// For 100bp increase in vol, premium = Premium_0 + Vega().
public double Vega()
{
double bumpedVol = (_Vol + 0.01) * Math.Sqrt(T);
BlackScholesCalculator up = new BlackScholesCalculator(new PlainVanillaPayoff(Type, Strike), _Spot, GrowthFactor, bumpedVol, DF);
double vega = up.value() - Option[0].value();
return((double.IsNaN(vega) ? 0 : vega) / Spot);
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="model">the model</param>
/// <exception cref="ArgumentNullException"/>
public CalculateCommand(CalculatorModel model)
{
if (null == model)
{
throw new ArgumentNullException(nameof(model));
}
_model = model;
_calculator = new BlackScholesCalculator();
}
public void Must_Import_Data_And_Calculate_For_Csv(FileReaderTypeEnum fileReaderTypeEnum, string extension)
{
IFileReader reader = FileReaderFactory.GetReader(fileReaderTypeEnum);
List <BlackScholesInput> blackScholesInputData = reader.Read <BlackScholesInput>($"{FullPath}{extension}");
var optionPricingCalculator = new BlackScholesCalculator();
List <BlackScholesResult> blackScholesResultData = optionPricingCalculator.CalculateFor(blackScholesInputData);
List <double> expectedResults =
new List <double>()
{
110, 30, 0, 0, 110, 1.2444594168143162E-196, 110, 0
};
List <double> results = optionPricingCalculator.CalculateFor(blackScholesInputData).Select(r => r.Result).ToList();
CollectionAssert.AreEqual(expectedResults, results);
}
private void btnInputFile_Click(object sender, EventArgs e)
{
DialogResult result = openFileDialogCsv.ShowDialog();
if (result == DialogResult.OK)
{
try
{
FileReaderTypeEnum fileReaderTypeEnum = GetFileReaderTypeFor(openFileDialogCsv.FileName);
IFileReader reader = FileReaderFactory.GetReader(fileReaderTypeEnum);
List <BlackScholesInput> blackScholesInputData = reader.Read <BlackScholesInput>(openFileDialogCsv.FileName);
var optionPricingCalculator = new BlackScholesCalculator();
List <BlackScholesResult> blackScholesResultData = optionPricingCalculator.CalculateFor(blackScholesInputData);
ShowResultsOnScreen(blackScholesResultData);
}
catch (Exception ex)
{
string message = $"{ErrorsResource.ErrorToProcessData} Error: {ex.Message}";
MessageBox.Show(message, ErrorsResource.TitleErrorToProcessData, MessageBoxButtons.OK, MessageBoxIcon.Error);
}
}
}
public void Initialize()
{
_calculator = new BlackScholesCalculator();
_result = _calculator.Calculate(BlackScholesCalculatorPricingData.NewPricingData(45, 23, 0.10M, 0.15M, 123M));
}
public void Initialize()
{
_calculator = new BlackScholesCalculator();
_result = _calculator.Calculate(BlackScholesCalculatorPricingData.NewPricingData(50, 55, 0.2M, 0.09M, 365M));
}
public void Initialize()
{
_calculator = new BlackScholesCalculator();
_result = _calculator.Calculate(BlackScholesCalculatorPricingData.NewPricingData(56, 32, 0.74M, 0.02M, 99M));
}
public void Initialize()
{
_calculator = new BlackScholesCalculator();
_result = _calculator.Calculate(BlackScholesCalculatorPricingData.NewPricingData(64, 60, 0.27M, 0.045M, 180M));
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="viewModel">the view model</param>
/// <exception cref="ArgumentNullException"/>
public CalculateCommand(CalculatorViewModel viewModel)
{
_viewModel = viewModel ?? throw new ArgumentNullException(nameof(viewModel));;
_calculator = new BlackScholesCalculator();
}
public void Initialize()
{
_calculator = new BlackScholesCalculator();
_result = _calculator.Calculate(BlackScholesCalculatorPricingData.NewPricingData(28, 30, 0.37M, 0.15M, 251M));
}
public BlackScholesCalculatorTest()
{
_blackScholesCalculator = new BlackScholesCalculator();
_fileReaderMock = new FileReaderMock();
}
public MainFormMetroApp()
{
InitializeComponent();
InitializeWeeklyDataTable();
_expandimage = Image.FromFile("treeexpand.jpg");
_collapseimage = Image.FromFile("treecollapse.jpg");
_blackScholesCalculator = new BlackScholesCalculator();
