public static BlackScholesClosedForm create()
{
double r;
double sig;
double K;
double T;
double d;
string type;
Console.Write("Strike ");
K = Convert.ToDouble(Console.ReadLine());
Console.Write("Sig ");
sig = Convert.ToDouble(Console.ReadLine());
Console.Write("Rate ");
r = Convert.ToDouble(Console.ReadLine());
Console.Write("Dividend ");
d = Convert.ToDouble(Console.ReadLine());
Console.Write("Expiry ");
T = Convert.ToDouble(Console.ReadLine());
Console.Write("Type ");
type = Convert.ToString(Console.ReadLine());
BlackScholesClosedForm option = new BlackScholesClosedForm(type, T, K, d, r, sig);
return(option);
}
public static void Display(this BlackScholesClosedForm option, double S)
{
Console.WriteLine(
"Display Ooption price+greeks in an Extension method");
Console.WriteLine("Price: {0}", option.Price(S));
Console.WriteLine("Delta: {0}", option.Delta(S));
Console.WriteLine("Gamma: {0}", option.Gamma(S));
//Console.WriteLine("Vega: {0}", option.Vega(S));
//Console.WriteLine("Theta: {0}", option.Theta(S));
//Console.WriteLine("Rho: {0}", option.Rho(S));
}
static void Main()
{
double spot = 100;
double expiry = 2;
double strike = 100;
double volatility = 0.1;
double interest = 0.02;
double dividend = 0.01;
string type = "CALL";
QLNet.PlainVanillaPayoff payoff = new QLNet.PlainVanillaPayoff(QLNet.Option.Type.Call, strike);
QLNet.BlackScholesCalculator bscal = new QLNet.BlackScholesCalculator(payoff, spot, dividend, volatility * expiry, interest);
Console.WriteLine(bscal.value());
//BlackScholesClosedForm bs = ConsoleBSOptionFactory.create();
BlackScholesClosedForm bs = new BlackScholesClosedForm(type, expiry, strike, interest, dividend, volatility);
Console.WriteLine(bs.Price(spot));
double[] price = bs.Price(0, 500, 200);
//for (int i = 0; i < price.Length; i++)
//{
// Console.WriteLine(price[i]);
//}
////Console.ReadLine();
// Finite Difference
double truncation = 500;
PdeBS pdeBS = new PdeBS(expiry, strike, volatility, interest, dividend, truncation, type);
Mesh xMesh = new Mesh(100, 0, 500);
Mesh tMesh = new Mesh(1000, 0, 2);
ThetaMethod test = new ThetaMethod(pdeBS, xMesh.getMesh());
test.solve(tMesh.getMesh().ToArray(), 1);
test.current();
//FDM fdm = new FDM(pdeBS);
//FDMDirector fdmDirector = new FDMDirector(fdm, xMesh.getMesh(), tMesh.getMesh());
//fdmDirector.Start();
//Vector<double> result = fdmDirector.current();
//double valueResult = MathNet.Numerics.Interpolate.Linear(xMesh.getMesh(), result).Interpolate(strike);
////double[] test = new double[price.Length];
////for (int i = 0; i < price.Length; i++)
////{
//// test[i] = price[i] - result[i];
//// Console.WriteLine(test[i]);
////}
//Console.WriteLine(valueResult);
//Console.ReadLine();
}
public static double[] Price(this BlackScholesClosedForm option, double low, double upper, int NSteps)
{
double h = (upper - low) / NSteps;
double S = low;
double[] price = new double[NSteps];
for (int i = 0; i < NSteps; i++)
{
price[i] = option.Price(S);
S += h;
}
return(price);
}
