// Get vega
public double[,] GetVegaRho(double diff_sigma, double diff_r, double S, double K, double r, double sigma, double T, int N, double div)
{
// Initial parameters that used in the following code.
TrinomialUnderlyingTree tree = new TrinomialUnderlyingTree();
double vega, rho;
double[,] vega_rho = new double[1, 2];
double sigma_max = sigma + diff_sigma;
double sigma_min = sigma - diff_sigma;
double r_max = r + diff_r;
double r_min = r - diff_r;
// Get underlying price trinomial tree under different sigma.
St_max = tree.MakeUnderlyingTree(S, sigma_max, T, N);
St_min = tree.MakeUnderlyingTree(S, sigma_min, T, N);
St = tree.MakeUnderlyingTree(S, sigma, T, N);
// Judge if this is an European Option
if (IsEuropean == true)
{
// Define class EurOption instance.
EurOption eur = new EurOption();
//Judge if this is a call option.
if (Iscall == true)
{
eur.Iscall = true;
// Calculate Vega
vega = (eur.MakingOptionValueTree(K, r, sigma_max, T, N, div, St_max)[0, 0] - eur.MakingOptionValueTree(K, r, sigma_min, T, N, div, St_min)[0, 0]) / (2 * diff_sigma);
vega = Math.Round(vega, 4);
// Calculate rho
rho = (eur.MakingOptionValueTree(K, r_max, sigma, T, N, div, St)[0, 0] - eur.MakingOptionValueTree(K, r_min, sigma, T, N, div, St)[0, 0]) / (2 * diff_r);
rho = Math.Round(rho, 4);
}
// if this is a put option.
else
{
eur.Iscall = false;
// Calculate Vega
vega = (eur.MakingOptionValueTree(K, r, sigma_max, T, N, div, St_max)[0, 0] - eur.MakingOptionValueTree(K, r, sigma_min, T, N, div, St_min)[0, 0]) / (2 * diff_sigma);
vega = Math.Round(vega, 4);
// Calculate rho
rho = (eur.MakingOptionValueTree(K, r_max, sigma, T, N, div, St)[0, 0] - eur.MakingOptionValueTree(K, r_min, sigma, T, N, div, St)[0, 0]) / (2 * diff_r);
rho = Math.Round(rho, 4);
}
}
// If this is an American Option
else
{
// Define class AmericanOption instance.
AmericanOption ame = new AmericanOption();
//Judge if this is a call option.
if (Iscall == true)
{
ame.Iscall = true;
// Calculate Vega
vega = (ame.MakingOptionValueTree(K, r, sigma_max, T, N, div, St_max)[0, 0] - ame.MakingOptionValueTree(K, r, sigma_min, T, N, div, St_min)[0, 0]) / (2 * diff_sigma);
vega = Math.Round(vega, 4);
// Calculate rho
rho = (ame.MakingOptionValueTree(K, r_max, sigma, T, N, div, St)[0, 0] - ame.MakingOptionValueTree(K, r_min, sigma, T, N, div, St)[0, 0]) / (2 * diff_r);
rho = Math.Round(rho, 4);
}
// if this is a put option.
else
{
ame.Iscall = false;
// Calculate Vega
vega = (ame.MakingOptionValueTree(K, r, sigma_max, T, N, div, St_max)[0, 0] - ame.MakingOptionValueTree(K, r, sigma_min, T, N, div, St_min)[0, 0]) / (2 * diff_sigma);
vega = Math.Round(vega, 4);
// Calculate rho
rho = (ame.MakingOptionValueTree(K, r_max, sigma, T, N, div, St)[0, 0] - ame.MakingOptionValueTree(K, r_min, sigma, T, N, div, St)[0, 0]) / (2 * diff_r);
rho = Math.Round(rho, 4);
}
}
// Output the result
vega_rho[0, 0] = vega;
vega_rho[0, 1] = rho;
return(vega_rho);
}
public void Output_Calculation(double S, double K, double r, double T, double sigma, int N, double div)
{
// Get essential classes' instances.
