// Method: Calculate the Delta
public double Delta()
{
if (COP == 1)
{
return(Formula.CND(D1));
}
else
{
return(Formula.CND(D1) - 1);
}
}
// Method: calculate the price
public double Price()
{
if (COP == 1) // For Call
{
return(S * Formula.CND(D1) - X * Formula.CND(D2)); // Calculate the premium according "London Info-Flash No.LO09/08"
}
if (COP == -1) // For Put
{
return(X * Formula.CND(-D2) - S * Formula.CND(-D1)); // Calculate the premium according "London Info-Flash No.LO09/08"
}
return(0);
}