public override double Moneyness(double maturity, double strike) { var c = affineDivCurveUtils.CashDivBpv(maturity); var cAverage = affineDivCurveUtils.CashBpvAverage(0.0, maturity); var g = affineDivCurveUtils.AssetGrowth(maturity); var dk = g * (c - cAverage); return(Math.Log((strike + dk) / (g * (spot + cAverage)))); }
public double Fwd(DateTime d) { double t = time[d]; return((Spot - divCurveUtils.CashDivBpv(t)) * divCurveUtils.AssetGrowth(t)); }