public double[] calculate(Value temp, double[,] matrix, string p, bool isant, PayoffDelegate2 payoff)//calculate all the greeks, temp is all values, matrix is random number matrix, payoff is Payoff function
{
double[] result = new double[5];
double s = temp.S, k = temp.K, r = temp.r, e = temp.e, t = temp.T;
double a, b, c, dd = 0.01;
temp.S = (1 + dd) * s;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.S = s;
temp.S = (1 - dd) * s;
b = diff(temp, matrix, p, isant, payoff)[0];
result[0] = greek(a, b, s, "delta");
temp.S = s;
// f.BeginInvoke(f.myDelegate);
c = diff(temp, matrix, p, isant, payoff)[0];
temp.K = (1 + dd) * k;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.K = k;
temp.K = (1 - dd) * k;
b = diff(temp, matrix, p, isant, payoff)[0];
result[1] = greek(a, b, c, "gamma");
temp.K = k;
// f.BeginInvoke(f.myDelegate);
temp.e = (1 + dd) * e;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.e = e;
temp.e = (1 - dd) * e;
b = diff(temp, matrix, p, isant, payoff)[0];
result[2] = greek(a, b, e, "vega");
temp.e = e;
// f.BeginInvoke(f.myDelegate);
temp.T = (1 + dd) * t;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.T = t;
temp.T = (1 - dd) * t;
b = diff(temp, matrix, p, isant, payoff)[0];
result[3] = -greek(a, b, t, "theta");
temp.T = t;
// f.BeginInvoke(f.myDelegate);
temp.r = (1 + dd) * r;
a = diff(temp, matrix, p, isant, payoff)[0];
temp.r = r;
temp.r = (1 - dd) * r;
b = diff(temp, matrix, p, isant, payoff)[0];
result[4] = greek(a, b, r, "rho");
temp.r = r;
// f.BeginInvoke(f.myDelegate);
return result;
}
private double[] diff(Value temp, double[,] matrix, string s, bool isant, PayoffDelegate2 payoff)//calculate the greeks, matrix is the random matrix generated before
{
double dt = temp.T / (temp.step - 1);
double[] result = new double[2];
/*for (int i = 0; i < temp.trial; i++)
{
newmatrix[i, 0] = temp.S;
for (int j = 1; j < temp.step; j++)
newmatrix[i, j] = newmatrix[i, j - 1] * Math.Exp((temp.r - temp.e * temp.e * 0.5) *dt + (temp.e * Math.Sqrt(dt) * matrix[i, j]));
}*/
result = payoff(temp, matrix, isant, s);
return result;
}
