public void DigitalFacts()
{
var t = 1.0;
var f = 100;
var vol = 0.32;
var rf = 0.0;
var cp = OptionType.C;
var k = 110;
var digiPV = BlackFunctions.BlackDigitalPV(f, k, rf, t, vol, cp);
var spread = 0.0001;
var expected = (BlackFunctions.BlackPV(f, k, rf, t, vol, cp) - BlackFunctions.BlackPV(f, k + spread, rf, t, vol, cp)) / spread;
Assert.Equal(expected, digiPV, 6);
var iv = BlackFunctions.BlackDigitalImpliedVol(f, k, rf, t, digiPV, cp);
Assert.Equal(vol, iv, 6);
}
public double CDF(DateTime expiry, double fwd, double strike)
{
var t = TimeBasis.CalculateYearFraction(OriginDate, expiry);
var vol = GetVolForAbsoluteStrike(strike, expiry, fwd);
var nu = vol * Sqrt(t);
(var d1, var d2) = BlackFunctions.D1d2(fwd, strike, t, vol);
var vega = BlackFunctions.BlackVega(fwd, strike, 0.0, t, vol) / 0.01;
var digi = BlackFunctions.BlackDigitalPV(fwd, strike, 0.0, t, vol, OptionType.P);
var dvdk = Dvdk(strike, expiry, fwd);
return(digi + vega * dvdk);
//var dk = fwd * 1e-10;
//var volU = GetVolForAbsoluteStrike(strike + dk, expiry, fwd);
//var volD = GetVolForAbsoluteStrike(strike - dk, expiry, fwd);
//var pU = BlackFunctions.BlackPV(fwd, strike + dk, 0.0, t, volU, OptionType.P);
//var pD = BlackFunctions.BlackPV(fwd, strike - dk, 0.0, t, volD, OptionType.P);
//var dPdK = (pU - pD) / (2.0 * dk);
//return dPdK;
}
