public static double BsCallDelta(double s, double k, double r, double σ, double q, double T)
{
var d1 = (Log(s / k) + T * (r - q + σ * σ / 2)) / (σ * Sqrt(T));
var n1 = ExcelFunc.NormCdf(d1);
return(Exp(-q * T) * n1);
}
public static double BsCallRho(double s, double k, double r, double σ, double q, double T)
{
var d1 = (Log(s / k) + (r - q + 0.5 * σ * σ) * T) / (σ * Sqrt(T));
var d2 = d1 - σ * Sqrt(T);
var n2 = ExcelFunc.NormCdf(d2);
return(T * Exp(-r * T) * k * n2);
}
public static double BsCall(double s, double k, double r, double σ, double q, double T)
{
var d1 = (Log(s / k) + T * (r - q + σ * σ / 2)) / (σ * Sqrt(T));
var d2 = (Log(s / k) + T * (r - q - σ * σ / 2)) / (σ * Sqrt(T));
var n1 = ExcelFunc.NormCdf(d1);
var n2 = ExcelFunc.NormCdf(d2);
return(Exp(-q * T) * s * n1 - Exp(-r * T) * k * n2);
}
public static double BsCallTheta(double s, double k, double r, double σ, double q, double T)
{
var d1 = (Log(s / k) + (r - q + 0.5 * σ * σ) * T) / (σ * Sqrt(T));
var d2 = d1 - σ * Sqrt(T);
var n1 = ExcelFunc.NormCdf(d1);
var n2 = ExcelFunc.NormCdf(d2);
var nd1 = Exp(-d1 * d1 / 2) / Sqrt(2 * PI);
return(-Exp(-q * T) * s * nd1 * σ / 2 / Sqrt(T) + q * Exp(-q * T) * s * n1 - r * Exp(-r * T) * k * n2);
}