uiStrategy_comboBoxExOISStepKind.SelectedIndex = 0;
uiStrategy_comboBoxExOOOSStepKind.SelectedIndex = 0;
uiStrategy_comboBoxExOOOSStepKind.KeyPress += KeyPressValidator;
uiStrategy_comboBoxExOISStepKind.KeyPress += KeyPressValidator;
uiCalendar_calendarViewResultView.SelectedView = eCalendarView.Month;
uiBlackSValueDate.Value = DateTime.Now;
//_monthProfit = new double[12];
uiBlackSInterestRate.KeyPress += KeyPressValidator;
uiBlackSUnderlyingPrice.KeyPress += KeyPressValidator;
uiBlackSVolality.KeyPress += KeyPressValidator;
uiBlackSQuantity.KeyPress += QuantityKeyPressValidator;
uiBlackSPriceStrike.KeyPress += KeyPressValidator;
uiBlackSCallGamma.KeyPress += KeyPressValidator;
uiBlackSCallTheta.KeyPress += KeyPressValidator;
uiBlackSCallVega.KeyPress += KeyPressValidator;
uiBlackSPutGamma.KeyPress += KeyPressValidator;
uiBlackSPutTheta.KeyPress += KeyPressValidator;
uiBlackSPutVega.KeyPress += KeyPressValidator;
uiBlackSInterestRate.KeyDown += SubmitTextBox;
uiBlackSUnderlyingPrice.KeyDown += SubmitTextBox;
uiBlackSVolality.KeyDown += SubmitTextBox;
uiBlackSQuantity.KeyDown += SubmitTextBox;
uiBlackSPriceStrike.KeyDown += SubmitTextBox;
uiStrategy_dataGridViewNoOptomizationParameters.KeyPress += DGridKeyPressValidator;
uiStrategy_dataGridViewOptomizationParameters.KeyPress += DGridKeyPressValidator;
uiBlackSQuantity.Text = @"45";
_calendarResult = new List<ResultModel>();
_weeklist = new List<ResultModel>();
labelX1.ForeColor = Color.SteelBlue;
labelX2.ForeColor = Color.SteelBlue;
labelX3.ForeColor = Color.SteelBlue;
labelX4.ForeColor = Color.SteelBlue;
labelX5.ForeColor = Color.SteelBlue;
labelX7.ForeColor = Color.SteelBlue;
labelX8.ForeColor = Color.SteelBlue;
labelX9.ForeColor = Color.SteelBlue;
uiDataArchive_labelXSymbolsCommands.ForeColor = Color.SteelBlue;
uiDataArchive_labelXCollectingControl.ForeColor = Color.SteelBlue;
uiDataArchive_labelXSearch.ForeColor = Color.SteelBlue;
uiDataArchive_dateTimeInputFindTime.CustomFormat = @"HH:mm:ss";
uiDataArchive_dateTimeInputFindTime.Format = eDateTimePickerFormat.ShortTime;
uiDataArchive_dateTimeInputStart.Value = DateTime.Today.AddDays(-1);
uiDataArchive_dateTimeInputEnd.Value = DateTime.Today;
uiStrategy_dateTimeAdvOISStart.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiStrategy_dateTimeAdvOISStart.Format = eDateTimePickerFormat.Custom;
uiStrategy_dateTimeAdvOISEnd.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiStrategy_dateTimeAdvOISEnd.Format = eDateTimePickerFormat.Custom;
uiStrategy_dateTimeAdvOOOSStart.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiStrategy_dateTimeAdvOOOSStart.Format = eDateTimePickerFormat.Custom;
uiStrategy_dateTimeAdvOOOSEnd.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiStrategy_dateTimeAdvOOOSEnd.Format = eDateTimePickerFormat.Custom;
uiBlackSValueDate.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiBlackSValueDate.Format = eDateTimePickerFormat.Custom;
uiBlackSExpiryDate.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiBlackSExpiryDate.Format = eDateTimePickerFormat.Custom;
uiDataArchive_dateTimeInputStart.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiDataArchive_dateTimeInputStart.Format = eDateTimePickerFormat.Custom;
uiDataArchive_dateTimeInputEnd.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiDataArchive_dateTimeInputEnd.Format = eDateTimePickerFormat.Custom;
uiDataArchive_dateTimeInputFindDate.CustomFormat = DateFormatsManager.CurrentShortDateFormat;
uiDataArchive_dateTimeInputFindDate.Format = eDateTimePickerFormat.Custom;
ToastNotification.ToastBackColor = Color.SteelBlue;
ToastNotification.ToastForeColor = Color.White;
ToastNotification.ToastFont = new Font("Segoe UI", 10F);
ToastNotification.CustomGlowColor = Color.Blue;
ToastNotification.DefaultToastPosition = eToastPosition.TopCenter;
ToastNotification.DefaultTimeoutInterval = 2000;
}
public void Initialize()
{
_calculator = new BlackScholesCalculator();
}