public bool SimpleImpliedVolatilityTest()
{
OptionType type = OptionType.Call;
double strike = 31.21;
double spot = 31.525;
double volatility = 0.25116165;
double riskFreeRate = 0.085209;
double ttm = (double)35 / 365;
EquityOptionStaticData staticData = new EquityOptionStaticData(type, strike, spot, volatility, riskFreeRate, ttm);
IPriceable priceable = staticData.BuildPriceable();
double price = priceable.Price();
BlackScholes bs = new BlackScholes();
double volGuess = 0.25;
double relTolerance = 0.00001;
int maxAttempts = 10;
price = 1.28;
double impliedVol = bs.GetImpliedVolatility(type, price, spot, strike, riskFreeRate, ttm, volGuess, relTolerance, maxAttempts);
double relDiff = Math.Abs(impliedVol - volatility) / volatility;
if (relDiff <= relTolerance)
{
return(true);
}
else
{
return(false);
}
}
public double CallPrice()
{
OptionType type = OptionType.Call;
double strike = 29.14;
double spot = 27.04;
double volatility = 0.47;
double riskFreeRate = 0.1413;
double ttm = 11 / 252;
EquityOptionStaticData staticData = new EquityOptionStaticData(type, strike, spot, volatility, riskFreeRate, ttm);
IPriceable priceable = staticData.BuildPriceable();
double price = priceable.Price();
return(price);
}
public Rental(IPriceable movie, int daysRented)
{
Movie = movie;
DaysRented = daysRented;
}
private decimal getCost(IPriceable Sellable, decimal reduction, Pizza pizza)
{
decimal duplicator = 1;
if (Sellable is Ingredient)
{
string formaat = pizza.Formaat;
string vorm = pizza.Vorm;
int[] numbers = new int[6];
string number = "";
decimal Oppervlakte = 0;
switch (vorm)
{
case "Vierkant":
foreach (char thisChar in formaat)
{
if (thisChar == 'c')
{
break;
}
number += thisChar;
}
Oppervlakte = Convert.ToDecimal(Convert.ToInt32(number) * Math.PI);
break;
case "Rechthoek":
foreach (char thisChar in formaat)
{
if (thisChar == 'x')
{
numbers[0] = Convert.ToInt32(number);
number = "";
}
else if (thisChar == 'c')
{
numbers[1] = Convert.ToInt32(number);
break;
}
else
{
number += thisChar;
}
}
Oppervlakte = Convert.ToDecimal(numbers[0] * numbers[1]);
break;
case "Driehoek":
int x = 0;
foreach (char thisChar in formaat)
{
if (thisChar == 'x')
{
numbers[x] = Convert.ToInt32(number);
number = "";
x++;
}
else if (thisChar == 'c')
{
numbers[2] = Convert.ToInt32(number);
break;
}
else
{
number += thisChar;
}
}
Oppervlakte = Convert.ToDecimal(0.5 * number[0] * number[1]);
break;
}
duplicator = Oppervlakte;
}
return(Sellable.VerkoopPrijs - (Sellable.VerkoopPrijs * reduction));
}