public static double CalcInvCdf(
InitialTerm.InitialParameter param,
double volatility,
double forward,
double delta,
InitialTerm.CallPutType type,
InitialTerm.DeltaType deltaType)
{
Volatility = volatility;
Forward = forward;
DeltaType = deltaType;
Number = delta;
var strikeCalculator = new StrikrCalcultor(param);
return(UseBisection.Calc(
strikeCalculator.DeltaFunctionOfStrike,
0.5 * param.spotRate,
2.0 * param.spotRate));
}
private static void CalcStrikeList(Vector <double> volParameter)
{
K25Call = UseBisection.Calc(CalcCallStrike, KATM, 2.0 * KATM);
K25Put = UseBisection.Calc(CalcPutStrike, 0.5 * KATM, KATM);
}
