public static double GetATMfwd(ZeroCurve myZero, DivList myDivList, double spot, double t)
{
double spotstar = spot;
//compute the discounted dividends and take off spot
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= t)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
spotstar -= d1 * t1;
}
}
}
//gross up to expiry to get atfwd
if (myZero != null)
{
double r = myZero.LinInterp(t);
return(spotstar * Math.Exp(r * t));
}
return(0);
}
//public spotStar
private void MakeDivArray(ZeroCurve myZero, DivList myDivList)
{
double dt = Tau / Gridsteps;
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < Gridsteps; idx++)
{
double temp = 0.0;
for (int kdx = 0; kdx < myDivList.Divpoints; kdx++)
{
if ((myDivList.GetT(kdx) > idx * dt) && (myDivList.GetT(kdx) < Tau))
{
temp += myDivList.GetD(kdx) * Math.Exp(-myZero.ForwardRate(idx * dt, myDivList.GetT(kdx)) *
(myDivList.GetT(kdx) - idx * dt));
}
}
set_div(idx, temp, dt * idx);
}
}
else //missing either div or zero, load in 0 for _div on tree
{
for (int idx = 0; idx <= Gridsteps; idx++)
{
set_div(idx, 0.0, dt * idx);
}
}
}
//compute Sstar for the BC's
private double ComputeDiscDiv(double tTemp, double T, ZeroCurve myZero, DivList mydiv)
{
double temp = 0.0;
for (int idx = 0; idx < mydiv.Divpoints; idx++)
{
if ((tTemp < mydiv.GetT(idx)) && (mydiv.GetT(idx) < T))
{
double fwdRate = myZero.ForwardRate(tTemp, mydiv.GetT(idx));
temp += mydiv.GetD(idx) * Math.Exp(-fwdRate * (mydiv.GetT(idx) - tTemp));
}
}
return(temp);
}
//determine if dt needs adjusted because a div occurs in proposed interval
private double CheckBetweenDiv(double t1, double t2, ref double discDiv, DivList myDiv) //t1 & t2 are real times
{
double temp = t2 - t1;
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
if ((t1 <= myDiv.GetT(idx)) && (t2 > myDiv.GetT(idx)))
{
temp = t2 - myDiv.GetT(idx);
discDiv = myDiv.GetD(idx);
break;
}
}
return(temp);
}
//public spotStar
private void MakeSpotStar(ZeroCurve myZero, DivList myDivList)
{
Spotstar = Spot;
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
Spotstar -= d1 * t1;
}
}
}
}
/// <summary>
///
/// </summary>
/// <param name="today"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="sig"></param>
/// <param name="dexp"></param>
/// <param name="sPay"></param>
/// <param name="sStyle"></param>
/// <param name="nGrid"></param>
/// <param name="tStep"></param>
/// <param name="iNum"></param>
/// <param name="divamsAsArray"></param>
/// <param name="divdatesAsArray"></param>
/// <param name="zeramsAsArray"></param>
/// <param name="zerdatesAsArray"></param>
/// <returns></returns>
public double GetEquityGreeks(DateTime today,
double spot,
double strike,
double sig,
DateTime dexp,
string sPay,
string sStyle,
int nGrid,
double tStep,
int iNum,
Excel.Range divamsAsArray,
Excel.Range divdatesAsArray,
Excel.Range zeramsAsArray,
Excel.Range zerdatesAsArray
)
{
//Map the ranges
var divams = DataRangeHelper.StripDoubleRange(divamsAsArray);
var divdates = DataRangeHelper.StripDateTimeRange(divamsAsArray);
var zerams = DataRangeHelper.StripDoubleRange(zeramsAsArray);
var zerdates = DataRangeHelper.StripDateTimeRange(zerdatesAsArray);
//set up the DivList
int nd = divdates.Count; //GetUpperBound(0) + 1;
var myDiv = new DivList {
Divpoints = nd
};
myDiv.MakeArrays();
for (int idx = 0; idx != nd; idx++)
{
double r = divams[idx];
DateTime dp = divdates[idx];
TimeSpan ts = dp - today;
myDiv.SetD(idx, r, ts.Days / 365.0);
}
//set up the zero
int nz = zerdates.Count;//GetUpperBound(0) + 1;
var myZero = new ZeroCurve {
Ratepoints = nz
};
myZero.MakeArrays();
for (int idx = 0; idx != nz; idx++)
{
double r = zerams[idx];
DateTime dp = zerdates[idx];
TimeSpan ts = dp - today;
myZero.SetR(idx, r, ts.Days / 365.0);
}
//compute the discounted dividends to expiry and work out continuous
TimeSpan tsE = dexp - today;
double texp = tsE.Days / 365.0;
for (int idx = 0; idx != nd; idx++)
{
if (myDiv.GetT(idx) <= texp)
{
double d = myDiv.GetD(idx) * Math.Exp(-myDiv.GetT(idx) * myZero.LinInterp(myDiv.GetT(idx)));
}
}
//double qc = -Math.Log((spot - sum) / spot) / texp;
//double rc = myZero.linInterp(texp);
var myG = new Grid
{
XL = Math.Log(spot) - 8.0 * sig * Math.Sqrt(texp),
Xu = Math.Log(spot) + 8.0 * sig * Math.Sqrt(texp),
Steps = nGrid,
Strike = strike,
Spot = spot,
SPay = sPay,
SStyle = sStyle,
T = texp
};
myG.NTsteps = Convert.ToInt32(myG.T / tStep);
myG.Sig = sig;
var greeks = new double[4];
double price = myG.Pricer(myZero, myDiv, ref greeks, true);
myG.Sig += 0.01;
double priceUp = myG.Pricer(myZero, myDiv, ref greeks, false);
greeks[3] = priceUp - price;
return(greeks[iNum]);
}
