/// <summary>
///
/// </summary>
/// <param name="spotT"></param>
/// <param name="priceT"></param>
/// <param name="myZero"></param>
/// <param name="myDiv"></param>
public void MakeTheta(ITree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
var type = spotT.GetType();
ITree t1 = (ITree)Activator.CreateInstance(type);
ITree t2 = (ITree)Activator.CreateInstance(type);
t1.Tau = Tau;
t1.Gridsteps = Gridsteps;
t1.Sig = Sig;
t1.Spot = Spot;
t1.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t1);
double p1 = priceT.Price();
DivList shiftDiv = new DivList {
Divpoints = myDiv.Divpoints
};
shiftDiv.MakeArrays();
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
shiftDiv.SetD(idx, myDiv.GetD(idx), myDiv.GetT(idx) - 1 / 365.0);
}
double t = Tau - 1.00 / 365.00;
t2.Tau = t;
t2.Gridsteps = Gridsteps;
t2.Sig = Sig;
t2.Spot = Spot;
t2.MakeGrid(myZero, shiftDiv);
priceT.MakeGrid(t2);
double p2 = priceT.Price();
Theta = (p2 - p1);
}
/// <summary>
///
/// </summary>
/// <param name="spotT"></param>
/// <param name="priceT"></param>
/// <param name="myZero"></param>
/// <param name="myDiv"></param>
public void MakeVega(ITree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
var type = spotT.GetType();
ITree t1 = (ITree)Activator.CreateInstance(type);
ITree t2 = (ITree)Activator.CreateInstance(type);
t1.Tau = Tau;
t1.Gridsteps = Gridsteps;
t1.Sig = .99 * Sig;
t1.Spot = Spot;
t1.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t1);
double p1 = priceT.Price();
t2.Tau = Tau;
t2.Gridsteps = Gridsteps;
t2.Sig = 1.01 * Sig;
t2.Spot = Spot;
t2.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t2);
double p2 = priceT.Price();
if (Sig != 0)
{
Vega = 0.01 * (p2 - p1) / (2 * 0.01 * Sig);
}
}
/// <summary>
///
/// </summary>
/// <param name="spotT"></param>
/// <param name="priceT"></param>
/// <param name="myZero"></param>
/// <param name="myDiv"></param>
public void MakeDeltaGamma(ITree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
var type = spotT.GetType();
ITree treeD = (ITree)Activator.CreateInstance(type);
treeD.Gridsteps = Gridsteps + 2;
treeD.Spot = Spot;
treeD.Sig = Sig;
treeD.Tau = Tau * (1 + 2 / Gridsteps);
treeD.MakeGrid(myZero, myDiv);
priceT.MakeGrid(treeD);
double[] s = new double[3];
double[] c = new double[3];
for (int i = 0; i <= 2; ++i)
{
s[i] = treeD.GetSpotMatrix(2, i);
c[i] = priceT.GetPriceMatrix(2, i);
}
//Delta = (S[0] * (2 * S[1] - S[0]) * (C[1] - C[2]) +
// (S[1] * S[1]) * (C[2] - C[0]) + S[2] * (2 * S[1] - S[2]) * (C[0] - C[1]))
// / (S[1] - S[0]) / (S[2] - S[0]) / (S[2] - S[1]);
//Gamma = 2 * (S[0] * (C[1] - C[2]) + S[1] * (C[2] - C[0]) + S[2] * (C[0] - C[1]))
// / (S[1] - S[0]) / (S[2] - S[0]) / (S[2] - S[1]);
double u = treeD.GetUp(0);
double d = treeD.GetDn(0);
double est1 = (c[2] - c[0]) / (s[2] - s[0]);
double est2 = (priceT.GetPriceMatrix(4, 4) - priceT.GetPriceMatrix(4, 0)) / (treeD.GetSpotMatrix(4, 4) - treeD.GetSpotMatrix(4, 0));
double est3 = (priceT.GetPriceMatrix(6, 6) - priceT.GetPriceMatrix(6, 0)) / (treeD.GetSpotMatrix(6, 6) - treeD.GetSpotMatrix(6, 0));
double temp = (Math.Pow(u, 2) + Math.Pow(d, 2) + Math.Pow(u, 2) * Math.Pow(d, 2)) * est1 -
(Math.Pow(u, 2) + Math.Pow(d, 2) + 1) * est2 + est3;
Delta = 1 / Math.Pow(u, 2) / Math.Pow(d, 2) * temp;
//Delta = 1/
}
private void SetParam(ITree spotT, Pricer priceT)
{
if ((spotT != null) && (priceT != null))
{
Gridsteps = spotT.Gridsteps;
Tau = spotT.Tau;
Sig = spotT.Sig;
Spot = spotT.Spot;
Strike = priceT.Strike;
Style = priceT.Style;
Payoff = priceT.Payoff;
Smoothing = priceT.Smoothing;
}
}
/// <summary>
///
/// </summary>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="paystyle"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="zeroDates"></param>
/// <param name="zeroRates"></param>
/// <param name="q"></param>
/// <returns></returns>
public static double BlackScholesPricerContDiv(double spot, double strike, double vol, string paystyle, DateTime today, DateTime expiry,
DateTime[] zeroDates, double[] zeroRates, double q)
{
double t = expiry.Subtract(today).Days / 365.0;
ZeroCurve myZero = (new Wrapper()).UnpackZero(today, zeroDates, zeroRates);
double fwd = Collar.GetATMfwd(myZero, q, spot, t);
double r = myZero.LinInterp(t);
//create default pricer
var myPrice = new Pricer {
Strike = strike, Payoff = paystyle
};
double pr = myPrice.BSprice(fwd, t, strike, r, vol, paystyle);
return(pr);
}
/// <summary>
///
/// </summary>
