// Method: given a volatility guess and a price will return implied vol
public double ImplVol(double price)
{
// We try to translate in c# the idea of Paul Wilmott Introduces Quantitative Finance ch 10
double error = 1E-10; // precision of calculation
double implYieldVol = FromPriceVolToYieldVol(this.S, this.PriceVol); // the starting vol value is the one used in the constructor
// data used in iteration process
double priceError; // price error
double dv = error + 1; // vega correction
double price_calculated = 0.0, vega_calculated = 0.0; // used to iterate
// my option to iterate
STFutOption myOpt = new STFutOption(this.COP, this.S, this.X, this.DaysToExpiry, implYieldVol);
// iteration
while (Math.Abs(dv) > error)
{
// I iterate according to vega information
price_calculated = 0; vega_calculated = 0;
myOpt.new_YieldVol = implYieldVol;
price_calculated = myOpt.Price();
vega_calculated = myOpt.Vega();
priceError = price_calculated - price;
dv = priceError / vega_calculated;
implYieldVol -= dv;
}
;
return(implYieldVol);
}
// Class STFutOption
public static void Example2()
{
// Option data for opt1 and opt2
double CoP = -1;
double underlying = 99.23;
double strike = 99.25;
double daysToExpiry = 82;
double yieldVol = 0.449; // (_priceVol * _underlying) / (100 - _underlying);
// option data only for
double daysPerYear = 360;
STFutOption myOpt1 = new STFutOption(CoP, underlying, strike, daysToExpiry, yieldVol);
STFutOption myOpt2 = new STFutOption(CoP, underlying, strike, daysToExpiry, yieldVol, daysPerYear);
// Showing Data
Console.WriteLine("CoP = {0}; underlying = {1}; strike = {2}; daysToExpiry = {3}; yieldVol = {4}",
CoP, underlying, strike, daysToExpiry, yieldVol);
Console.WriteLine("daysPerYear Opt1 = {0} daysPerYear Opt2 = {1}", 365, daysPerYear);
Console.WriteLine("CoP\t opt1: {0}\t opt2: {1}", myOpt1.COP, myOpt2.COP);
Console.WriteLine("Price\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Price() / 100, myOpt2.Price() / 100);
Console.WriteLine("Delta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Delta(), myOpt2.Delta());
Console.WriteLine("Gamma\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Gamma(), myOpt2.Gamma());
Console.WriteLine("Theta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Theta(), myOpt2.Theta());
Console.WriteLine("Vega \t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Vega(), myOpt2.Vega());
// Changing data:now opt2 become a call, underlying and expiry change
myOpt2.SwitchCallPut(); // now is a call
underlying = 99.05; // new price
daysToExpiry--; // a day pass
// updating options
myOpt1.new_DaysToExpiry = daysToExpiry;
myOpt2.new_DaysToExpiry = daysToExpiry;
myOpt1.new_S = underlying;
myOpt2.new_S = underlying;
// showing new data
Console.WriteLine("underlying = {0}; daysToExpiry = {1}", underlying, daysToExpiry);
Console.WriteLine("CoP\t opt1: {0}\t opt2: {1}", myOpt1.COP, myOpt2.COP);
Console.WriteLine("Price\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Price() / 100, myOpt2.Price() / 100);
Console.WriteLine("Delta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Delta(), myOpt2.Delta());
Console.WriteLine("Gamma\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Gamma(), myOpt2.Gamma());
Console.WriteLine("Theta\t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Theta(), myOpt2.Theta());
Console.WriteLine("Vega \t opt1: {0:F4}\t opt2: {1:F4}", myOpt1.Vega(), myOpt2.Vega());
}