public static double FormulaBlack([ExcelArgument(Description = "put or call.")]
PutOrCall putOrCall,
[ExcelArgument(Description = "The strike")]
double strike,
[ExcelArgument(Description = "The time to maturity in years from the value date to the exercise date.")]
double timeToExercise,
[ExcelArgument(Description = "The forward at the option exercise date.")]
double forward,
[ExcelArgument(Description = "Annualized volatility.")]
double vol,
[ExcelArgument(Description = "The discount factor from the value date to the settlement date of the option.")]
double discountFactor)
{
return(BlackEtc.Black(putOrCall, strike, timeToExercise, forward, vol, discountFactor));
}
public static ResultStore BlackOption(JSEBondOption bondoption, double strike, double vol, double repo, JSEBondForward bond, double yieldToMaturity)
{
var settleDate = bondoption.settleDate;
var timeToMaturity = bondoption.timeToMaturity;
var ytm = yieldToMaturity;
var bondforwardprice1 = (double)bond.ForwardPrice(settleDate, ytm, repo).GetScalar(JSEBondForwardEx.Keys.ForwardPrice);
var discountFactor = Math.Exp(-repo * timeToMaturity);
var optionPrice = BlackEtc.Black(PutOrCall.Call, strike, timeToMaturity, bondforwardprice1, vol, discountFactor);
var resultStore = new ResultStore();
resultStore.Add(Keys.BlackOption, optionPrice);
return(resultStore);
}
