static public double CalcDeltaValue(
InitialTerm.InitialParameter param,
double forward,
double strike,
double volatility,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
var d1 = DFuncCalculator.CalcDValue(param, volatility, param.tau, forward, strike);
var d2 = d1 - volatility * Math.Sqrt(param.tau);
switch (deltaType)
{
case InitialTerm.DeltaType.PipsSpotDelta:
return((int)type
* Math.Exp(-param.rateOfForeign * param.tau) * CDF((int)type * d1));
case InitialTerm.DeltaType.PercentageSpotDelta:
return((int)type
* Math.Exp(-param.rateOfDomestic * param.tau) * strike
/ param.spotRate * CDF((int)type * d2));
default:
return(0.0);
}
}
public static List <double> PriceSetting(InitialTerm.InitialParameter param)
{
var priceList = new List <double>();
var forward = ForwardCalculator.CalcForwardRate(param);
foreach (InitialTerm.VolatilityType volatilityType
in Enum.GetValues(typeof(InitialTerm.VolatilityType)))
{
var type = JudgeMaterial.JudgeOfCallPut.CallOrPut(volatilityType);
var volatility = JudgeMaterial.JudgeOfVolatility.Volatility(param, volatilityType);
var strike = StrikrCalcultor.CalcStrike(param, forward, volatility, param.deltaType, volatilityType);
var d1 = DFuncCalculator.CalcDValue(param, volatility, param.tau, forward, strike);
var d2 = d1 - volatility * Math.Sqrt(param.tau);
priceList.Add(FlyAdjustment.PriceCalculator.CalcOptionPrice(param, forward, strike, d1, d2, type));
}
return(priceList);
}
private static double CalcValueTrial(Vector <double> vec)
{
var K25CallMS = StrikeList[3];
var K25PutMS = StrikeList[1];
var parameter = Vector <double> .Build.DenseOfArray(new double[] { vec[0], vec[1], vec[2] });
var vol25Call = VolCalculator(K25CallMS, VolParameter);
var vol25Put = VolCalculator(K25PutMS, VolParameter);
var d1Call = DFuncCalculator.CalcDValue(
Param,
vol25Call,
Param.tau,
Forward,
K25CallMS);
var d2Call = d1Call - vol25Call * Math.Sqrt(Param.tau);
var d1Put = DFuncCalculator.CalcDValue(
Param,
vol25Put,
Param.tau,
Forward,
K25PutMS);
var d2Put = d1Put - vol25Put * Math.Sqrt(Param.tau);
return(PriceCalculator.CalcOptionPrice(
Param,
Forward,
K25CallMS,
d1Call,
d2Call,
InitialTerm.CallPutType.call)
+ PriceCalculator.CalcOptionPrice(
Param,
Forward,
K25PutMS,
d1Put,
d2Put,
InitialTerm.CallPutType.put));
}