Exemplo n.º 1
0
 /// <summary>
 /// Initial instance of <see cref="ExchangeOption"/> from two <see cref="Stock"/>s. Use Margrabe Formula to price.
 /// </summary>
 /// <param name="name">Name of the deferred exchange option</param>
 /// <param name="s1">Asset to be received</param>
 /// <param name="s2">Asset to be delivered</param>
 /// <param name="rho">Correlation between two assets</param>
 /// <param name="maturity">Time to maturity of option</param>
 public ExchangeOption(string name, Stock s1, Stock s2, object rho, object maturity) : base(name, maturity)
 {
     this.Rho   = Input(rho);
     this.Price = GenericOption.PriceFunc(() => Math.Exp(-s1.Divd() * this.Maturity()) * s1.Price(),
                                          () => Math.Exp(-s2.Divd() * this.Maturity()) * s2.Price(),
                                          () => Math.Sqrt(
                                              Math.Pow(s1.Sigma(), 2) + Math.Pow(s2.Sigma(), 2) -
                                              2 * this.Rho() * s1.Sigma() * s2.Sigma()), this.Maturity);
 }
Exemplo n.º 2
0
 /// <summary>
 /// Initial instance of <see cref="DeferredExchangeOption"/> from two <see cref="Stock"/>s. Use Margrabe Formula to price.
 /// </summary>
 /// <param name="name">Name of the deferred exchange option</param>
 /// <param name="s1">Asset to be received</param>
 /// <param name="s2">Asset to be delivered</param>
 /// <param name="rho">Correlation between two assets</param>
 /// <param name="optionMaturity">Time to maturity of option</param>
 /// <param name="exchangeMaturity">Time until exchange >= TOption</param>
 public DeferredExchangeOption(string name, Stock s1, Stock s2, object rho, object optionMaturity,
                               object exchangeMaturity) : base(name, s1, s2, rho, optionMaturity)
 {
     this.ExchangeMaturity = Input(exchangeMaturity);
     this.Price            = GenericOption.PriceFunc(() => Math.Exp(-s1.Divd() * this.ExchangeMaturity()) * s1.Price(),
                                                     () => Math.Exp(-s2.Divd() * this.ExchangeMaturity()) * s2.Price(),
                                                     () => Math.Sqrt(
                                                         Math.Pow(s1.Sigma(), 2) + Math.Pow(s2.Sigma(), 2) -
                                                         2 * this.Rho() * s1.Sigma() * s2.Sigma()), this.Maturity);
 }