public void CheckValidUserInput(double S, double K, double t, double sigma, double r)
{
BlackScholesParametersModel inputs = new BlackScholesParametersModel(S, K, t, sigma, r);
Assert.IsTrue(UsefulTools.IsBlackScholesVariablesValid(new List <double>()
{
S, K, t, sigma, r
}));
}
public void ReturnTheCorrectValueOfCall(double S, double K,
double t, double sigma,
double r, double expectedPriceValue)
{
BlackScholesParametersModel inputs = new BlackScholesParametersModel(S, K, t, sigma, r);
CallOption callOption = new CallOption();
OptionModel call = callOption.GetOptionData(inputs);
Assert.AreEqual(expectedPriceValue, call.Value, 0.0001);
}
public OptionModel GetOptionData(BlackScholesParametersModel inputs)
{
try
{
double d1 = ComputeD1(inputs);
double d2 = ComputeD2(inputs, d1);
double optionPrice = ComputeOptionPrice(inputs, d1, d2);
return(new OptionModel(OptionType, optionPrice));
}
catch (Exception)
{
throw;
}
}
public void Reset()
{
try
{
Inputs = new BlackScholesParametersModel();
Call = null;
Put = null;
UpdateAppStatus("Reset operation successfully completed.");
}
catch (Exception ex)
{
UpdateAppStatus(ex.Message);
}
}
public void TestResetCalculator(double S, double K, double t, double sigma, double r)
{
BlackScholesParametersModel inputs = new BlackScholesParametersModel(S, K, t, sigma, r);
MainViewModel mvm = new MainViewModel
{
Inputs = inputs
};
mvm.ComputeOptionsPrice();
mvm.Reset();
Assert.IsNull(mvm.Call);
Assert.IsNull(mvm.Put);
Assert.IsFalse(UsefulTools.IsBlackScholesVariablesValid(mvm.Inputs.InputParametersDict.Values.ToList()));
}
protected double ComputeD2(BlackScholesParametersModel inputs, double d1)
{
return(d1 - (inputs.Volatility * Math.Sqrt(inputs.Time)));
}
protected double ComputeD1(BlackScholesParametersModel inputs)
{
return((Math.Log(inputs.Stock / inputs.Strike) + (inputs.InterestRate + (Math.Pow(inputs.Volatility, 2) / 2)) * inputs.Time) / (inputs.Volatility * Math.Sqrt(inputs.Time)));
}
protected abstract double ComputeOptionPrice(BlackScholesParametersModel inputs, double d1, double d2);
protected override double ComputeOptionPrice(BlackScholesParametersModel inputs, double d1, double d2)
{
return(Math.Round((inputs.Strike * Math.Exp(-inputs.InterestRate * inputs.Time) * CND(-d2)) - (inputs.Stock * CND(-d1)), 4));
}
public MainViewModel()
{
Inputs = new BlackScholesParametersModel();
}
