예제 #1
0
 /// <summary>
 /// Рассчитать параметр d1 определения вероятности исполнения опциона.
 /// </summary>
 /// <param name="deviation">Стандартное отклонение.</param>
 /// <param name="assetPrice">Цена базового актива.</param>
 /// <param name="timeToExp">Период опциона до экспирации.</param>
 /// <returns>Параметр d1.</returns>
 protected override double D1(decimal deviation, decimal assetPrice, double timeToExp)
 {
     return(DerivativesHelper.D1(assetPrice, Option.Strike, 0, 0, deviation, timeToExp));
 }
예제 #2
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 /// <summary>
 /// To calculate the d1 parameter of the option fulfilment probability estimating.
 /// </summary>
 /// <param name="deviation">Standard deviation.</param>
 /// <param name="assetPrice">Underlying asset price.</param>
 /// <param name="timeToExp">The option period before the expiration.</param>
 /// <returns>The d1 parameter.</returns>
 protected virtual double D1(decimal deviation, decimal assetPrice, double timeToExp)
 {
     return(DerivativesHelper.D1(assetPrice, GetStrike(), RiskFree, Dividend, deviation, timeToExp));
 }