public OneTouch(string assetName, DateTime obsStart, DateTime obsEnd, double barrier, string discountCurve, Currency ccy, DateTime payDate, double notional, BarrierSide barrierSide, BarrierType barrierType, Currency simulationCcy)
: base(assetName, discountCurve, ccy, payDate, notional, simulationCcy)
{
_obsStart = obsStart;
_obsEnd = obsEnd;
_barrier = barrier;
_barrierType = barrierType;
_barrierSide = barrierSide;
_notional = new Vector <double>(notional);
_barrierVec = new Vector <double>(barrier);
}
public EuropeanBarrierOption(string assetName, DateTime obsStart, DateTime obsEnd, DateTime expiry, OptionType callPut, double strike, double barrier, string discountCurve, Currency ccy, DateTime payDate, double notional, BarrierSide barrierSide, BarrierType barrierType, Currency simulationCcy)
: base(assetName, discountCurve, ccy, payDate, notional, simulationCcy)
{
_obsStart = obsStart;
_obsEnd = obsEnd;
_expiry = expiry;
_callPut = callPut;
_barrierType = barrierType;
_barrierSide = barrierSide;
_notional = new Vector <double>(notional);
_barrierVec = new Vector <double>(barrier);
_strikeVec = new Vector <double>(strike);
}
public OneTouch(string assetName, DateTime obsStart, DateTime obsEnd, double barrier, string discountCurve, Currency ccy, DateTime payDate, double notional, BarrierSide barrierSide, BarrierType barrierType)
{
_obsStart = obsStart;
_obsEnd = obsEnd;
_barrier = barrier;
_discountCurve = discountCurve;
_ccy = ccy;
_payDate = payDate;
_barrierType = barrierType;
_barrierSide = barrierSide;
_assetName = assetName;
_notional = new Vector <double>(notional);
_barrierVec = new Vector <double>(barrier);
}
public EuropeanBarrierOption(string assetName, DateTime obsStart, DateTime obsEnd, DateTime expiry, OptionType callPut, double strike, double barrier, string discountCurve, Currency ccy, DateTime payDate, double notional, BarrierSide barrierSide, BarrierType barrierType)
{
_obsStart = obsStart;
_obsEnd = obsEnd;
_expiry = expiry;
_callPut = callPut;
_strike = strike;
_barrier = barrier;
_discountCurve = discountCurve;
_ccy = ccy;
_payDate = payDate;
_barrierType = barrierType;
_barrierSide = barrierSide;
_assetName = assetName;
_notional = new Vector <double>(notional);
_barrierVec = new Vector <double>(barrier);
_strikeVec = new Vector <double>(strike);
}
public static double BarrierAdjust(double barrier, double vol, double deltaT, BarrierSide side) =>
side == BarrierSide.Down
? barrier * Exp(0.5826 * vol * deltaT)
: barrier / Exp(0.5826 * vol * deltaT);
public static double BarrierOptionPV(double forward, double strike, double riskFreeRate, double expTime, double volatility, OptionType CP, double barrier, BarrierType barrierType, BarrierSide barrierSide)
{
var blackPV = BlackPV(forward, strike, riskFreeRate, expTime, volatility, CP);
var barrierHitProb = BarrierProbability(forward, forward, barrier, volatility, expTime, barrierSide);
return(barrierType == BarrierType.KI ? barrierHitProb * blackPV : (1.0 - barrierHitProb) * blackPV);
}
public static double BarrierProbability(double startFwd, double endFwd, double barrier, double sigma, double t, BarrierSide barrierSide) => barrierSide == BarrierSide.Down
? (Min(startFwd, endFwd) < barrier ? 1.0 : Exp(-2.0 * Log(startFwd / barrier) * Log(endFwd / barrier) / (sigma * sigma * t)))
: (Max(startFwd, endFwd) > barrier ? 1.0 : Exp(-2.0 * Log(startFwd / barrier) * Log(endFwd / barrier) / (sigma * sigma * t)));
