void BSUpdate(int i)
{
double spotPx, strikePx, optMaturity, vol;
CheckNullInput(i);
bool isBinary = (bool)dgv_BS.Rows[i].Cells["IsBinary"].Value;
char optCP = dgv_BS.Rows[i].Cells["CP"].Value.ToString()[0];
if (!Double.TryParse(textBox_Underlying.Text, out spotPx)
|| !Double.TryParse(dgv_BS.Rows[i].Cells["K"].Value.ToString(), out strikePx)
|| !Double.TryParse(dgv_BS.Rows[i].Cells["tau"].Value.ToString(), out optMaturity)
|| !Double.TryParse(dgv_BS.Rows[i].Cells["vol"].Value.ToString(), out vol)
)
{
ClearBS(i);
return;
}
double intR = 0.0001;
double divYield = 0.0;
if (isBinary)
{
BinaryBlackScholes bs = new BinaryBlackScholes(optCP, spotPx, strikePx, optMaturity, intR, divYield);
dgv_BS.Rows[i].Cells["Price"].Value = bs.calPx(vol);
dgv_BS.Rows[i].Cells["Delta"].Value = bs.calDelta(vol);
dgv_BS.Rows[i].Cells["Gamma"].Value = bs.calGamma(vol);
dgv_BS.Rows[i].Cells["Theta"].Value = bs.calTheta(vol);
dgv_BS.Rows[i].Cells["Vega"].Value = bs.calVega(vol);
dgv_BS.Rows[i].Cells["DualDelta"].Value = bs.calDualDelta(vol);
}
else
{
BlackScholes bs = new BlackScholes(optCP, spotPx, strikePx, optMaturity, intR, divYield);
dgv_BS.Rows[i].Cells["Price"].Value = bs.calPx(vol);
dgv_BS.Rows[i].Cells["Delta"].Value = bs.calDelta(vol);
dgv_BS.Rows[i].Cells["Gamma"].Value = bs.calGamma(vol);
dgv_BS.Rows[i].Cells["Theta"].Value = bs.calTheta(vol);
dgv_BS.Rows[i].Cells["Vega"].Value = bs.calVega(vol);
dgv_BS.Rows[i].Cells["DualDelta"].Value = bs.calDualDelta(vol);
}
}
double GetGreek(string str_greek, double x, int j, string time_K)
{
double spotPx, strikePx, optMaturity, vol;
CheckNullInput(j);
bool isBinary = (bool)dgv_BS.Rows[j].Cells["IsBinary"].Value;
char optCP = dgv_BS.Rows[j].Cells["CP"].Value.ToString()[0];
if (!Double.TryParse(textBox_Underlying.Text, out spotPx)
|| !Double.TryParse(dgv_BS.Rows[j].Cells["K"].Value.ToString(), out strikePx)
|| !Double.TryParse(dgv_BS.Rows[j].Cells["tau"].Value.ToString(), out optMaturity)
|| !Double.TryParse(dgv_BS.Rows[j].Cells["vol"].Value.ToString(), out vol)
)
{
throw new Exception();
}
double intR = 0.0001;
double divYield = 0.0;
if (time_K == "time")
{
if (optMaturity < x)
{
double intrinsicValue = 0.0;
if (optCP == 'C') intrinsicValue = Math.Max(0.0, spotPx - strikePx);
if (optCP == 'P') intrinsicValue = Math.Max(0.0, strikePx - spotPx);
if (isBinary) intrinsicValue = Math.Sign(intrinsicValue);
return intrinsicValue;
}
}
if (isBinary)
{
BinaryBlackScholes bs;
if (time_K=="time")
bs= new BinaryBlackScholes(optCP, spotPx, strikePx, optMaturity-x, intR, divYield);
else
bs= new BinaryBlackScholes(optCP, spotPx, x, optMaturity, intR, divYield);
if (str_greek == "Price") return bs.calPx(vol);
if (str_greek == "Delta") return bs.calDelta(vol);
if (str_greek == "Gamma") return bs.calGamma(vol);
if (str_greek == "Theta") return bs.calTheta(vol);
if (str_greek == "Vega") return bs.calVega(vol);
if (str_greek == "DualDelta") return bs.calDualDelta(vol);
}
else
{
BlackScholes bs;
if (time_K=="time")
bs= new BlackScholes(optCP, spotPx, strikePx, optMaturity-x, intR, divYield);
else
bs= new BlackScholes(optCP, x, strikePx, optMaturity, intR, divYield);
if (str_greek == "Price") return bs.calPx(vol);
if (str_greek == "Delta") return bs.calDelta(vol);
if (str_greek == "Gamma") return bs.calGamma(vol);
if (str_greek == "Theta") return bs.calTheta(vol);
if (str_greek == "Vega") return bs.calVega(vol);
if (str_greek == "DualDelta") return bs.calDualDelta(vol);
}
throw new Exception();
}
