public BtResult CalculateBtK1(double r, double sigma, double t, double K, double S, int n, double T)
{
BtResult bt = new BtResult();
bt.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(K, K, r, sigma, t);
bt.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(bt.IntegralPointD1, sigma, t);
bt.Distribution = _distribution.CumulativeDistribution(bt.IntegralPointD1.Result.Value);
bt.a = CalculateAValue(sigma, t);
bt.Result.Value = CalculateBtK1(sigma, K, r, t, bt);
return(bt);
}
public async Task <IntegralFunction> CalculateAsync(int n, double T, double r, double sigma, double t, double S, double K, BtResult Btksi)
{
IntegralFunction integralFunction = new IntegralFunction();
UnderIntegral[] underIntegral = new UnderIntegral[n];
for (int i = 0; i < n; i++)
{
UnderIntegral ui = new UnderIntegral();
ui.h = (T / n);
ui.ksi = i * ui.h;
ui.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(S, Btksi.Result.Value, r, sigma, t - ui.ksi);
ui.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(ui.IntegralPointD1, sigma, t - ui.ksi);
ui.Distribution = _distribution.CumulativeDistribution(-ui.IntegralPointD2.Result.Value);
ui.Result.Value = CalculateUnderIntegral(r, K, t, ui.ksi, ui.Distribution) * ui.h;
underIntegral[i] = ui;
integralFunction.Result.Value += ui.Result.Value;
}
integralFunction.UnderIntegral = underIntegral;
return(integralFunction);
}
public EuropeanPutResult Calculate(double K, double S, double r, double t, double sigma)
{
EuropeanPutResult ePut = new EuropeanPutResult();
ePut.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(S, K, r, sigma, t);
ePut.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(ePut.IntegralPointD1, sigma, t);
ePut.Distribution1 = _distribution.CumulativeDistribution(-ePut.IntegralPointD1.Result.Value);
ePut.Distribution2 = _distribution.CumulativeDistribution(-ePut.IntegralPointD2.Result.Value);
ePut.Result.Value = CalculateValue(K, S, r, t, ePut);
return(ePut);
}
