static void TestImpliedVol(double sigma = 0.1, //volatilty
double S = 100, //underlying price
double K = 100, //strike price
double r = 0.05, //risk free rate
double T = 1) //time to maturity in years
{
double CallOptionPrice = BlackScholesFormula.CalculateCallOptionPrice(sigma, S, K, r, T);
double PutOptionPrice = BlackScholesFormula.CalculatePutOptionPrice(sigma, S, K, r, T);
System.Console.WriteLine("Price of a call option using Black Scholes formula is: {0}", BlackScholesFormula.CalculateCallOptionPrice(sigma, S, K, r, T));
System.Console.WriteLine("Price of a put option using Black Scholes formula is: {0}", BlackScholesFormula.CalculatePutOptionPrice(sigma, S, K, r, T));
System.Console.WriteLine("Implied volatiliy of a call option given the price from Black Scholes is: {0}", BlackScholesImpliedVolEuropean.CalculateImpliedVolCall(10, S, K, r, T));
System.Console.WriteLine("Implied volatiliy of a put option given the price from Black Scholes is: {0}", BlackScholesImpliedVolEuropean.CalculateImpliedVolPut(3, S, K, r, T));
}
public static object DupireSsviEuropeanVanillaOptionPrice([ExcelArgument(Description = "the current risky asset price")] double S0,
[ExcelArgument(Description = "constant continuously compounded rate of return")] double riskFreeRate,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double alpha,
[ExcelArgument(Description = "parameter in theta(t) := alpha^2(e^(beta^2 t) - 1)")] double beta,
[ExcelArgument(Description = "SSVI parameter")] double gamma,
[ExcelArgument(Description = "SSVI parameter")] double eta,
[ExcelArgument(Description = "SSVI parameter")] double rho,
[ExcelArgument(Description = "option maturity (time to expiry)")] double maturity,
[ExcelArgument(Description = "option strike")] double strike,
[ExcelArgument(Description = "option type, 'C' for call 'P' for put")] string type)
{
try
{
Ssvi SsviSurface = new Ssvi(alpha, beta, gamma, eta, rho);
double k = Math.Log(strike * Math.Exp(-riskFreeRate * maturity) / S0);
double sigmaBs = Math.Sqrt(SsviSurface.OmegaSsvi(maturity, k) / maturity);
if (type == "Call" || type == "call" || type == "C" || type == "c")
{
return(BlackScholesFormula.CalculateCallOptionPrice(sigmaBs, S0, k, riskFreeRate, maturity));
}
else if (type == "Put" || type == "put" || type == "P" || type == "p")
{
return(BlackScholesFormula.CalculatePutOptionPrice(sigmaBs, S0, k, riskFreeRate, maturity));
}
else
{
throw new ArgumentException("Input must be either Call, call, C, c, Put, put, P or p.");
}
}
catch (Exception e)
{
XLInterfaceBase.AddErrorMessage("DupireSsviEuropeanVanillaOptionPrice error: " + e.Message);
}
return(FunctionError);
}