public static double ImpliedVolatility(double S, double X, double t, double r, double P, EOptionType OptionType, EPutCall PutCall, EOptionPrice Method, int n, double Eps)
{
double num1 = 0.0;
double num2 = 10.0;
double num3 = 0.0;
double s = 0.0;
while (Math.Abs(num2 - num1) > Eps)
{
s = num1 + (num2 - num1) / 2.0;
switch (Method)
{
case EOptionPrice.BlackScholes:
num3 = FinMath.BS(S, X, t, s, r, PutCall);
break;
case EOptionPrice.Binomial:
num3 = FinMath.BM(S, X, t, s, r, PutCall, n);
break;
case EOptionPrice.MonteCarlo:
num3 = FinMath.MC(S, X, t, s, r, PutCall, n);
break;
}
if (num3 > P)
{
num2 = s;
}
else
{
num1 = s;
}
}
return(s);
}
public static double p(double t, double s, int n, double r)
{
double num1 = FinMath.FV2(1.0, r, t / (double)n);
double num2 = FinMath.u(t, s, n);
double num3 = FinMath.d(t, s, n);
return((num1 - num3) / (num2 - num3));
}
public static double MC(double S, double X, double t, double s, double r, EPutCall PutCall, int n)
{
double num1 = (r - 0.5 * s * s) * t;
double num2 = s * Math.Sqrt(t);
double num3 = 0.0;
for (int index = 0; index < n; ++index)
{
num3 += FinMath.Payoff(S * Math.Exp(num1 + num2 * Random.Gaus()), X, PutCall);
}
return(FinMath.PV4(num3 / (double)n, r, t));
}
public static double BM(double S, double X, double t, double s, double r, EPutCall PutCall, int n)
{
double F = 0.0;
double x1 = FinMath.u(t, s, n);
double x2 = FinMath.d(t, s, n);
double p = FinMath.p(t, s, n, r);
for (int m = 0; m <= n; ++m)
{
F += FinMath.Binom(m, n, p) * FinMath.Payoff(S * Math.Pow(x1, (double)m) * Math.Pow(x2, (double)(n - m)), X, PutCall);
}
return(FinMath.PV4(F, r, t));
}
public static double Rho(double S, double X, double t, double s, double r, EPutCall PutCall)
{
switch (PutCall)
{
case EPutCall.Call:
return(X * t * Math.Exp(-r * t) * FinMath.N(FinMath.d2(S, X, t, s, r)));
case EPutCall.Put:
return(-X *t *Math.Exp(-r *t) * FinMath.N(-FinMath.d2(S, X, t, s, r)));
default:
return(0.0);
}
}
public static double Theta(double S, double X, double t, double s, double r, EPutCall PutCall)
{
switch (PutCall)
{
case EPutCall.Call:
return(-S *FinMath.n(FinMath.d1(S, X, t, s, r)) * s / (2.0 * Math.Sqrt(t)) - r * X * Math.Exp(-r * t) * FinMath.N(FinMath.d2(S, X, t, s, r)));
case EPutCall.Put:
return(-S *FinMath.n(FinMath.d1(S, X, t, s, r)) * s / (2.0 * Math.Sqrt(t)) + r * X * Math.Exp(-r * t) * FinMath.N(-FinMath.d2(S, X, t, s, r)));
default:
return(0.0);
}
}
public static double Delta(double S, double X, double t, double s, double r, EPutCall PutCall)
{
switch (PutCall)
{
case EPutCall.Call:
return(FinMath.N(FinMath.d1(S, X, t, s, r)));
case EPutCall.Put:
return(FinMath.N(FinMath.d1(S, X, t, s, r)) - 1.0);
default:
return(0.0);
}
}
public static double Payoff(double S, double X, EPutCall PutCall)
{
switch (PutCall)
{
case EPutCall.Call:
return(FinMath.Call(S, X));
case EPutCall.Put:
return(FinMath.Put(S, X));
default:
return(0.0);
}
}
public static double ImpliedVolatility(double S, double X, double t, double r, double P, EOptionType OptionType, EPutCall PutCall, EOptionPrice Method)
{
int n = 0;
switch (Method)
{
case EOptionPrice.Binomial:
n = 100;
break;
case EOptionPrice.MonteCarlo:
n = 100000;
break;
}
double Eps = 0.001;
return(FinMath.ImpliedVolatility(S, X, t, r, P, OptionType, PutCall, Method, n, Eps));
}
public static double Binom(int m, int n, double p)
{
return(FinMath.C(m, n) * Math.Pow(p, (double)m) * Math.Pow(1.0 - p, (double)(n - m)));
}
public static double C(int m, int n)
{
return(FinMath.Fact(n) / (FinMath.Fact(m) * FinMath.Fact(n - m)));
}
public static DateTime Max(DateTime DateTime1, DateTime DateTime2, DateTime DateTime3)
{
return(FinMath.Max(FinMath.Max(DateTime1, DateTime2), DateTime3));
}
public static double Vega(double S, double X, double t, double s, double r)
{
return(S * Math.Sqrt(t) * FinMath.n(FinMath.d1(S, X, t, s, r)));
}
public static double Gamma(double S, double X, double t, double s, double r)
{
return(FinMath.n(FinMath.d1(S, X, t, s, r)) / (S * s * Math.Sqrt(t)));
}
public static double d2(double S, double X, double t, double s, double r)
{
return(FinMath.d1(S, X, t, s, r) - s * Math.Sqrt(t));
}
public static double MC(double S, double X, double t, double s, double r, EPutCall PutCall)
{
return(FinMath.MC(S, X, t, s, r, PutCall, 100000));
}