//// write column headings
//int[] widths = new int[] { 35, 14, 14, 14 };
//Console.Write("{0,-" + widths[0] + "}", "Method");
//Console.Write("{0,-" + widths[1] + "}", "European");
//Console.Write("{0,-" + widths[2] + "}", "Bermudan");
//Console.WriteLine("{0,-" + widths[3] + "}", "American");
//List<Date> exerciseDates = new List<Date>(); ;
//for (int i = 1; i <= 4; i++)
// exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
//Exercise bermudanExercise = new BermudanExercise(exerciseDates);
//Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(),6);
this.deltaCal_ = Math.Round(europeanOption.delta(),6);
this.gammaCal_= Math.Round(europeanOption.gamma(),6);
this.vegaCal_ = Math.Round(europeanOption.vega()/ 100, 6);
this.thetaCal_= Math.Round(europeanOption.theta()/ 365,6) ;
this.rhoCal_ = Math.Round(europeanOption.rho() / 100, 6);
}
//public override void calculate(Excel_instrumentViewModel excel_inst)
//{
// //#region Setting
// //Excel_compositeOptionViewModel compOptionVM = excel_interface as Excel_compositeOptionViewModel;
// //if (compOptionVM == null)
// //{
// // //error
// //}
// //Calendar calendar = new TARGET();
// //Date todaysDate = todaysDate = ProgramVariable.ReferenceDate_;
// //Date settlementDate = todaysDate;
// //Settings.setEvaluationDate(todaysDate);
// //DayCounter dayCounter = new Actual365Fixed();
// //if (this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
// //{
// // //error
// //}
// //Excel_geometricBMViewModel gbm = this.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_[0].Excel_underlyingModel_paraViewModel_ as Excel_geometricBMViewModel;
// //double currentValue = Convert.ToDouble(gbm.CurrentValue_);
// //SimpleQuote quote = new SimpleQuote(currentValue);
// //Handle<Quote> underlyingH = new Handle<Quote>(quote);
// //double drift = Convert.ToDouble(gbm.Drift_);
// //double dividendYield = Convert.ToDouble(gbm.Dividend_);
// //double volatility = Convert.ToDouble(gbm.Volatility_);
// //SimpleQuote volQuote = new SimpleQuote(volatility);
// //Handle<Quote> volH = new Handle<Quote>(volQuote);
// //var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, drift, dayCounter));
// //var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
// //Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volH, dayCounter));
// //BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// //double value = 0.0;
// //DateTime exDate = compOptionVM.ExerciseDate_;
// //List<QLNet.OneAssetOption> optionList = new List<QLNet.OneAssetOption>();
// //foreach (Excel_compositeOption_subtypeViewModel item in compOptionVM.Excel_compositeOption_subtypeViewModelList_)
// //{
// // optionList.Add(this.option(item, bsmProcess, exDate));
// //}
// ////------------------------------------------------
// //foreach (var item in optionList)
// //{
// // value = value + item.NPV();
// //}
// //if (this.Separable_)
// //{
// // double matrutiryPayAmt = 0.0;
// // Excel_yieldCurveViewModel e_ycvm
// // = this.Excel_discountCurve_paraViewModel_.discountYieldCurve("KRW");
// // QLNet.YieldTermStructure yts = e_ycvm.yieldCurve();
// // value += matrutiryPayAmt;
// //}
// //#endregion
// //#region Calculation
// //quote.setValue(currentValue*1.01);
// //double sup = optionList[0].NPV();
// //quote.setValue(currentValue * 0.99);
// //double sdown = optionList[0].NPV();
// //double delta = (sup - sdown) / (currentValue * 0.02);
// //double gamma = (sup * sup - 2 * value + sdown * sdown) / (currentValue * 0.01 * currentValue * 0.01);
// //quote.setValue(currentValue);
// //volQuote.setValue(volatility - 0.01);
// //double voldown = optionList[0].NPV();
// //volQuote.setValue(volatility + 0.01);
// //double volup = optionList[0].NPV();
// //double vega = (volup - voldown) / 2;
// //#endregion
// //#region Result
// //this.Excel_resultViewModel_.Price_ = value.ToString();
// //double baseUnderlyingValue = Convert.ToDouble(
// // excel_interface.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_[0].BasePrice_);
// //this.Excel_resultViewModel_.PercentPrice_ = (100 * value / baseUnderlyingValue).ToString();
// //double notional = Convert.ToDouble(excel_interface.Excel_issueInfoViewModel_.Notional_);
