public ActionResult Index([Bind(Include = "OptionType,StockPrice,StrikePrice,TimeToMaturity,StandardDeviationOfUnderlyingStock,Risk")] Models.OptionsPricing optionsPricingModel)
{
IOptionsPricingCalculator optionsPricingCalculator = new OptionsPricingCalculator();
optionsPricingModel.Result = optionsPricingCalculator.OptionsPricing(optionsPricingModel);
return(View(optionsPricingModel));
}
/// <summary>
///
/// </summary>
/// <param name="optionType">Option Type</param>
/// <param name="S">Stock Price</param>
/// <param name="K">Strike Price</param>
/// <param name="T">Time To Maturity in Years</param>
/// <param name="v">Standard Deviation Of Underlying Stock</param>
/// <param name="r">Risk</param>
/// <returns>Result as Double</returns>
public double OptionsPricing(Models.OptionsPricing optionsPricingModel)
{
var optionType = optionsPricingModel.OptionType;
var S = optionsPricingModel.StockPrice;
var K = optionsPricingModel.StrikePrice;
var T = optionsPricingModel.TimeToMaturity;
var v = optionsPricingModel.StandardDeviationOfUnderlyingStock;
var r = optionsPricingModel.Risk;
double d1 = 0.0;
double d2 = 0.0;
double dBlackScholes = 0.0;
d1 = (Math.Log(S / K) + (r + v * v / 2.0) * T) / (v * Math.Sqrt(T));
d2 = d1 - v * Math.Sqrt(T);
if (optionType == OptionsType.Call)
{
dBlackScholes = S * CND(d1) - K * Math.Exp(-r * T) * CND(d2);
}
else if (optionType == OptionsType.Put)
{
dBlackScholes = K * Math.Exp(-r * T) * CND(-d2) - S * CND(-d1);
}
return(Math.Round(dBlackScholes, 4));
}
