public void MakeDeltaGamma(Tree SpotT, Pricer PriceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(SpotT, PriceT);
Tree treeD = new Tree
{
Gridsteps = Gridsteps + 2,
Spot = spot,
Sig = sig,
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.Get_PriceMatrix(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 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 = sig;
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 = sig;
T2.Spot = spot;
T2.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T2);
double P2 = PriceT.Price();
Theta = (P2 - P1);
}
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 * sig;
T1.Spot = spot;
T1.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T1);
double P1 = PriceT.Price();
T2.Tau = tau;
T2.Gridsteps = Gridsteps;
T2.Sig = 1.01 * sig;
T2.Spot = spot;
T2.MakeGrid(myZero, myDiv);
PriceT.MakeGrid(T2);
double P2 = PriceT.Price();
if (sig != 0)
{
Vega = 0.01 * (P2 - P1) / (2 * 0.01 * sig);
}
}
private void SetParam(Tree SpotT, Pricer PriceT)
{
if ((SpotT != null) && (PriceT != null))
{
Gridsteps = SpotT.Gridsteps;
tau = SpotT.Tau;
sig = 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 nGridsteps = (gridsteps < 20.0) ? 20 : Convert.ToInt32(gridsteps);
myTree.Gridsteps = nGridsteps;
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);
}
