public Option(OptionInfo optInfo)
{
optionInfo = optInfo;
rnds = new RndGenerator(optionInfo.NumberOfSteps);
SS1 = new double[optionInfo.NumberOfSteps + 1];
SS2 = new double[optionInfo.NumberOfSteps + 1];
}
public Greeks(OptionInfo optInfo)
{
optionInfo = optInfo;
Prices = new double[optionInfo.NumberOfSimulation];
Asian_Prices = new double[optionInfo.NumberOfSimulation];
Digital_Prices = new double[optionInfo.NumberOfSimulation];
Lookback_Prices = new double[optionInfo.NumberOfSimulation];
Range_Prices = new double[optionInfo.NumberOfSimulation];
Barrier_Prices = new double[optionInfo.NumberOfSimulation];
rnd = new RndGenerator(optionInfo.NumberOfSteps);
rnds = new double[optionInfo.NumberOfSteps];
}
public Digitaloption(OptionInfo op) : base(op)
{
opt = op;
}
public RangeOption(OptionInfo op) : base(op)
{
opt = op;
}
public BarrierOption(OptionInfo op) : base(op)
{
opt = op;
}
} //Calculate the greek values of Range Option.
public void Calculate_Barrier()
{
OptionInfo optionInfo1 = optionInfo.copy();
// Copy the information from the OptionInfo.
barrier = new BarrierOption(optionInfo1);
long M = optionInfo1.NumberOfSimulation;
double eps = optionInfo1.Epslion;
// double[] rnds = new double[optionInfo1.NumberOfSteps];
double[] Delta = new double[M];
double[] Gamma = new double[M];
double[] Vega = new double[M];
double[] Theta = new double[M];
double[] Rho = new double[M];
double[] Standarderror = new double[M];
for (int i = 0; i <= M - 1; i++)
{
rnds = rnd.Normal();
// Original
barrier.CalculateOption(rnds);
Barrier_Prices[i] = barrier.Calculate();
// Delta
optionInfo1.UnderlyingPrice *= (1.0 + eps);
barrier.CalculateOption(rnds);
value1 = barrier.Calculate();
optionInfo1.UnderlyingPrice = optionInfo.UnderlyingPrice;
optionInfo1.UnderlyingPrice *= (1.0 - eps);
barrier.CalculateOption(rnds);
value2 = barrier.Calculate();
Delta[i] = (value1 - value2) / (2 * eps * optionInfo.UnderlyingPrice);
// Gamma
Gamma[i] = (value1 + value2 - 2 * Barrier_Prices[i]) / (eps * eps * optionInfo.UnderlyingPrice * optionInfo.UnderlyingPrice);
optionInfo1.UnderlyingPrice = optionInfo.UnderlyingPrice;
// Vega
optionInfo1.Volatility *= (1.0 + eps);
barrier.CalculateOption(rnds);
value1 = barrier.Calculate();
optionInfo1.Volatility = optionInfo.Volatility;
optionInfo1.Volatility *= (1.0 - eps);
barrier.CalculateOption(rnds);
value2 = barrier.Calculate();
Vega[i] = (value1 - value2) / (2 * eps * optionInfo.Volatility);
optionInfo1.Volatility = optionInfo.Volatility;
// Rho
optionInfo1.InterestRate *= (1.0 + eps);
barrier.CalculateOption(rnds);
value1 = barrier.Calculate();
optionInfo1.InterestRate = optionInfo.InterestRate;
optionInfo1.InterestRate *= (1.0 - eps);
barrier.CalculateOption(rnds);
value2 = barrier.Calculate();
Rho[i] = (value1 - value2) / (2 * eps * optionInfo.InterestRate);
optionInfo1.InterestRate = optionInfo.InterestRate;
// Theta
optionInfo1.Tenor *= (1.0 + eps);
barrier.CalculateOption(rnds);
value1 = barrier.Calculate();
optionInfo1.Tenor = optionInfo.Tenor;
optionInfo1.Tenor *= (1.0 - eps);
barrier.CalculateOption(rnds);
value2 = barrier.Calculate();
Theta[i] = (value1 - value2) / (2 * eps * optionInfo.Tenor);
optionInfo1.Tenor = optionInfo.Tenor;
}
double totalPrices = 0;
double totalDelta = 0;
double totalTheta = 0;
double totalGamma = 0;
double totalRho = 0;
double totalVega = 0;
for (int j = 0; j <= M - 1; j++)
{
totalPrices += Barrier_Prices[j];
totalDelta += Delta[j];
totalTheta += Theta[j];
totalGamma += Gamma[j];
totalRho += Rho[j];
totalVega += Vega[j];
}
Barrier_original = totalPrices / M;
Barrier_delta = totalDelta / M;
Barrier_gamma = totalGamma / M;
Barrier_theta = -totalTheta / M;
Barrier_rho = totalRho / M;
Barrier_vega = totalVega / M;
double std = 0.0;
for (int i = 0; i < M; i++)
{
std += (Barrier_Prices[i] - Barrier_original) * (Barrier_Prices[i] - Barrier_original);
}
Barrier_TOE = Math.Sqrt(std / (M - 1) / M);
} //Calculate the greek values of Barrier Option
public void Calculate_European()
{
OptionInfo optionInfo1 = optionInfo.copy();
// Copy the information from the OptionInfo.
