static public double CalcStrike(
InitialTerm.InitialParameter param,
double forward,
double volatility,
InitialTerm.DeltaType deltaType,
InitialTerm.VolatilityType volatilityType)
{
switch (volatilityType)
{
case InitialTerm.VolatilityType.ATM:
return(CalcAtmStrike(param, forward, volatility, deltaType));
case InitialTerm.VolatilityType.MS25Call:
return(CalcInvCdf(
param, volatility, forward, 0.25, Type, deltaType));
case InitialTerm.VolatilityType.MS25Put:
return(CalcInvCdf(
param, volatility, forward, -0.25, Type, deltaType));
case InitialTerm.VolatilityType.MS10Call:
return(CalcInvCdf(
param, volatility, forward, 0.1, Type, deltaType));
case InitialTerm.VolatilityType.MS10Put:
return(CalcInvCdf(
param, volatility, forward, -0.1, Type, deltaType));
default:
return(0);
}
}
static public InitialTerm.CallPutType CallOrPut(InitialTerm.VolatilityType volatilityType)
{
var type = InitialTerm.CallPutType.put;
if (volatilityType == InitialTerm.VolatilityType.MS10Put ||
volatilityType == InitialTerm.VolatilityType.MS25Put)
{
type = InitialTerm.CallPutType.put;
}
else
{
type = InitialTerm.CallPutType.call;
}
return(type);
}
public static double Volatility(InitialTerm.InitialParameter param, InitialTerm.VolatilityType volatilityType)
{
double volatility = 0.0;
if (volatilityType == InitialTerm.VolatilityType.ATM)
{
volatility = param.volATM;
}
else if (volatilityType == InitialTerm.VolatilityType.MS25Call ||
volatilityType == InitialTerm.VolatilityType.MS25Put)
{
volatility = param.volATM + param.volMS25;
}
else if (volatilityType == InitialTerm.VolatilityType.MS10Call ||
volatilityType == InitialTerm.VolatilityType.MS10Put)
{
volatility = param.volATM + param.volMS10;
}
return(volatility);
}
