} // end
// Put Create
public void CreatePut(decimal currentPrice, decimal strikePrice, decimal riskFree, decimal vol, DateTime ExpiryDate)
{
decimal currPrice = currentPrice, spotPrice = strikePrice, riskFR = riskFree, iv = vol; // this allows to vary the inputs & Create with the original
int differance = (ExpiryDate - DateTime.Now).Days;
OptPrices = new List <OptionPrice>();
for (int count = 0; count < 3; count++)
{
// loop through the days
for (int day = 1; day < differance + 1; day++)
{
OptionPrice optionPrices = new OptionPrice(); // each loop will create a new instance of OptionPrice class
optionPrices.Price = optionPrices.Price = PutOption(currPrice, spotPrice, riskFR, iv, day);
optionPrices.Day = DateTime.Now.AddDays(day);
if (count == 0)
{
optionPrices.Varation = "ORIGINAL";
}
else
{
optionPrices.Varation = "VARATION" + count + " CURR: " + currPrice + " SP: " + spotPrice + " RFR: " + riskFR + " % IV: " + iv + " %";
}
OptPrices.Add(optionPrices); // add to the list
} // end the inner loop
if (count % 2 == 0)
{
currPrice += 1.75M;
spotPrice -= 0.75M;
iv += 12.25M;
riskFR -= 0.01M;
if (spotPrice <= 0.00M)
{
spotPrice = 5;
}
if (riskFR < 0.00M)
{
riskFR = 1.00M;
}
}
else
{
currPrice -= 1.00M;
spotPrice += 2.50M;
riskFR += 0.02M;
iv -= 7.25M;
if (iv < 0.00M) // IV can never be negative
{
iv = 0;
}
if (currPrice <= 0.00M)
{
currPrice = 3.00M;
}
}
} // end outer loop varation
} // end
// public methods
// The Create Controller will call these methods
public void CreateCall(decimal currentPrice, decimal strikePrice, decimal riskFree, decimal vol, DateTime ExpiryDate)
{
decimal currPrice = currentPrice, spotPrice = strikePrice, riskFR = riskFree, iv = vol; // this allows to vary the inputs & Create with the original
int differance = (ExpiryDate - DateTime.Now).Days;
OptPrices = new List <OptionPrice>();
for (int count = 0; count < 3; count++)
{
// loop through the days
for (int day = 1; day < differance + 1; day++)
{
OptionPrice optionPrices = new OptionPrice(); // each loop will create a new instance of OptionPrice class
optionPrices.Price = CallOption(currPrice, spotPrice, riskFR, iv, day);
optionPrices.Day = DateTime.Now.AddDays(day);
if (count == 0) // 1st run through
{
optionPrices.Varation = "ORIGINAL";
}
else
{
optionPrices.Varation = "VARATION" + count + " CURR: " + currPrice + " SP: " + spotPrice + " RFR: " + riskFR + " % IV: " + iv + " %";
}
OptPrices.Add(optionPrices); // add to the list
} // end the inner loop
if (count % 2 == 0) // even
{
currPrice += 3.21M;
spotPrice -= 1.5M;
iv += 5;
riskFR -= 0.01M;
if (spotPrice <= 0.00M) // check that the strike price above 0.00
{
spotPrice = 5.00M; // set to 5 if it is not
}
if (riskFR < 0.00M)
{
riskFR = 1.00M;
}
}
else
{
currPrice -= 1.00M;
spotPrice += 0.50M;
riskFR += 0.02M;
iv -= 5;
if (iv < 0.00M) // IV can never be negative but can be zero
{
iv = 0;
}
if (currPrice <= 0.00M) // set current price to 3 if 0 or less
{
currPrice = 3.00M;
}
}
} // end outer loop varation
} // end