/// <param name="style"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="paystyle"></param>
/// <param name="zeroDates"></param>
/// <param name="zeroRates"></param>
/// <param name="divDates"></param>
/// <param name="divAms"></param>
/// <param name="gridsteps"></param>
/// <param name="smoo"></param>
/// <param name="flatFlag"></param>
/// <returns></returns>
public static double[,] BinomialRelativeGetGreeks(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
string paystyle, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms, double gridsteps, string smoo, bool flatFlag)
{
const int arrsize = 4;
gridsteps = (gridsteps == 0.0) ? 20 : gridsteps;
int nGridsteps = Convert.ToInt32(gridsteps);
string smoothing = (smoo.ToLower().Equals("n")) ? "n" : "y";
var retArray = new double[arrsize, arrsize];
double t = expiry.Subtract(today).Days / 365.0;
ZeroCurve myZero = (new Wrapper()).UnpackZero(today, zeroDates, zeroRates);
DivList myDiv = (new Wrapper()).UnpackDiv(today, expiry, divDates, divAms);
//create the tree
var myTree = new PropTree(t, vol, spot, nGridsteps, true)
{
Gridsteps = nGridsteps
};
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer(strike, paystyle, smoothing, style);
myPrice.MakeGrid(myTree);
myPrice.Price();
var myGreeks = new Greeks();
myGreeks.MakeDeltaGamma(myTree, myPrice, myZero, myDiv);
double delta = myGreeks.Delta;
double gamma = myGreeks.Gamma;
myGreeks.MakeVega(myTree, myPrice, myZero, myDiv);
double vega = myGreeks.Vega;
myGreeks.MakeTheta(myTree, myPrice, myZero, myDiv);
double theta = myGreeks.Theta;
retArray[0, 0] = delta;
retArray[0, 1] = gamma;
retArray[0, 2] = vega;
retArray[0, 3] = theta;
return(retArray);
}
/// <summary>
///
/// </summary>
/// <param name="myZero"></param>
/// <param name="myDiv"></param>
/// <param name="orcParams"></param>
/// <param name="t"></param>
/// <param name="strike"></param>
/// <param name="spot"></param>
/// <param name="style"></param>
/// <param name="paystyle"></param>
/// <param name="gridsteps"></param>
/// <returns></returns>
public static double FindPrice(ZeroCurve myZero, DivList myDiv, double[] orcParams, double t,
double strike, double spot, string style, string paystyle, double gridsteps)
{
//get the atfwd
double atFwd = GetATMfwd(myZero, myDiv, spot, t);
//unpack the orc paramters
//double currentVol = OrcParams[0];
//double slopeRef = OrcParams[1];
//double putCurve = OrcParams[2];
//double callCurve = OrcParams[3];
//double dnCutOff = OrcParams[4];
//double upCutOff = OrcParams[5];
//double refFwd = OrcParams[6];
//double refVol = OrcParams[7];
//double vcr = OrcParams[8];
//double scr = OrcParams[9];
//double ssr = OrcParams[10];
//double dsr = OrcParams[11];
//double usr = OrcParams[12];
//set up the tree
var myTree = new DiscreteTree();
var myVol = new OrcWingVol();
int nGridsteps = (gridsteps < 20.0) ? 20 : Convert.ToInt32(gridsteps);
myTree.Gridsteps = nGridsteps;
myTree.Tau = t;
myTree.Sig = myVol.Orcvol(atFwd, strike);
myTree.Spot = spot;
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer {
Strike = strike, Payoff = paystyle, Smoothing = "y", Style = style
};
myPrice.MakeGrid(myTree);
double pr = myPrice.Price();
return(pr);
}
/// <summary>
///
/// </summary>
/// <param name="style"></param>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="paystyle"></param>
/// <param name="zeroDates"></param>
/// <param name="zeroRates"></param>
/// <param name="divDates"></param>
/// <param name="divAms"></param>
/// <param name="gridsteps"></param>
/// <param name="smoo"></param>
/// <param name="flatFlag"></param>
/// <returns></returns>
public static double BinomialRelativePricer(string style, double spot, double strike, double vol, DateTime today, DateTime expiry,
string paystyle, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms, double gridsteps, string smoo, bool flatFlag)
{
gridsteps = (gridsteps == 0.0) ? 20 : gridsteps;
int nGridsteps = Convert.ToInt32(gridsteps);
string smoothing = (smoo.ToLower().Equals("n")) ? "n" : "y";
double t = expiry.Subtract(today).Days / 365.0;
var wrapper = new Wrapper();
ZeroCurve myZero = wrapper.UnpackZero(today, zeroDates, zeroRates);
DivList myDiv = wrapper.UnpackDiv(today, expiry, divDates, divAms);
//create the tree
var myTree = new PropTree(t, vol, spot, nGridsteps, true);
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer(strike, paystyle, smoothing, style);
myPrice.MakeGrid(myTree);
double pr = myPrice.Price();
return(pr);
}
