public static double beta_black_break_even(double beta, double f, double t, double sigma, double dt = 1.0 / 365.0)
{
try
{
//var pack = new OptionBetaBlack(beta, OptionType.Put, f, f, t, sigma);
//var gamma = pack.d2PV_dS2;
//if (gamma == 0.0) throw FS.FailWith($"Cannot compute breakeven, gamma is zero.");
//var res = Math.Sqrt(2.0 * pack.dPV_dT * dt / pack.d2PV_dS2);
var zz = 0.0;
var T_b = 0.0;
var f_b = 0.0;
beta_black_b(beta, OptionType.Put, f, f, t, sigma, ref zz, ref f_b, ref zz, ref T_b, ref zz, 1.0);
var df = Math.Sqrt(DoubleUtils.DoubleEpsilon) * (1.0 + Math.Abs(f));
var fup_b = 0.0;
beta_black_b(beta, OptionType.Put, f + df, f, t, sigma, ref zz, ref fup_b, ref zz, ref zz, ref zz, 1.0);
var gamma = (fup_b - f_b) / df;
if (gamma == 0.0)
{
throw FS.FailWith($"Cannot compute Break even, gamma is zero");
}
var res = Math.Sqrt(2.0 * T_b * dt / gamma);
// if (double.IsNaN(res)) throw FS.FailWith("Nan");
return(res);
}
catch (Exception e)
{
FS.WithInfo(e, $"beta ={beta}, f = {f}, t = {t}, sigma = {sigma}, dt = {dt}");
throw;
}
}
public static double beta_black_normal_vol(double beta, double F, double K, double T, double sigma)
{
var optType = OptionType.Put; // F > K ? OptionType.Put : OptionType.Call;
var bbPrice = beta_black(beta, optType, F, K, T, sigma);
try
{
return(ClosedForm.ibachelier(optType, F, K, T, bbPrice));
}
catch (Exception e)
{
FS.WithInfo(e, $"beta ={beta}, optType = {optType}, F = {F}, K = {K}, T = {T}, sigma = {sigma}, bbPrice = {bbPrice}");
throw;
}
}
