/// <summary>
/// Gets the vega.
/// </summary>
/// <returns></returns>
public double GetVega()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
double lhs = _spot * Math.Sqrt(_tau) * _nd.ProbabilityDensity(d1) * 0.01 * Math.Exp(-q * _tau);
return(lhs);
}
/// <summary>
/// Gets the gamma.
/// </summary>
/// <returns></returns>
public double GetGamma()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
var temp = _nd.ProbabilityDensity(d1);
return(Math.Exp(q * _tau) * temp / _spot / _vol / Math.Sqrt(_tau));
}
/// <summary>
/// Calcs the mu.
/// </summary>
/// <param name="resetDays"></param>
/// <param name="vols">The vols.</param>
/// <param name="forwards">The forwards.</param>
/// <returns></returns>
private double CalcMu(ref double[] forwards, int[] resetDays, double[] vols)
{
double musum = 0;
int numresets = resetDays.Length;
for (int idx = 0; idx < numresets; idx++)
{
double dt0 = Convert.ToDouble(resetDays[idx]) / daybasis;
double r0 = EquityAnalytics.GetRateCCLin365(0, dt0, _rtdays, _rtamts);
double q0 = EquityAnalytics.GetYieldCCLin365(_spot, 0, dt0, _divdays, _divamts, _rtdays, _rtamts);
musum += System.Math.Log(_spot) + (r0 - q0) * dt0 - vols[idx] * vols[idx] * dt0 / 2;
forwards[idx] = _spot * System.Math.Exp((r0 - q0) * dt0);
}
return(musum / numresets);
}
/// <summary>
/// Gets the delta.
/// </summary>
/// <returns></returns>
public double GetDelta()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
double temp;
if (!_isCall)
{
temp = BasicMath.Ndist(d1) - 1;
}
else
{
temp = BasicMath.Ndist(d1);
}
return(Math.Exp(-q * _tau) * temp);
}
/// <summary>
/// Gets the price.
/// </summary>
/// <returns></returns>
public double GetPrice()
{
double fwd = EquityAnalytics.GetForwardCCLin365(_Spot, _tau, _divdays, _divamts, _ratedays, _rateamts);
double r = EquityAnalytics.GetRateCCLin365(0, _tau, _ratedays, _rateamts);
double q = EquityAnalytics.GetYieldCCLin365(_Spot, 0, _tau, _divdays, _divamts, _ratedays, _rateamts);
double df = EquityAnalytics.GetDFCCLin365(0, _tau, _ratedays, _rateamts);
double flatskewPrice = df * FlatSkewPrice(fwd, r, q);
double[] res = OptionAnalytics.OptWithGreeks(true, fwd, _Strike, _vol, _tau);
double callvega = res[3];
double price;
if (_isCall)
{
price = flatskewPrice - _skew * df * callvega;
}
else
{
price = flatskewPrice + _skew * df * callvega;
}
return(price);
}
/// <summary>
/// Gets the theta.
/// </summary>
/// <returns></returns>
public double GetTheta()
{
double q = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
double d1 = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
double rate = EquityAnalytics.GetRateCCLin365(0, _tau, _rtdays, _rtamts);
double d2 = d1 - _vol * Math.Sqrt(_tau);
double rhs1 = -Math.Exp(-q * _tau) * _spot * _nd.ProbabilityDensity(d1) * _vol / 2 / Math.Sqrt(_tau);
double rhs3 = 0;
if (_isCall)
{
double rhs2 = -rate *_strike *Math.Exp(-rate *_tau) * _nd.CumulativeDistribution(d2);
//rhs3 = q * _spot * System.Math.Exp(-q * _tau) * _nd.CumulativeDistribution(d1);
return((rhs1 + rhs2 + rhs3) / 365.0);
}
else
{
double rhs2 = rate * _strike * Math.Exp(-rate * _tau) * _nd.CumulativeDistribution(-d2);
//rhs3 = -q * _spot * System.Math.Exp(-q * _tau) * _nd.CumulativeDistribution(-d1);
return((rhs1 + rhs2 + rhs3) / 365.0);
}
}
/// <summary>
/// Gets the yield.
/// </summary>
/// <param name="yearFraction">The year fraction.</param>
/// <returns></returns>
private double GetYield(double yearFraction)
{
return(EquityAnalytics.GetYieldCCLin365(_spot, 0, yearFraction, _divDays, _divAmts, _rateDays, _rateAmts));
}