private Numerator CalculateNumerator(IntegralPoint D1)
{
Numerator numerator = new Numerator();
numerator.Result = D1.Result;
return(numerator);
}
public IntegralPoint CalculateIntegralPointD1(double S, double B, double r, double sigma, double t)
{
IntegralPoint integralPoint = new IntegralPoint();
integralPoint.Numerator = CalculateNumerator(S, B, r, sigma, t);
integralPoint.Denominator = CalculateDenominator(sigma, t);
integralPoint.Result.Value = integralPoint.Numerator.Result.Value / integralPoint.Denominator.Result.Value;
return(integralPoint);
}
public IntegralPoint CalculateIntegralPointD2(IntegralPoint D1, double sigma, double t)
{
IntegralPoint integralPoint = new IntegralPoint();
integralPoint.Numerator = CalculateNumerator(D1);
integralPoint.Denominator = CalculateDenominator(sigma, t);
integralPoint.Result.Value = integralPoint.Numerator.Result.Value - integralPoint.Denominator.Result.Value;
return(integralPoint);
}
public async Task <IntegralFunction> CalculateAsync(int n, double T, double r, double sigma, double t, IntegralPoint D2)
{
IntegralFunction integralFunction = new IntegralFunction();
UnderIntegral[] underIntegral = new UnderIntegral[n];
for (int i = 0; i < n; i++)
{
UnderIntegral ui = new UnderIntegral();
ui.h = (T / n);
ui.ksi = i * ui.h;
ui.Result.Value = CalculateUnderIntegral(r, sigma, t, ui.ksi, D2) * ui.h;
underIntegral[i] = ui;
integralFunction.Result.Value += ui.Result.Value;
}
integralFunction.UnderIntegral = underIntegral;
return(integralFunction);
}
private static double CalculateUnderIntegral(double r, double sigma, double t, double ksi, IntegralPoint D2)
{
return((r / sigma * Math.Sqrt(2 * Math.PI * (t - ksi))) *
Math.Exp(-(r * (t - ksi) + (0.5 * Math.Pow(D2.Result.Value, 2)))));
}
