private void CalculatePrices()
{
if (S <= 0 || K <= 0 || r <= 0 || t <= 0 || sigma <= 0)
{
ErrorMsg = "Please, fill all fields with values >0";
return;
}
else
{
ErrorMsg = "";
try
{
var bc = new BlacksCholes {
S = S, K = K, r = r, sigma = sigma, t = t
};
BlacksCholesCalculator.CalculatePremium(ref bc);
CallPrice = bc.Call;
PutPrice = bc.Put;
}
catch (DivideByZeroException ex)
{
ErrorMsg = "if you use / make sure to add .0 to the end of the number for example 180/365.0";
return;
}
catch (Exception ex)
{
ErrorMsg = ex.Message;
return;
}
}
}
public static void CalculatePremium(ref BlacksCholes b)
{
b.d1 = Calculate_d1(b);
b.d2 = Calculate_d2(b);
b.Call = CalculateCallPrice(b);
b.Put = CalculatePutPrice(b);
}
public void Calculate_d2(double S, double K, double t, double sigma, double r, double d2)
{
//Arrange
var blacksCholes = new BlacksCholes {
S = S, K = K, t = t, sigma = sigma, r = r
};
//Act
BlacksCholesCalculator.CalculatePremium(ref blacksCholes);
//Assert
Assert.AreEqual(d2, Math.Round(blacksCholes.d2, 4));
}
//Calculate the value of d1
static double Calculate_d1(BlacksCholes b)
{
try
{
double d1 = ((Math.Log(b.S / b.K) + (b.r + Math.Pow(b.sigma, 2) / 2.0) * b.t)) / (b.sigma * Math.Sqrt(b.t));
if (double.IsInfinity(d1))
{
throw new DivideByZeroException();
}
return(d1);
}
catch (Exception ex)
{
throw ex;
}
}
//Calculate the value of Put price
static double CalculatePutPrice(BlacksCholes b)
{
return(b.K * Math.Exp(-b.r * b.t) * NormalDistributionHelper.ND(-b.d2) - b.S * NormalDistributionHelper.ND(-b.d1));
}
//Calculate the value of d2
static double Calculate_d2(BlacksCholes b)
{
return(b.d1 - b.sigma * Math.Sqrt(b.t));
}
