public double Theta()
{
var diff = 1.0 / 252.0;
var myCall_1 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T + diff, this.Volatility, this.RiskFreeOptionPrice, this.Simulations, this.OptionType);
var myCall_2 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T - diff, this.Volatility, this.RiskFreeOptionPrice, this.Simulations, this.OptionType);
return((myCall_1.ReturnPrice() - myCall_2.ReturnPrice()) / (2 * diff));
}
public double Vega()
{
var diff = this.Volatility * 0.01;
var myCall_1 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T, this.Volatility + diff, this.RiskFreeOptionPrice, this.Simulations, this.OptionType);
var myCall_2 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T, this.Volatility - diff, this.RiskFreeOptionPrice, this.Simulations, this.OptionType);
return((myCall_1.ReturnPrice() - myCall_2.ReturnPrice()) / (2 * diff));
}
public double Rho()
{
var diff = this.RiskFreeOptionPrice * 0.01;
LeastSquareMethod myCall_1;
LeastSquareMethod myCall_2;
if (this.RiskFreeOptionPrice - diff < 0)
{
myCall_1 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T, this.Volatility, this.RiskFreeOptionPrice + diff, this.Simulations, this.OptionType);
myCall_2 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T, this.Volatility, this.RiskFreeOptionPrice, this.Simulations, this.OptionType);
return((myCall_1.ReturnPrice() - myCall_2.ReturnPrice()) / (2 * diff));
}
myCall_1 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T, this.Volatility, this.RiskFreeOptionPrice + diff, this.Simulations, this.OptionType);
myCall_2 = new LeastSquareMethod(this.InitialStock, this.Strike, this.T, this.Volatility, this.RiskFreeOptionPrice - diff, this.Simulations, this.OptionType);
return((myCall_1.ReturnPrice() - myCall_2.ReturnPrice()) / (2 * diff));
}
