/// <summary>
/// Gets the theta.
/// </summary>
/// <returns></returns>
public double GetTheta()
{
double spot = Tree.Underlying(0, 0);
double tau = Tree.Time;
int n1 = _dividendDays.Length;
int n2 = _rateDays.Length;
BinomialTreePricer lhs1 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, _volatility, Tree.Columns, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
int[] divDays1 = new int[n1];
for (int idx = 0; idx < n1; idx++)
{
divDays1[idx] = Math.Max(_dividendDays[idx] - 1, 0);
}
int[] rateDays1 = new int[n2];
for (int idx = 0; idx < n2; idx++)
{
rateDays1[idx] = Math.Max(_rateDays[idx] - 1, 0);
}
BinomialTreePricer lhs2 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau - 1.0 / 365.0, _volatility, Tree.Columns, _flatFlag, Style, Smoothing, rateDays1, _rateAmounts, divDays1, _dividendAmounts, _treeType);
double p1 = lhs1.GetPrice();
double p2 = lhs2.GetPrice();
double theta = lhs2.GetPrice() - lhs1.GetPrice();
return(theta);
}
/// <summary>
/// Gets the vega.
/// </summary>
/// <returns></returns>
public double GetVega()
{
double spot = Tree.Underlying(0, 0);
double tau = Tree.Time;
BinomialTreePricer lhs1 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, 0.99 * _volatility, Tree.Columns, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
BinomialTreePricer lhs2 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, 1.01 * _volatility, Tree.Columns, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
double p1 = lhs1.GetPrice();
double p2 = lhs2.GetPrice();
double vega = 0.0;
if (_volatility != 0)
{
vega = 0.01 * (p2 - p1) / (2 * 0.01 * _volatility);
}
return(vega);
}
/// <summary>
/// Gets the gamma.
/// </summary>
/// <returns></returns>
public double GetGamma()
{
double spot = Tree.Underlying(0, 0);
int steps = Tree.Columns + 2;
double tau = Tree.Time * (1 + 2 / steps);
BinomialTreePricer clone = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, _volatility, steps, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
double[] s = new double[3];
double[] c = new double[3];
for (int i = 0; i <= 2; ++i)
{
s[i] = clone.Tree.Underlying(2, i);
c[i] = clone.GetPriceMatrix(2, i);
}
double gamma = 2 * (s[0] * (c[1] - c[2]) + s[1] * (c[2] - c[0]) + s[2] * (c[0] - c[1]))
/ (s[1] - s[0]) / (s[2] - s[0]) / (s[2] - s[1]);
return(gamma);
}
