private void btnCalculateIV_Click(object sender, EventArgs e)
{
try
{
var blackNScholesCaculator = new BlackNScholesCaculator()
{
DayLefts = DayLefts,
RiskFreeInterestRate = this.RiskFreeInterestRate,
StockPrice = this.StockPrice,
Strike = this.StrikePrice
};
var iv = OptionType == EOptionType.Call
? blackNScholesCaculator.GetCallIVBisections(OptionPrice)
: blackNScholesCaculator.GetPutIVBisections(OptionPrice);
txtBNSBisections.Text = iv.ToString(CultureInfo.InvariantCulture);
txtIterationCounter.Text = blackNScholesCaculator.IterationCounter.ToString();
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
/// <summary>
/// Calculate the IV according the actual prices, UNL and option price.
/// </summary>
/// <param name="optionData"></param>
/// <returns></returns>
public double CalculateIVByOptionPrice(OptionData optionData)
{
var blackNScholesCaculator = new BlackNScholesCaculator()
{
DayLefts = optionData.DaysLeft,
Multiplier = optionData.Multiplier,
RiskFreeInterestRate = RiskFreeInterestRate,
StockPrice = optionData.UnderlinePrice,
Strike = optionData.OptionContract.Strike,
};
double iv = 0;
try
{
iv = optionData.OptionContract.OptionType == EOptionType.Call
? blackNScholesCaculator.GetCallIVBisections(optionData.PriceOfOneOption)
: blackNScholesCaculator.GetPutIVBisections(optionData.PriceOfOneOption);
}
catch (Exception ex)
{
Logger.Error(ex.Message + ": wrong calculation, ImpliedVolatility = 0 !!!!", ex);
}
return(iv);
}
private void btnCalculate_Click(object sender, EventArgs e)
{
try
{
BlackNScholesCaculator blackNScholesCaculator = new BlackNScholesCaculator()
{
DayLefts = DayLefts,
ImpliedVolatilities = this.ImpliedVolatilities,
//OptionType = EOptionTypes.Put,
RiskFreeInterestRate = this.RiskFreeInterestRate,
StockPrice = this.StockPrice,
Strike = this.StrikePrice
};
blackNScholesCaculator.CalculateAll();
double resValue = blackNScholesCaculator.CallValue;
lblCallB_SValue.Text = resValue.ToString("#0.00");
resValue = blackNScholesCaculator.PutValue;
lblPutB_SValue.Text = resValue.ToString("#0.00");
lblPutDelta.Text = blackNScholesCaculator.DeltaPut.ToString("#0.00");
lblCallDelta.Text = blackNScholesCaculator.DeltaCall.ToString("#0.00");
lblCallGama.Text = blackNScholesCaculator.GamaCall.ToString("#0.0000");
lblPutGama.Text = blackNScholesCaculator.GamaPut.ToString("#0.0000");
lblCallTheta.Text = blackNScholesCaculator.ThetaCall.ToString("#0.00");
lblPutTheta.Text = blackNScholesCaculator.ThetaPut.ToString("#0.00");
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
/// <summary>
/// Use BnS equation to calculate the values (Greek parameters).
/// </summary>
/// <param name="bnSCalculationData"></param>
private void CalculateBnSValues(BnSCalculationData bnSCalculationData)
{
var blackNScholesCaculator = new BlackNScholesCaculator
{
DayLefts = bnSCalculationData.DayLeftsForCalc,
ImpliedVolatilities = bnSCalculationData.ImpliedVolatilitiesForCalc,
RiskFreeInterestRate = RiskFreeInterestRate,
StockPrice = bnSCalculationData.StockPrice,
Strike = bnSCalculationData.Strike,
Multiplier = bnSCalculationData.Multiplier
};
int multiplier = bnSCalculationData.Multiplier;
blackNScholesCaculator.CalculateAll();
if (bnSCalculationData.OptionType == EOptionType.Call)
{
bnSCalculationData.ResultDataValues.OptionPrice = double.IsNaN(blackNScholesCaculator.CallValue)
? 0
: blackNScholesCaculator.CallValue;
bnSCalculationData.ResultDataValues.Delta = blackNScholesCaculator.DeltaCall / multiplier;
bnSCalculationData.ResultDataValues.Gamma = blackNScholesCaculator.GamaCall / multiplier;
bnSCalculationData.ResultDataValues.Theta = blackNScholesCaculator.ThetaCall / multiplier;
bnSCalculationData.ResultDataValues.Vega = blackNScholesCaculator.VegaCall / multiplier;
}
else
{
bnSCalculationData.ResultDataValues.OptionPrice = double.IsNaN(blackNScholesCaculator.PutValue)
? 0
: blackNScholesCaculator.PutValue;
bnSCalculationData.ResultDataValues.Delta = blackNScholesCaculator.DeltaPut / multiplier;
bnSCalculationData.ResultDataValues.Gamma = blackNScholesCaculator.GamaPut / multiplier;
bnSCalculationData.ResultDataValues.Theta = blackNScholesCaculator.ThetaPut / multiplier;
bnSCalculationData.ResultDataValues.Vega = blackNScholesCaculator.VegaPut / multiplier;
}
}
