public EuropeanCallOption(string name, object stockP, object strike, object riskFree, object maturity,
object sigma = null, object price = null) : base(name, maturity)
{
this.StockPrice = Input(stockP);
this.Strike = Input(strike);
this.RiskFree = Input(riskFree);
if (sigma != null)
{
this.Sigma = Input(sigma);
this.Price = GenericOption.PriceFunc(
() => Math.Exp(-this.StockDivd() * this.Maturity()) * this.StockPrice(),
() => Math.Exp(-this.RiskFree() * this.Maturity()) * this.Strike(),
this.Sigma, this.Maturity);
}
else if (price != null)
{
this.Price = Input(price);
this.Sigma = () => {
var t = new EuropeanCallOption(string.Empty, this.StockPrice, this.Strike,
this.RiskFree, this.Maturity, sigma: 0);
return(Bisection.Search(t.RemoteLink(nameof(t.Sigma), nameof(t.Price)), this.Price(), (0, 1)));
};
}
else
{
throw new ArgumentNullException(nameof(sigma), "sigma and price can't be both null");
}
}
/// <summary>
/// Initial instance of <see cref="ExchangeOption"/> from two <see cref="Stock"/>s. Use Margrabe Formula to price.
/// </summary>
/// <param name="name">Name of the deferred exchange option</param>
/// <param name="s1">Asset to be received</param>
/// <param name="s2">Asset to be delivered</param>
/// <param name="rho">Correlation between two assets</param>
/// <param name="maturity">Time to maturity of option</param>
public ExchangeOption(string name, Stock s1, Stock s2, object rho, object maturity) : base(name, maturity)
{
this.Rho = Input(rho);
this.Price = GenericOption.PriceFunc(() => Math.Exp(-s1.Divd() * this.Maturity()) * s1.Price(),
() => Math.Exp(-s2.Divd() * this.Maturity()) * s2.Price(),
() => Math.Sqrt(
Math.Pow(s1.Sigma(), 2) + Math.Pow(s2.Sigma(), 2) -
2 * this.Rho() * s1.Sigma() * s2.Sigma()), this.Maturity);
}
/// <summary>
/// Initial instance of <see cref="DeferredExchangeOption"/> from two <see cref="Stock"/>s. Use Margrabe Formula to price.
/// </summary>
/// <param name="name">Name of the deferred exchange option</param>
/// <param name="s1">Asset to be received</param>
/// <param name="s2">Asset to be delivered</param>
/// <param name="rho">Correlation between two assets</param>
/// <param name="optionMaturity">Time to maturity of option</param>
/// <param name="exchangeMaturity">Time until exchange >= TOption</param>
public DeferredExchangeOption(string name, Stock s1, Stock s2, object rho, object optionMaturity,
object exchangeMaturity) : base(name, s1, s2, rho, optionMaturity)
{
this.ExchangeMaturity = Input(exchangeMaturity);
this.Price = GenericOption.PriceFunc(() => Math.Exp(-s1.Divd() * this.ExchangeMaturity()) * s1.Price(),
() => Math.Exp(-s2.Divd() * this.ExchangeMaturity()) * s2.Price(),
() => Math.Sqrt(
Math.Pow(s1.Sigma(), 2) + Math.Pow(s2.Sigma(), 2) -
2 * this.Rho() * s1.Sigma() * s2.Sigma()), this.Maturity);
}
/// <summary>
/// Initial instance of <see cref="GenericOption"/>
/// </summary>
/// <param name="name">Name of the option</param>
/// <param name="pv1">Present value of asset to be received</param>
/// <param name="pv2">Present value of asset to be delivered</param>
/// <param name="maturity">Time to maturity</param>
/// <param name="sigma">Volatility of the option (Pricing mode)</param>
/// <param name="price">Price of the option (Imp_vol mode)</param>
public GenericOption(string name, object pv1, object pv2, object maturity,
object sigma = null, object price = null) : base(name, maturity)
{
this.Pv1 = Input(pv1);
this.Pv2 = Input(pv2);
if (sigma != null)
{
this.Sigma = Input(sigma);
this.Price = PriceFunc(this.Pv1, this.Pv2, this.Sigma, this.Maturity);
}
else if (price != null)
{
this.Price = Input(price);
this.Sigma = () => {
var t = new GenericOption(string.Empty, this.Pv1, this.Pv2, this.Maturity, sigma: 0);
return(Bisection.Search(updateFunc: t.RemoteLink(xName: "Sigma", yName: "Price"), target: this.Price(), range: (0, 1)));
};
}
else
{
throw new ArgumentNullException(nameof(sigma), "sigma and price can't be both null");
}
}
