// Class STFutOption
public static void Example2()
{
// Option data for opt1 and opt2
double CoP = -1;
double underlying = 99.23;
double strike = 99.25;
double daysToExpiry = 82;
double yieldVol = 0.449; // (_priceVol * _underlying) / (100 - _underlying);
// option data only for
double daysPerYear = 360;
STFutOption myOpt1 = new STFutOption(CoP, underlying, strike, daysToExpiry, yieldVol);
STFutOption myOpt2 = new STFutOption(CoP, underlying, strike, daysToExpiry, yieldVol, daysPerYear);
// Showing Data
Console.WriteLine("CoP = {0}; underlying = {1}; strike = {2}; daysToExpiry = {3}; yieldVol = {4}",
CoP, underlying, strike, daysToExpiry, yieldVol);
Console.WriteLine("daysPerYear Opt1 = {0} daysPerYear Opt2 = {1}", 365, daysPerYear);
Console.WriteLine("CoP\t opt1: {0}\t opt2: {1}", myOpt1.COP, myOpt2.COP);
Console.WriteLine("Price\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Price() / 100, myOpt2.Price() / 100);
Console.WriteLine("Delta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Delta(), myOpt2.Delta());
Console.WriteLine("Gamma\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Gamma(), myOpt2.Gamma());
Console.WriteLine("Theta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Theta(), myOpt2.Theta());
Console.WriteLine("Vega \t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Vega(), myOpt2.Vega());
// Changing data:now opt2 become a call, underlying and expiry change
myOpt2.SwitchCallPut(); // now is a call
underlying = 99.05; // new price
daysToExpiry--; // a day pass
// updating options
myOpt1.new_DaysToExpiry = daysToExpiry;
myOpt2.new_DaysToExpiry = daysToExpiry;
myOpt1.new_S = underlying;
myOpt2.new_S = underlying;
// showing new data
Console.WriteLine("underlying = {0}; daysToExpiry = {1}", underlying, daysToExpiry);
Console.WriteLine("CoP\t opt1: {0}\t opt2: {1}", myOpt1.COP, myOpt2.COP);
Console.WriteLine("Price\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Price() / 100, myOpt2.Price() / 100);
Console.WriteLine("Delta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Delta(), myOpt2.Delta());
Console.WriteLine("Gamma\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Gamma(), myOpt2.Gamma());
Console.WriteLine("Theta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Theta(), myOpt2.Theta());
Console.WriteLine("Vega \t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Vega(), myOpt2.Vega());
}