PreCalculate precal = new PreCalculate();
TrinomialUnderlyingTree tree = new TrinomialUnderlyingTree();
Option opt = new Option();
EurOption Eur_option = new EurOption();
AmericanOption Amer_option = new AmericanOption();
Greek greeks = new Greek();
VegaRhoCalculation vega_cal = new VegaRhoCalculation();
// Initial array St and Vt
double[,] St = new double[2 * N + 1, N + 1];
double[,] Vt = new double[2 * N + 1, N + 1];
// Initial interval that used in Greeks
double diff_sigma = 0.001 * sigma;
double diff_r = 0.001 * r;
// Judge if this is an European Option
if (IsEuropean == true)
{
//Judge if this is a call option.
if (IsCall == true)
{
Console.WriteLine("The Underlying Prices Trinomial Tree:");
// Initial the parameters
Eur_option.Iscall = true;
vega_cal.IsEuropean = true;
vega_cal.Iscall = true;
// Ilerate underlying trinomial tree St.
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
St[i, j] = Math.Round(tree.MakeUnderlyingTree(S, sigma, T, N)[i, j], 2);
Console.Write(St[i, j].ToString() + "\t");
}
Console.WriteLine();
}
Console.WriteLine();
Console.WriteLine("The Option Value Trinomial Tree:");
// Ilerate option value trinomial tree Vt
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
Vt[i, j] = Math.Round(Eur_option.MakingOptionValueTree(K, r, sigma, T, N, div, St)[i, j], 2);
Console.Write(Vt[i, j].ToString() + "\t");
}
Console.WriteLine();
}
// Output the option price
Console.WriteLine("European Call Option Price is" + " " + Vt[0, 0].ToString());
Console.WriteLine();
// Output Greeks
Console.WriteLine("Greeks of this option ");
greeks.St = St;
greeks.Vt = Vt;
double delta = greeks.Delta();
Console.WriteLine("Delta =" + " " + delta.ToString());
double gamma = greeks.Gamma();
Console.WriteLine("Gamma =" + " " + gamma.ToString());
double theta = greeks.Theta(T, N);
Console.WriteLine("Theta =" + " " + theta.ToString());
double vega = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 0];
double rho = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 1];
Console.WriteLine("Vega =" + " " + vega.ToString());
Console.WriteLine("Rho =" + " " + rho.ToString());
Console.ReadLine();
}
// If this is a put option.
else
{
Console.WriteLine("The Underlying Prices Trinomial Tree:");
// Initial the parameters
Eur_option.Iscall = false;
vega_cal.IsEuropean = true;
vega_cal.Iscall = false;
// Ilerate underlying trinomial tree St.
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
St[i, j] = Math.Round(tree.MakeUnderlyingTree(S, sigma, T, N)[i, j], 2);
Console.Write(St[i, j].ToString() + "\t");
}
Console.WriteLine();
}
Console.WriteLine();
Console.WriteLine("The Option Value Trinomial Tree:");
// Ilerate option value trinomial tree Vt
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
Vt[i, j] = Math.Round(Eur_option.MakingOptionValueTree(K, r, sigma, T, N, div, St)[i, j], 2);
Console.Write(Vt[i, j].ToString() + "\t");
}
Console.WriteLine();
}
// Output option price.
