static public double CalcDeltaValue(
InitialTerm.InitialParameter param,
double forward,
double strike,
double volatility,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
var d1 = DFuncCalculator.CalcDValue(param, volatility, param.tau, forward, strike);
var d2 = d1 - volatility * Math.Sqrt(param.tau);
switch (deltaType)
{
case InitialTerm.DeltaType.PipsSpotDelta:
return((int)type
* Math.Exp(-param.rateOfForeign * param.tau) * CDF((int)type * d1));
case InitialTerm.DeltaType.PercentageSpotDelta:
return((int)type
* Math.Exp(-param.rateOfDomestic * param.tau) * strike
/ param.spotRate * CDF((int)type * d2));
default:
return(0.0);
}
}
static public double CalcStrike(
InitialTerm.InitialParameter param,
double forward,
double volatility,
InitialTerm.DeltaType deltaType,
InitialTerm.VolatilityType volatilityType)
{
switch (volatilityType)
{
case InitialTerm.VolatilityType.ATM:
return(CalcAtmStrike(param, forward, volatility, deltaType));
case InitialTerm.VolatilityType.MS25Call:
return(CalcInvCdf(
param, volatility, forward, 0.25, Type, deltaType));
case InitialTerm.VolatilityType.MS25Put:
return(CalcInvCdf(
param, volatility, forward, -0.25, Type, deltaType));
case InitialTerm.VolatilityType.MS10Call:
return(CalcInvCdf(
param, volatility, forward, 0.1, Type, deltaType));
case InitialTerm.VolatilityType.MS10Put:
return(CalcInvCdf(
param, volatility, forward, -0.1, Type, deltaType));
default:
return(0);
}
}
private static double CalcAtmStrike(
InitialTerm.InitialParameter param,
double forward,
double volatility,
InitialTerm.DeltaType deltaType)
{
double strike = 0.0;
if (deltaType == InitialTerm.DeltaType.PipsSpotDelta ||
deltaType == InitialTerm.DeltaType.PercentageForwardDelta)
{
strike = forward * Math.Exp(volatility * volatility * param.tau / 2.0);
}
else
{
strike = forward * Math.Exp(-volatility * volatility * param.tau / 2.0);
}
return(strike);
}
public static double CalcInvCdf(
InitialTerm.InitialParameter param,
double volatility,
double forward,
double delta,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
Volatility = volatility;
Forward = forward;
DeltaType = deltaType;
Number = delta;
var strikeCalculator = new StrikrCalcultor(param);
return(UseBisection.Calc(
strikeCalculator.DeltaFunctionOfStrike,
0.5 * param.spotRate,
2.0 * param.spotRate));
}