public static void SimpleCapletPrice()
{
#region Input Data
Date t0 = new Date(2013, 03, 4);
Date t_i = new Date(2014, 03, 4);
Date t_e = new Date(2014, 07, 4);
double yf = (t_e.SerialValue - t_i.SerialValue) / 360;
double T = (t_i.SerialValue - t0.SerialValue) / 365.0;;
double sigma = 0.335;
double strike = 0.007;
double df_i = 0.9912; // Df on t_i
double df_e = 0.9882; // Df on t_e
double fwd = ((df_i / df_e) - 1) / yf;
double N = 100000000; // Notional amount
#endregion
// Calculate d1 and d2
double d1 = ((Math.Log(fwd / strike) + (sigma * sigma * T * .5)) / (sigma * Math.Sqrt(T)));
double d2 = ((Math.Log(fwd / strike) - (sigma * sigma * T * .5)) / (sigma * Math.Sqrt(T)));
// Lambda Expression for Cumulative Normal Distribution
Func <double, double> CND_1 = x => Formula.CND_1(x);
Func <double, double> CND_2 = x => Formula.CND_2(x);
Func <double, double> CND_3 = x => Formula.CND_3(x);
Func <double, double> CND_4 = x => Formula.CND_4(x);
// Single Caplet using CapletBlack
double px = Formula.CapletBlack(T, yf, N, strike, sigma, df_e, fwd);
// Price using different Cumulative normal distribution
double px1 = N * df_e * yf * (fwd * CND_1(d1) - strike * CND_1(d2));
double px2 = N * df_e * yf * (fwd * CND_2(d1) - strike * CND_2(d2));
double px3 = N * df_e * yf * (fwd * CND_3(d1) - strike * CND_3(d2));
double px4 = N * df_e * yf * (fwd * CND_4(d1) - strike * CND_4(d2));
// Printing Output
Console.WriteLine("(method CapletBlack) Price: {0}", px);
Console.WriteLine("CND algo 1, Price: {0} ", px1);
Console.WriteLine("CND algo 2, Price: {0} ", px2);
Console.WriteLine("CND algo 3, Price: {0} ", px3);
Console.WriteLine("CND algo 4, Price: {0} ", px4);
}