europ = new EuropeanOption(optionInfo1);
long M = optionInfo1.NumberOfSimulation;
double eps = optionInfo1.Epslion;
//double[] rnds = new double[optionInfo1.NumberOfSteps];
double[] Delta = new double[M];
double[] Gamma = new double[M];
double[] Vega = new double[M];
double[] Theta = new double[M];
double[] Rho = new double[M];
double[] Standarderror = new double[M];
for (int i = 0; i <= M - 1; i++)
{
rnds = rnd.Normal();
// Original
europ.CalculateOption(rnds);
original = europ.Calculate();
// Delta
optionInfo1.UnderlyingPrice *= (1.0 + eps);
europ.CalculateOption(rnds);
value1 = europ.Calculate();
optionInfo1.UnderlyingPrice = optionInfo.UnderlyingPrice;
optionInfo1.UnderlyingPrice *= (1.0 - eps);
europ.CalculateOption(rnds);
value2 = europ.Calculate();
delta = (value1 - value2) / (2 * eps * optionInfo.UnderlyingPrice);
// Gamma
gamma = (value1 + value2 - 2 * original) / (eps * eps * optionInfo.UnderlyingPrice * optionInfo.UnderlyingPrice);
optionInfo1.UnderlyingPrice = optionInfo.UnderlyingPrice;
// Vega
optionInfo1.Volatility *= (1.0 + eps);
europ.CalculateOption(rnds);
value1 = europ.Calculate();
optionInfo1.Volatility = optionInfo.Volatility;
optionInfo1.Volatility *= (1.0 - eps);
europ.CalculateOption(rnds);
value2 = europ.Calculate();
vega = (value1 - value2) / (2 * eps * optionInfo.Volatility);
optionInfo1.Volatility = optionInfo.Volatility;
// Rho
optionInfo1.InterestRate *= (1.0 + eps);
europ.CalculateOption(rnds);
value1 = europ.Calculate();
optionInfo1.InterestRate = optionInfo.InterestRate;
optionInfo1.InterestRate *= (1.0 - eps);
europ.CalculateOption(rnds);
value2 = europ.Calculate();
rho = (value1 - value2) / (2 * eps * optionInfo.InterestRate);
optionInfo1.InterestRate = optionInfo.InterestRate;
// Theta
optionInfo1.Tenor *= (1.0 + eps);
europ.CalculateOption(rnds);
value1 = europ.Calculate();
optionInfo1.Tenor = optionInfo.Tenor;
optionInfo1.Tenor *= (1.0 - eps);
europ.CalculateOption(rnds);
value2 = europ.Calculate();
theta = (value1 - value2) / (2 * eps * optionInfo.Tenor);
optionInfo1.Tenor = optionInfo.Tenor;
Prices[i] = original;
Delta[i] = delta;
Theta[i] = theta;
Gamma[i] = gamma;
Rho[i] = rho;
Vega[i] = vega;
}
double totalPrices = 0;
double totalDelta = 0;
double totalTheta = 0;
double totalGamma = 0;
double totalRho = 0;
double totalVega = 0;
for (int j = 0; j <= M - 1; j++)
{
totalPrices += Prices[j];
totalDelta += Delta[j];
totalTheta += Theta[j];
totalGamma += Gamma[j];
totalRho += Rho[j];
totalVega += Vega[j];
}
original = totalPrices / M;
delta = totalDelta / M;
gamma = totalGamma / M;
theta = -totalTheta / M;
rho = totalRho / M;
vega = totalVega / M;
double std = 0.0;
for (int i = 0; i < M; i++)
{
std += (Prices[i] - original) * (Prices[i] - original);
}
TOE = Math.Sqrt(std / (M - 1) / M);
} //Calculate the greek values of European Option
public EuropeanOption(OptionInfo op) : base(op)
{
opt = op;
}
public LookbackOption(OptionInfo op) : base(op)
{
opt = op;
}
public Thread_values(OptionInfo op)
{
opt = op;
}
public AsianOption(OptionInfo op) : base(op)
{
opt = op;
} //Constructor function
