/// <summary>
///
/// </summary>
/// <param name="fwd"></param>
/// <param name="tau1"></param>
/// <param name="strike1"></param>
/// <param name="rate1"></param>
/// <param name="sigma1"></param>
/// <param name="payoff"></param>
/// <returns></returns>
public double BSprice(double fwd, double tau1, double strike1, double rate1,
double sigma1, string payoff)
{
int s1;
if ((payoff.ToLower() == "p") | (payoff.ToLower() == "put"))
{
s1 = -1;
}
else
{
s1 = 1;
}
double d1 = (Math.Log(fwd / strike1) + 0.5 * sigma1 * sigma1 * tau1)
/ sigma1 / Math.Pow(tau1, 0.5);
double d2 = d1 - sigma1 * Math.Pow(tau1, 0.5);
double n1 = BasicMath.CND(s1 * d1);
double n2 = BasicMath.CND(s1 * d2);
return(s1 * (fwd * n1 - strike1 * n2) * Math.Exp(-rate1 * tau1));
}