// //this.Excel_resultViewModel_.EvalAmount_ = ( notional * ( value / baseUnderlyingValue) ).ToString();
// //#endregion
// //double gamma = optionList[0].gamma();
// //double vega = optionList[0].vega();
//}
private QLNet.OneAssetOption option(Excel_compositeOption_subtypeViewModel compositeOptionVM,
BlackScholesMertonProcess bsmProcess,
DateTime exDate)
{
Date exerciseDate = new Date(exDate);
if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_VANILLACALLPUT")
{
Excel_vanillaCallPutViewModel e_vcpvm = compositeOptionVM as Excel_vanillaCallPutViewModel;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, e_vcpvm.StrikeValue_);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.VanillaOption vanillaOption = new VanillaOption(payoff, ex);
return vanillaOption;
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_UPINOUTCALL" ||
compositeOptionVM.Excel_Type_.ToUpper() == "EXCEL_DOWNINOUTCALL" )
{
Excel_upInOutCallViewModel e_uiocvm = compositeOptionVM as Excel_upInOutCallViewModel;
Barrier.Type type = Barrier.Type.UpOut;
if (e_uiocvm.InOut_.ToString() == "IN")
{
type = Barrier.Type.UpIn;
}
double strikeValue = e_uiocvm.StrikeValue_;
double barrierValue = e_uiocvm.BarrierValue_;
double partiRate = Convert.ToDouble(e_uiocvm.PartiRate_)/100.0;
double rebateValue = Convert.ToDouble(e_uiocvm.RebateCouponValue_);
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, strikeValue);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, barrierValue, partiRate, rebateValue, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return barrierOption;
}
else if (compositeOptionVM.Excel_Type_.ToUpper() == "")
{
Barrier.Type type = Barrier.Type.DownOut;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call, 261.4);
QLNet.EuropeanExercise ex = new EuropeanExercise(exerciseDate);
QLNet.BarrierOption barrierOption = new QLNet.BarrierOption(type, 313.68, 0.32, 0.0, payoff, ex);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
return barrierOption;
}
else
{
throw new Exception("unknown compositeOptionType");
}
}
public void calculate(double[] p, GBMParaViewModel para)
{
this.xData_ = p;
this.yData_ = new double[p.Length];
double sellBuySign = 1.0;
if (this.sellBuy_ == "매도")
{
sellBuySign = -1.0;
}
else
{
}
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
if (this.callPutEnum_ == Option.Type.Call)
{
this.imVol_ = para.Call_Interpolation_.value(this.strike_);
}
else if (this.callPutEnum_ == Option.Type.Put)
{
this.imVol_ = para.Put_Interpolation_.value(this.strike_);
}
double volatility = (this.imVol_ ) / 100;
Date maturity = new Date(this.maturiry_.AddDays(1));
if (this.callPutEnum_ == 0)
{
this.deltaCal_ = 1.0;
this.gammaCal_ = 0.0;
this.vegaCal_ = 0.0;
this.thetaCal_ = 0.0;
this.rhoCal_ = 0.0;
this.deltaPosition_ = sellBuySign * this.unit_ * 500000 * underlying;
this.deltaRisk_ = this.deltaPosition_ * 0.09;
this.gammaRisk_ = 0.0;
this.vegaRisk_ = 0.0;
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
return;
}
DayCounter dayCounter = new Actual365Fixed();
Exercise europeanExercise = new EuropeanExercise(maturity);
SimpleQuote quote = new SimpleQuote(underlying);
Handle<Quote> underlyingH = new Handle<Quote>(quote);
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(), 6);
this.deltaCal_ = sellBuySign * Math.Round(europeanOption.delta(), 6);
this.gammaCal_ = sellBuySign * Math.Round(europeanOption.gamma(), 6);
this.vegaCal_ = sellBuySign * Math.Round(europeanOption.vega() / 100, 6);
this.thetaCal_ = sellBuySign * Math.Round(europeanOption.theta() / 365, 6);
this.rhoCal_ = sellBuySign * Math.Round(europeanOption.rho() / 100, 6);
this.deltaPosition_ = Math.Round(this.deltaCal_ * this.unit_ * 500000 * underlying,0);
this.deltaRisk_ = Math.Round(this.deltaPosition_ * 0.09,0);
this.gammaRisk_ = Math.Round(0.5 * this.gammaCal_ * (underlying * underlying * 0.08 * 0.08) * this.unit_ * 500000, 0);
this.vegaRisk_ = Math.Round(this.vegaCal_ * this.imVol_ * 0.25 * this.unit_ * 500000, 0);
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
for (int i = 0; i < this.xData_.Length; i++)
{
quote.setValue(this.xData_[i]);
this.yData_[i] = 500000.0 * (double)this.unit_ * europeanOption.NPV();
}
}
