public void MakeDeltaGamma(Tree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
Tree treeD = new Tree
{
GridSteps = GridSteps + 2,
Spot = Spot,
Sig = Sigma,
Tau = Tau * (1 + 2 / GridSteps)
};
treeD.MakeGrid(myZero, myDiv);
priceT.MakeGrid(treeD);
double[] s = new double[3];
double[] c = new double[3];
for (int i = 0; i <= 2; ++i)
{
s[i] = treeD.GetSpotMatrix(2, i);
c[i] = priceT.GetPriceMatrix(2, i);
}
Delta = (s[0] * (2 * s[1] - s[0]) * (c[1] - c[2]) +
(s[1] * s[1]) * (c[2] - c[0]) + s[2] * (2 * s[1] - s[2]) * (c[0] - c[1]))
/ (s[1] - s[0]) / (s[2] - s[0]) / (s[2] - s[1]);
Gamma = 2 * (s[0] * (c[1] - c[2]) + s[1] * (c[2] - c[0]) + s[2] * (c[0] - c[1]))
/ (s[1] - s[0]) / (s[2] - s[0]) / (s[2] - s[1]);
}
public void MakeVega(Tree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
Tree t1 = new Tree(), t2 = new Tree();
t1.Tau = Tau;
t1.GridSteps = GridSteps;
t1.Sig = .99 * Sigma;
t1.Spot = Spot;
t1.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t1);
double p1 = priceT.Price();
t2.Tau = Tau;
t2.GridSteps = GridSteps;
t2.Sig = 1.01 * Sigma;
t2.Spot = Spot;
t2.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t2);
double p2 = priceT.Price();
if (Sigma != 0)
{
Vega = 0.01 * (p2 - p1) / (2 * 0.01 * Sigma);
}
}
private void SetParam(Tree spotT, Pricer priceT)
{
if ((spotT != null) && (priceT != null))
{
GridSteps = spotT.GridSteps;
Tau = spotT.Tau;
Sigma = spotT.Sig;
Spot = spotT.Spot;
Strike = priceT.Strike;
Style = priceT.Style;
Payoff = priceT.Payoff;
Smoothing = priceT.Smoothing;
}
}
public static double FindPrice(ZeroCurve myZero, DivList myDiv, OrcWingVol myVol, double t,
double strike, double spot, string style, string paystyle, double gridsteps)
{
//get the atfwd
double atFwd = GetATMfwd(myZero, myDiv, spot, t);
//set up the tree
var myTree = new Tree();
int numGridSteps = (gridsteps < 20.0) ? 20 : Convert.ToInt32(gridsteps);
myTree.GridSteps = numGridSteps;
myTree.Tau = t;
myTree.Sig = myVol.orcvol(atFwd, strike);
myTree.Spot = spot;
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer {
Strike = strike, Payoff = paystyle, Smoothing = "y", Style = style
};
myPrice.MakeGrid(myTree);
double pr = myPrice.Price();
return(pr);
}
public void MakeTheta(Tree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
Tree t1 = new Tree(), t2 = new Tree();
t1.Tau = Tau;
t1.GridSteps = GridSteps;
t1.Sig = Sigma;
t1.Spot = Spot;
t1.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t1);
double p1 = priceT.Price();
double t = Tau - 1.00 / 365.00;
t2.Tau = t;
t2.GridSteps = GridSteps;
t2.Sig = Sigma;
t2.Spot = Spot;
t2.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t2);
double p2 = priceT.Price();
Theta = (p2 - p1);
}