/// <summary>
/// Gets the price.
/// </summary>
/// <returns></returns>
public double GetPrice()
{
int numresets = _resetDays.Length;
int readings = _resetAmts.Count(item => (item > 0));
if (readings == numresets)
{
double av = _resetAmts.Average();
double df = EquityAnalytics.GetDFCCLin365(0, _tau, _rtdays, _rtamts);
return((av - _strike) * df);
}
double newstrike = TransformStrike(numresets, readings);
int nleft = numresets - readings;
int[] reset_days = new int[nleft];
double[] vols = new double[nleft];
for (int idx = 0; idx < nleft; idx++)
{
reset_days[idx] = _resetDays[idx + readings];
vols[idx] = _vols[idx + readings];
}
double newprice = GetPrice(newstrike, numresets - readings, reset_days, vols);
return(newprice * (numresets - readings) / numresets);
}
/// <summary>
/// Gets the price.
/// </summary>
/// <param name="strike">The strike.</param>
/// <param name="numResets">The num_resets.</param>
/// <param name="resetDays"></param>
/// <param name="vols">The vols.</param>
/// <returns></returns>
public double GetPrice(double strike, int numResets, int[] resetDays, double[] vols)
{
double bond = 0.0;
int numVols = _vols.Length;
double[] covxxi;
double[] varlogs;
double[] forwards = new double[numResets];
double mu = CalcMu(ref forwards, resetDays, vols);
double sigma = CalcSigma(resetDays, vols);
varlogs = CalcVarLogs(resetDays, vols);
covxxi = CalcCovXXI(varlogs, vols.Length);
if (strike <= 0)
{
bond = System.Math.Abs(strike);
strike = cEpsilon;
}
double z0 = (mu - System.Math.Log(strike)) / sigma;
double i1 = 0.0;
for (int idx = 0; idx < numResets; idx++)
{
double x1 = z0 + (covxxi[idx] / sigma);
double n1 = _nd.CumulativeDistribution(x1);
i1 += n1 * forwards[idx] / (double)numResets;
}
double i2 = strike * _nd.CumulativeDistribution(z0);
double prem = i1 - i2;
double df = EquityAnalytics.GetDFCCLin365(0, _tau, _rtdays, _rtamts);
return((prem + bond) * df);
}
/// <summary>
/// Gets the price.
/// </summary>
/// <returns></returns>
public double GetPrice()
{
double fwd = EquityAnalytics.GetForwardCCLin365(_Spot, _tau, _divdays, _divamts, _ratedays, _rateamts);
double r = EquityAnalytics.GetRateCCLin365(0, _tau, _ratedays, _rateamts);
double q = EquityAnalytics.GetYieldCCLin365(_Spot, 0, _tau, _divdays, _divamts, _ratedays, _rateamts);
double df = EquityAnalytics.GetDFCCLin365(0, _tau, _ratedays, _rateamts);
double flatskewPrice = df * FlatSkewPrice(fwd, r, q);
double[] res = OptionAnalytics.OptWithGreeks(true, fwd, _Strike, _vol, _tau);
double callvega = res[3];
double price;
if (_isCall)
{
price = flatskewPrice - _skew * df * callvega;
}
else
{
price = flatskewPrice + _skew * df * callvega;
}
return(price);
}