Пример #1
0
        public double F(double t)
        {
            //bs._dayCount.CalcDayCountFraction(startDate: bs._valuationDate, endDate: bs)
            //TODO: properly backout exerciseDay from timeFraction
            var exerciseDate = bs._valuationDate.AddDays(Convert.ToInt32(t * 365.0));

            return(bs.CalcPV(S: bs._spotPrice, sigma: bs._sigma, valuationDate: bs._valuationDate, exerciseDate: exerciseDate) - this.target);
        }
Пример #2
0
 public double F(double vol)
 {
     return(bs.CalcPV(S: bs._spotPrice, sigma: vol, valuationDate: bs._valuationDate, exerciseDate: bs._exerciseDate) - this.target);
 }