/// <summary>
///
/// </summary>
/// <param name="myZero"></param>
/// <param name="myDivList"></param>
/// <param name="spot"></param>
/// <param name="t"></param>
/// <returns></returns>
public static double GetATMfwd(ZeroCurve myZero, DivList myDivList, double spot, double t)
{
double spotstar = spot;
//compute the discounted dividends and take off spot
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= t)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
spotstar -= d1 * t1;
}
}
}
//gross up to expiry to get atfwd
if (myZero != null)
{
double r = myZero.LinInterp(t);
return(spotstar * Math.Exp(r * t));
}
return(0);
}
/// <summary>
///
/// </summary>
/// <param name="myZero"></param>
/// <param name="q"></param>
/// <param name="spot"></param>
/// <param name="t"></param>
/// <returns></returns>
public static double GetATMfwd(ZeroCurve myZero, double q, double spot, double t)
{
//compute the discounted dividends and take off spot
if ((myZero != null))
{
double spotstar = spot * Math.Exp(-q * t);
double r = myZero.LinInterp(t);
return(spotstar * Math.Exp(r * t));
}
return(0);
}
/// <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);
}
//fill grid forward rates
private void FillForwardRate(ZeroCurve myZero)
{
double dt = Tau / Gridsteps;
if (myZero != null)
{
if (FlatFlag)
{
FlatRate = myZero.LinInterp(Tau);
}
for (int idx = 0; idx < Gridsteps; idx++)
{
SetR(idx, FlatFlag ? FlatRate : myZero.ForwardRate(idx * dt, (idx + 1) * dt));
}
}
}
//public spotStar
private void MakeSpotStar(ZeroCurve myZero, DivList myDivList)
{
_spotstar = Spot;
if (myDivList != null && myZero != null)
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
_spotstar -= d1 * t1;
}
}
}
}
//public spotStar
private void MakeSpotZero(ZeroCurve myZero, DivList myDivList)
{
_spot0 = Spot;
_ratio = new double[myDivList.Divpoints];
if (myZero != null)
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
_ratio[idx] = d1 * t1 / _spot0;
if (_ratio[idx] > 1)
{
throw new Exception("Dividend greater than spot");
}
_spot0 = _spot0 * (1 - _ratio[idx]);
}
}
}
}