예제 #1
0
        public void MakeDeltaGamma(Tree SpotT, Pricer PriceT, ZeroCurve myZero, DivList myDiv)
        {
            SetParam(SpotT, PriceT);
            Tree treeD = new Tree
            {
                Gridsteps = Gridsteps + 2,
                Spot      = spot,
                Sig       = sig,
                Tau       = tau * (1 + 2 / Gridsteps)
            };

            treeD.MakeGrid(myZero, myDiv);
            PriceT.MakeGrid(treeD);

            double[] S = new double[3];
            double[] C = new double[3];
            for (int i = 0; i <= 2; ++i)
            {
                S[i] = treeD.GetSpotMatrix(2, i);
                C[i] = PriceT.Get_PriceMatrix(2, i);
            }
            Delta = (S[0] * (2 * S[1] - S[0]) * (C[1] - C[2]) +
                     (S[1] * S[1]) * (C[2] - C[0]) + S[2] * (2 * S[1] - S[2]) * (C[0] - C[1]))
                    / (S[1] - S[0]) / (S[2] - S[0]) / (S[2] - S[1]);

            Gamma = 2 * (S[0] * (C[1] - C[2]) + S[1] * (C[2] - C[0]) + S[2] * (C[0] - C[1]))
                    / (S[1] - S[0]) / (S[2] - S[0]) / (S[2] - S[1]);
        }
예제 #2
0
        public void MakeTheta(Tree SpotT, Pricer PriceT, ZeroCurve myZero, DivList myDiv)
        {
            SetParam(SpotT, PriceT);
            Tree T1 = new Tree(), T2 = new Tree();

            T1.Tau       = tau;
            T1.Gridsteps = Gridsteps;
            T1.Sig       = sig;
            T1.Spot      = spot;
            T1.MakeGrid(myZero, myDiv);

            PriceT.MakeGrid(T1);
            double P1 = PriceT.Price();

            double t = tau - 1.00 / 365.00;

            T2.Tau       = t;
            T2.Gridsteps = Gridsteps;
            T2.Sig       = sig;
            T2.Spot      = spot;
            T2.MakeGrid(myZero, myDiv);

            PriceT.MakeGrid(T2);
            double P2 = PriceT.Price();

            Theta = (P2 - P1);
        }
예제 #3
0
        public void MakeVega(Tree SpotT, Pricer PriceT, ZeroCurve myZero, DivList myDiv)
        {
            SetParam(SpotT, PriceT);
            Tree T1 = new Tree(), T2 = new Tree();

            T1.Tau       = tau;
            T1.Gridsteps = Gridsteps;
            T1.Sig       = .99 * sig;
            T1.Spot      = spot;
            T1.MakeGrid(myZero, myDiv);

            PriceT.MakeGrid(T1);
            double P1 = PriceT.Price();

            T2.Tau       = tau;
            T2.Gridsteps = Gridsteps;
            T2.Sig       = 1.01 * sig;
            T2.Spot      = spot;
            T2.MakeGrid(myZero, myDiv);

            PriceT.MakeGrid(T2);
            double P2 = PriceT.Price();

            if (sig != 0)
            {
                Vega = 0.01 * (P2 - P1) / (2 * 0.01 * sig);
            }
        }
예제 #4
0
 private void SetParam(Tree SpotT, Pricer PriceT)
 {
     if ((SpotT != null) && (PriceT != null))
     {
         Gridsteps = SpotT.Gridsteps;
         tau       = SpotT.Tau;
         sig       = SpotT.Sig;
         spot      = SpotT.Spot;
         Strike    = PriceT.Strike;
         Style     = PriceT.Style;
         Payoff    = PriceT.Payoff;
         Smoothing = PriceT.Smoothing;
     }
 }
예제 #5
0
        public static double FindPrice(ZeroCurve myZero, DivList myDiv, OrcWingVol myVol, double t,
                                       double strike, double spot, string style, string paystyle, double gridsteps)
        {
            //get the atfwd
            double atFwd = GetATMfwd(myZero, myDiv, spot, t);
            //set up the tree
            var myTree     = new Tree();
            int nGridsteps = (gridsteps < 20.0) ? 20 : Convert.ToInt32(gridsteps);

            myTree.Gridsteps = nGridsteps;
            myTree.Tau       = t;
            myTree.Sig       = myVol.orcvol(atFwd, strike);
            myTree.Spot      = spot;
            myTree.MakeGrid(myZero, myDiv);
            //create pricer
            var myPrice = new Pricer {
                Strike = strike, Payoff = paystyle, Smoothing = "y", Style = style
            };

            myPrice.MakeGrid(myTree);
            double pr = myPrice.Price();

            return(pr);
        }