Console.WriteLine("European Put Option Price is" + " " + Vt[0, 0].ToString());
Console.WriteLine();
// Output Greeks
Console.WriteLine("Greeks of this option :");
greeks.St = St;
greeks.Vt = Vt;
double delta = greeks.Delta();
Console.WriteLine("Delta =" + " " + delta.ToString());
double gamma = greeks.Gamma();
Console.WriteLine("Gamma =" + " " + gamma.ToString());
double theta = greeks.Theta(T, N);
Console.WriteLine("Theta =" + " " + theta.ToString());
double vega = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 0];
double rho = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 1];
Console.WriteLine("Vega =" + " " + vega.ToString());
Console.WriteLine("Rho =" + " " + rho.ToString());
Console.ReadLine();
}
}
// If this is an American Option
else
{
//Judge if this is a call option.
if (IsCall == true)
{
Console.WriteLine("The Underlying Prices Trinomial Tree:");
// Initial the parameters
Amer_option.Iscall = true;
vega_cal.IsEuropean = false;
vega_cal.Iscall = true;
// Ilerate underlying trinomial tree St.
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
St[i, j] = Math.Round(tree.MakeUnderlyingTree(S, sigma, T, N)[i, j], 2);
Console.Write(St[i, j].ToString() + "\t");
}
Console.WriteLine();
}
Console.WriteLine();
Console.WriteLine("The Option Value Trinomial Tree:");
// Ilerate option value trinomial tree Vt
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
Vt[i, j] = Math.Round(Amer_option.MakingOptionValueTree(K, r, sigma, T, N, div, St)[i, j], 2);
Console.Write(Vt[i, j].ToString() + "\t");
}
Console.WriteLine();
}
// Output American call option price
Console.WriteLine("American Call Option Price is" + " " + Vt[0, 0].ToString());
Console.WriteLine();
// Output Greeks
Console.WriteLine("Greeks of this option:");
greeks.St = St;
greeks.Vt = Vt;
double delta = greeks.Delta();
Console.WriteLine("Delta =" + " " + delta.ToString());
double gamma = greeks.Gamma();
Console.WriteLine("Gamma =" + " " + gamma.ToString());
double theta = greeks.Theta(T, N);
Console.WriteLine("Theta =" + " " + theta.ToString());
double vega = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 0];
double rho = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 1];
Console.WriteLine("Vega =" + " " + vega.ToString());
Console.WriteLine("Rho =" + " " + rho.ToString());
Console.ReadLine();
}
//If this is a put option.
else
{
Console.WriteLine("The Underlying Prices Trinomial Tree:");
// Initial the parameters
Amer_option.Iscall = false;
vega_cal.IsEuropean = false;
vega_cal.Iscall = false;
// Ilerate underlying trinomial tree St.
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
St[i, j] = Math.Round(tree.MakeUnderlyingTree(S, sigma, T, N)[i, j], 2);
Console.Write(St[i, j].ToString() + "\t");
}
Console.WriteLine();
}
Console.WriteLine();
Console.WriteLine("The Option Value Trinomial Tree:");
// Ilerate option value trinomial tree Vt
for (int i = 0; i <= 2 * N; i++)
{
for (int j = 0; j <= N; j++)
{
Vt[i, j] = Math.Round(Amer_option.MakingOptionValueTree(K, r, sigma, T, N, div, St)[i, j], 2);
Console.Write(Vt[i, j].ToString() + "\t");
}
Console.WriteLine();
}
// Output American call option price
Console.WriteLine("American Put Option Price is" + " " + Vt[0, 0].ToString());
Console.WriteLine();
// Output Greeks
Console.WriteLine("Greeks of this option:");
greeks.St = St;
greeks.Vt = Vt;
double delta = greeks.Delta();
Console.WriteLine("Delta =" + " " + delta.ToString());
double gamma = greeks.Gamma();
Console.WriteLine("Gamma =" + " " + gamma.ToString());
double theta = greeks.Theta(T, N);
Console.WriteLine("Theta =" + " " + theta.ToString());
double vega = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 0];
double rho = vega_cal.GetVegaRho(diff_sigma, diff_r, S, K, r, sigma, T, N, div)[0, 1];
Console.WriteLine("Vega =" + " " + vega.ToString());
Console.WriteLine("Rho =" + " " + rho.ToString());
Console.ReadLine();
}
}
}