/// <summary>
/// Values a digital option with greeks.
/// </summary>
/// <param name="callFlag"></param>
/// <param name="fwdPrice"></param>.
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="t"></param>
/// <returns>value, d_dfwdPrice, d2_dfwdPrice2, d_dvol, d_dstrike, d2_dstrike2, d_dt</returns>
public object[,] DigitalWithGreeks(bool callFlag, double fwdPrice, double strike, double vol, double t)
{
var unqVals = OptionAnalytics.DigitalWithGreeks(callFlag, fwdPrice, strike, vol, t);
var result = RangeHelper.ConvertArrayToRange(unqVals);
return(result);
}
/// <summary>
/// Flats the skew price.
/// </summary>
/// <param name="forward">The FWD.</param>
/// <param name="r">The r.</param>
/// <param name="q">The q.</param>
/// <returns></returns>
private double FlatSkewPrice(double forward, double r, double q)
{
double[] p = OptionAnalytics.DigitalWithGreeks(_isCall, forward, _strike, _volatility, _tau);
return(p[0]);
}
