/// <summary>
/// Gets the put option value.
/// </summary>
/// <param name="floatRate"></param>
/// <param name="strikeRate"></param>
/// <param name="volatility"></param>
/// <param name="timeToExpiry"></param>
/// <returns></returns>
public static Decimal GetPutOptionValue(Decimal floatRate, Decimal strikeRate, Decimal volatility, Decimal timeToExpiry)
{
var dFloatRate = Convert.ToDouble(floatRate);
var dStrikeRate = Convert.ToDouble(strikeRate);
var dVolatility = Convert.ToDouble(volatility);
var dTimeToExpiry = Convert.ToDouble(timeToExpiry);
var model = new BlackScholesMertonModel(false, dFloatRate, dStrikeRate, dVolatility, dTimeToExpiry);
return(Convert.ToDecimal(model.Value));
}
/// <summary>
/// Standard (Black-Scholes) option valuation
/// r = Continuously compounded interest rate between now and time t.
/// Discount factor is exp(-r * t).
/// </summary>
/// <param name="callFlag">The call/put flag.</param>
/// <param name="fwdPrice">Price fixed today for purchase of asset at time t</param>
/// <param name="strike">Exercise price of option</param>
/// <param name="vol">Per cent volatility in units of (year)^(-1/2)</param>
/// <param name="t">Time in years to the maturity of the option.</param>
/// <returns>An array of reuslts for Black Scholes.</returns>
public static object[,] Greeks(Boolean callFlag, double fwdPrice, double strike, double vol, double t)
{
BlackScholesMertonModel model = new BlackScholesMertonModel(callFlag, fwdPrice, strike, vol, t);
object[,] result = new object[2, 6];
result[0, 0] = "Value";
result[1, 0] = model.Value;
result[0, 1] = "Delta";
result[1, 1] = model.SpotDelta;
result[0, 2] = "Gamma";
result[1, 2] = model.Gamma;
result[0, 3] = "Vega";
result[1, 3] = model.Vega;
result[0, 4] = "Theta";
result[1, 4] = model.Theta;
result[0, 5] = "Rho";
result[1, 5] = model.Rho;
return(result);
}
/// <summary>
/// Gets the swaption value.
/// </summary>
/// <param name="rate"></param>
/// <param name="strikeRate"></param>
/// <param name="volatility"></param>
/// <param name="timeToExpiry"></param>
/// <returns></returns>
public static double GetSwaptionValue(double rate, double strikeRate, double volatility, double timeToExpiry)
{
var model = new BlackScholesMertonModel(true, rate, strikeRate, volatility, timeToExpiry);
return(model.Value);
}
