public double CallPremium(CalculatorValues Values)
{
Values.CalcForwardPrice();
return((Values.ForwardPrice * NormDistZ(D1(Values))
- Values.Strike * NormDistZ(D2(Values)))
* Values.Interest);
}
public double D1(CalculatorValues Values)
{
double pt1 = (Math.Log(Values.ForwardPrice / Values.Strike) + Math.Pow(Values.Volatility, 2) * (Values.QtdDaysExpire / 252.0) / 2.0);
double pt2 = Values.Volatility * Math.Pow(Values.QtdDaysExpire / 252, (1.0 / 2.0));
return(pt1 / pt2);
}
public double CallPremium(CalculatorValues Values)
{
return(Math.Exp(-Values.Dividend * Values.TimeAnually) *
Values.UnderlinePrice * NormDistZ(D1(Values)) -
Values.Strike * Math.Exp(-Values.RiskFreeRate * Values.TimeAnually) *
NormDistZ(D1(Values) - Values.Volatility * Math.Sqrt(Values.TimeAnually)));
}
public double PutPremium(CalculatorValues Values)
{
double d2 = D2(Values);
// optionValue = X * Math.Exp(-r * T) * CumulativeNormalDistributionFun(-d2) - S * CumulativeNormalDistributionFun(-d1);
return((Values.Strike * Math.Exp(-Values.RiskFreeRate * Values.TimeAnually) * NormDistZ(-D2(Values))) -
(Math.Exp(-Values.Dividend * Values.TimeAnually) * Values.UnderlinePrice * NormDistZ(-D1(Values))));
}
public double D2(CalculatorValues Values)
{
return(D1(Values) - Values.Volatility * Math.Pow((Values.QtdDaysExpire / 252.0), (1.0 / 2.0)));
}
double NdD1(CalculatorValues Values)
{
return(Math.Exp(-Math.Pow(D1(Values), 2) / 2) / (Math.Sqrt(2 * Math.PI)));
}
public double D2(CalculatorValues Values)
{
return(D1(Values) - Values.Volatility * Math.Sqrt(Values.TimeAnually));
}
public double D1(CalculatorValues Values)
{
return((Math.Log(Values.UnderlinePrice / Values.Strike) +
(Values.RiskFreeRate - Values.Dividend + 0.5 * Math.Pow(Values.Volatility, 2)) * Values.TimeAnually) /
(Values.Volatility * (Math.Sqrt(Values.TimeAnually))));
}