/// <summary>
/// The method "Price" is dedicated to compute the price of the European Call or Put
/// </summary>
/// <param name=product>The product to be priced</param>
/// <returns>The expected price</returns>
public override double Price(FinancialProduct product)
{
double result = 0;
EuropeanOption euroOption = (product as EuropeanOption);
if (euroOption != null)
{
//do something with it
double d1 = (Log(euroOption.S / euroOption.K) + (euroOption.R + 0.5 * Pow(euroOption.Sigma, 2)) * euroOption.T) / (euroOption.Sigma * Sqrt(euroOption.T));
double d2 = (Log(euroOption.S / euroOption.K) + (euroOption.R - 0.5 * Pow(euroOption.Sigma, 2)) * euroOption.T) / (euroOption.Sigma * Sqrt(euroOption.T));
if (euroOption.OptionType == Constants.EuroOptionType.Call)
{
result = (euroOption.S * Cndf(d1) - euroOption.K * Exp(-euroOption.R * euroOption.T) * Cndf(d2));
}
else if (euroOption.OptionType == Constants.EuroOptionType.Put)
{
result = (euroOption.K * Exp(-euroOption.R * euroOption.T) * Cndf(-d2) - euroOption.S * Cndf(-d1));
}
}
return(Math.Round(result, iPrecision));
}
/// <summary>
/// The method CheckInputData represents parts that check the input data, converts them to the suitable formats
/// and build the product to be priced later,
/// it contains the definition of the input part, the verification of these ones and the display of the output results
/// </summary>
/// <param name=product>The product to be build and returned</param>
/// <param name=iPrecision>The precision of Round of the final result, </param>
/// <param name=strErrorMsg>The error Message that will be returned in case of issue</param>
/// <returns>bool: the method was successfully finished or not</returns>
private bool CheckInputData(out FinancialProduct product, ref int iPrecision, ref string strErrorMsg)
{
string strStockPrice = StockPriceTextBox.Text.ToString();
string strStrikePrice = strikePriceTextBox.Text.ToString();
string strTimeToMaturity = timeToMatTextBox.Text.ToString();
string strStdDerivUnderlying = StdDerivUnderlyingTextBox.Text.ToString();
string strRiskFreeInterestRate = RiskFreeInterestRateTextBox.Text.ToString();
string strFloatPrecision = floatPrecisionTextBox.Text.ToString();
double dStockPrice = 0;
double dStrikePrice = 0;
double dTimeToMaturity = 0;
double dStdDerivUnderlying = 0;
double dRiskFreeInterestRate = 0;
bool bDataInput = true;
Constants.Culture culture = 0;
if (cultureComboBox.SelectedIndex > -1)
{
if (cultureComboBox.SelectedItem.ToString().Equals(Constants.CULTURE_GB))
{
culture = Constants.Culture.GB;
}
else if (cultureComboBox.SelectedItem.ToString().Equals(Constants.CULTURE_FR))
{
culture = Constants.Culture.FR;
}
else if (cultureComboBox.SelectedItem.ToString().Equals(Constants.CULTURE_ES))
{
culture = Constants.Culture.ES;
}
}
else
{
product = null;
strErrorMsg = "Please select a choice in the culture box";
Console.WriteLine("Please select a choice in the culture box ");
return(false);
}
if (bDataInput)
{
if (ConvertStringToDouble(strStockPrice, culture, out dStockPrice))
{
Console.WriteLine("StockPrice --> {0}", dStockPrice);
}
else
{
strErrorMsg = "Please insert a correct format for the field Stock price, the suitable format is float";
Console.WriteLine("Unable to parse StockPrice '{0}'.", strStockPrice);
product = null;
return(false);
}
}
if (bDataInput)
{
if (ConvertStringToDouble(strStrikePrice, culture, out dStrikePrice))
{
Console.WriteLine("StrikePrice --> {0}", dStrikePrice);
}
else
{
strErrorMsg = "Please insert a correct format for the field Strike price, the suitable format is float";
Console.WriteLine("Unable to parse StrikePrice '{0}'.", strStrikePrice);
product = null;
return(false);
}
}
if (bDataInput)
{
if (ConvertStringToDouble(strTimeToMaturity, culture, out dTimeToMaturity))
{
Console.WriteLine("TimeToMaturity --> {0}", dTimeToMaturity);
}
else if (EvaluateDoubleWithSplit(strTimeToMaturity, culture, out dTimeToMaturity))
{
Console.WriteLine("TimeToMaturity --> {0}", dTimeToMaturity);
}
else
{
strErrorMsg = "Please insert a correct format for the field Time to maturity in years, the suitable format is integer";
Console.WriteLine("Unable to parse TimeToMaturity '{0}'.", strTimeToMaturity);
product = null;
return(false);
}
}
if (bDataInput)
{
if (ConvertStringToDouble(strStdDerivUnderlying, culture, out dStdDerivUnderlying))
{
Console.WriteLine("StdDerivUnderlying --> {0}", dStdDerivUnderlying);
}
else
{
strErrorMsg = "Please insert a correct format for the field Standard deviation of underlying stock, the suitable format is float";
Console.WriteLine("Unable to parse StdDerivUnderlying '{0}'.", strStdDerivUnderlying);
product = null;
return(false);
}
}
if (bDataInput)
{
if (ConvertStringToDouble(strRiskFreeInterestRate, culture, out dRiskFreeInterestRate))
{
Console.WriteLine("RiskFreeInterestRate --> {0}", dRiskFreeInterestRate);
}
else
{
strErrorMsg = "Please insert a correct format for the field Risk-free interest rate, the suitable format is float";
Console.WriteLine("Unable to parse RiskFreeInterestRate '{0}'.", strRiskFreeInterestRate);
product = null;
return(false);
}
}
Constants.EuroOptionType euroOptionType = 0;
if (bDataInput)
{
if (optionTypeComboBox.SelectedIndex > -1)
{
if (optionTypeComboBox.SelectedItem.ToString().Equals(Constants.CALL))
{
euroOptionType = Constants.EuroOptionType.Call; // todo if
}
else if (optionTypeComboBox.SelectedItem.ToString().Equals(Constants.PUT))
{
euroOptionType = Constants.EuroOptionType.Put; // todo if
}
}
else
{
strErrorMsg = "Please select a choice in the Option type box";
Console.WriteLine("Please select a choice in the Option type box");
product = null;
return(false);
}
}
if (bDataInput)
{
if (int.TryParse(strFloatPrecision, out iPrecision))
{
Console.WriteLine("RiskFreeInterestRate --> {0}", iPrecision);
}
else
{
strErrorMsg = "Please insert a correct format for the field Risk-free interest rate, the suitable format is float";
Console.WriteLine("Unable to parse RiskFreeInterestRate '{0}'.", strFloatPrecision);
product = null;
return(false);
}
}
product = new EuropeanOption(dStockPrice, dStrikePrice, dTimeToMaturity, dStdDerivUnderlying, dRiskFreeInterestRate, euroOptionType);
return(bDataInput);
}