private double OptionValueWrapper(DateTime ValuationDate)
{
//unpack the dividends into the required format and pass to COM dll
OptionValue32_CS.Pricer Pricer = new OptionValue32_CS.Pricer();
return(Pricer.OptionValue(
Strike,
UnderlyingPrice,
UnderlyingVolatility,
YearsToMaturity(ValuationDate),
Rate,
(short)Type,
(short)Style,
DividendString(ValuationDate)));
}
static void Test()
{
OptionValue32_CS.Pricer pricer = new OptionValue32_CS.Pricer();
double ret;
double strikePrice, underlyingPrice, underlyingVol, yearsToMaturity, riskFreeRate;
short optionType, optionStyle;
string dividends;
strikePrice = 0.99;
underlyingPrice = 0.9;
underlyingVol = 0.1;
yearsToMaturity = 0.25;
riskFreeRate = 0.04;
optionType = 0;
optionStyle = 0;
dividends = "0.15/0.03";
ret = pricer.OptionValue(strikePrice, underlyingPrice, underlyingVol, yearsToMaturity, riskFreeRate, optionType,
optionStyle, dividends);
MessageBox.Show("Result of test was " + ret.ToString());
}
