/// <summary>
/// Black, Scholes, Merton formula (1973) for European option Greeks.
/// </summary>
public static double BlackScholesGreek(double strike, double underlyingPrice, double yearsToExpiry, double vol, double riskFreeRate, double dividendYield, PutCallFlag putCallFlag, OptionGreeks optionGreek)
{
switch (optionGreek)
{
case OptionGreeks.Delta:
return(BlackScholesDelta(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag));
case OptionGreeks.Gamma:
return(BlackScholesGamma(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag));
case OptionGreeks.Rho:
return(BlackScholesRho(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag));
case OptionGreeks.Theta:
return(BlackScholesTheta(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag));
case OptionGreeks.Vega:
return(BlackScholesVega(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag));
default:
return(double.NaN);
}
}
/// <summary>
/// Black, Scholes, Merton formula (1973) for European option Greeks.
/// </summary>
public static double BlackScholesGreek(double strike, double underlyingPrice, double yearsToExpiry, double vol, double riskFreeRate, double dividendYield, PutCallFlag putCallFlag, OptionGreeks optionGreek)
{
switch (optionGreek)
{
case OptionGreeks.Delta:
return BlackScholesDelta(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag);
case OptionGreeks.Gamma:
return BlackScholesGamma(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag);
case OptionGreeks.Rho:
return BlackScholesRho(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag);
case OptionGreeks.Theta:
return BlackScholesTheta(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag);
case OptionGreeks.Vega:
return BlackScholesVega(strike, underlyingPrice, yearsToExpiry, vol, riskFreeRate, dividendYield, putCallFlag);
default:
return double.NaN;
}
}
