/// <summary>
///
/// </summary>
/// <param name="style"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="paystyle"></param>
/// <param name="zeroDates"></param>
/// <param name="zeroRates"></param>
/// <param name="divDates"></param>
/// <param name="divAms"></param>
/// <param name="gridsteps"></param>
/// <param name="smoo"></param>
/// <param name="flatFlag"></param>
/// <returns></returns>
public static double[,] BinomialRelativeGetGreeks(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
string paystyle, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms, double gridsteps, string smoo, bool flatFlag)
{
const int arrsize = 4;
gridsteps = (gridsteps == 0.0) ? 20 : gridsteps;
int nGridsteps = Convert.ToInt32(gridsteps);
string smoothing = (smoo.ToLower().Equals("n")) ? "n" : "y";
var retArray = new double[arrsize, arrsize];
double t = expiry.Subtract(today).Days / 365.0;
ZeroCurve myZero = (new Wrapper()).UnpackZero(today, zeroDates, zeroRates);
DivList myDiv = (new Wrapper()).UnpackDiv(today, expiry, divDates, divAms);
//create the tree
var myTree = new PropTree(t, vol, spot, nGridsteps, true)
{
Gridsteps = nGridsteps
};
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer(strike, paystyle, smoothing, style);
myPrice.MakeGrid(myTree);
myPrice.Price();
var myGreeks = new Greeks();
myGreeks.MakeDeltaGamma(myTree, myPrice, myZero, myDiv);
double delta = myGreeks.Delta;
double gamma = myGreeks.Gamma;
myGreeks.MakeVega(myTree, myPrice, myZero, myDiv);
double vega = myGreeks.Vega;
myGreeks.MakeTheta(myTree, myPrice, myZero, myDiv);
double theta = myGreeks.Theta;
retArray[0, 0] = delta;
retArray[0, 1] = gamma;
retArray[0, 2] = vega;
retArray[0, 3] = theta;
return(retArray);
}
/// <summary>
///
/// </summary>
/// <param name="style"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="paystyle"></param>
/// <param name="zeroDates"></param>
/// <param name="zeroRates"></param>
/// <param name="divDates"></param>
/// <param name="divAms"></param>
/// <param name="gridsteps"></param>
/// <param name="smoo"></param>
/// <param name="flatFlag"></param>
/// <returns></returns>
public static double BinomialRelativePricer(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
string paystyle, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms, double gridsteps, string smoo, bool flatFlag)
{
gridsteps = (gridsteps == 0.0) ? 20 : gridsteps;
int nGridsteps = Convert.ToInt32(gridsteps);
string smoothing = (smoo.ToLower().Equals("n")) ? "n" : "y";
double t = expiry.Subtract(today).Days / 365.0;
var wrapper = new Wrapper();
ZeroCurve myZero = wrapper.UnpackZero(today, zeroDates, zeroRates);
DivList myDiv = wrapper.UnpackDiv(today, expiry, divDates, divAms);
//create the tree
var myTree = new PropTree(t, vol, spot, nGridsteps, true);
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer(strike, paystyle, smoothing, style);
myPrice.MakeGrid(myTree);
double pr = myPrice.Price();
return(pr);
}
