static public double CalcDeltaValue(
InitialTerm.InitialParameter param,
double forward,
double strike,
double volatility,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
var d1 = DFuncCalculator.CalcDValue(param, volatility, param.tau, forward, strike);
var d2 = d1 - volatility * Math.Sqrt(param.tau);
switch (deltaType)
{
case InitialTerm.DeltaType.PipsSpotDelta:
return((int)type
* Math.Exp(-param.rateOfForeign * param.tau) * CDF((int)type * d1));
case InitialTerm.DeltaType.PercentageSpotDelta:
return((int)type
* Math.Exp(-param.rateOfDomestic * param.tau) * strike
/ param.spotRate * CDF((int)type * d2));
default:
return(0.0);
}
}
static public double CalcOptionPrice(
InitialTerm.InitialParameter param,
double forward,
double strike,
double d1,
double d2,
InitialTerm.CallPutType type)
{
return((int)type * forward * Math.Exp(-param.rateOfForeign * param.tau)
* Normal.CDF(0, 1, (int)type * d1)
- strike * Normal.CDF(0, 1, (int)type * d2));
}
public static double CalcInvCdf(
InitialTerm.InitialParameter param,
double volatility,
double forward,
double delta,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
Volatility = volatility;
Forward = forward;
DeltaType = deltaType;
Number = delta;
var strikeCalculator = new StrikrCalcultor(param);
return(UseBisection.Calc(
strikeCalculator.DeltaFunctionOfStrike,
0.5 * param.spotRate,
2.0 * param.spotRate));
}
