static void option()
{
BinomialOption p = new BinomialOption(100, 1, 0.07, 0.02, 0.2);
p.print();
double s0 = 88;
double t0 = 0;
double Vtarget = 18;
double Vtol = 0.01;
p.Valuation(s0, t0);
p.impliedVolatility(s0, t0, Vtarget, Vtol);
}
static void Main()
{
//bool OptionType = true; //true is call, false is put
bool OptionKind = true; //true is american, false is european
double Strike = 90;
double S0 = 88; //underlying
double ExpireTime = 10;
double t0 = 0;
int n = 5;
double RiskFreeRate = 0.02;
double ContinuousDividendYield = 0.0;
double Volatility = 0.2;
double Vtarget = 18;
double Vtol = 0.01;
BinomialOption p = new BinomialOption(false, OptionKind, Strike, ExpireTime, RiskFreeRate, ContinuousDividendYield, Volatility);
BinomialOption c = new BinomialOption(true, OptionKind, Strike, ExpireTime, RiskFreeRate, ContinuousDividendYield, Volatility);
//put call parity
Console.WriteLine("Put Call Parity Check");
Console.WriteLine("C+Ke^(-rt): " + (c.Valuation(S0, t0, n) + (Strike * (Math.Exp(-RiskFreeRate * ExpireTime)))));
Console.WriteLine("P + S0: " + (p.Valuation(S0, t0, n) + S0));
Console.WriteLine(" ");
Console.WriteLine("The Put option value is:" + p.Valuation(S0, t0, n));
Console.WriteLine("The Delta is:" + p.Del(S0, t0, n));
Console.WriteLine("The Gamma is:" + p.Gam(S0, t0, n));
Console.WriteLine("The Veg is:" + p.Veg(S0, t0, n));
Console.WriteLine("The Theta is:" + p.Thet(S0, t0, n));
Console.WriteLine("The Rho is:" + p.Rhoo(S0, t0, n));
Console.WriteLine("The implied volatility is : " + p.impliedVolatility(S0, t0, Vtarget, Vtol, n));
Console.WriteLine(" ");
Console.WriteLine("The Call option value is:" + c.Valuation(S0, t0, n));
Console.WriteLine("The Delta is:" + c.Del(S0, t0, n));
Console.WriteLine("The Gamma is:" + c.Gam(S0, t0, n));
Console.WriteLine("The Veg is:" + c.Veg(S0, t0, n));
Console.WriteLine("The Theta is:" + c.Thet(S0, t0, n));
Console.WriteLine("The Rho is:" + c.Rhoo(S0, t0, n));
Console.WriteLine("The implied volatility is : " + c.impliedVolatility(S0, t0, Vtarget, Vtol, n));
}
