public int OCWCalcFutureOptionGreeks(
double dDomesticRate,
double dFuturePrice,
double dStrike,
double dVolatility,
double dYTE,
long nIsCall,
long nIsAmerican,
long nSteps,
double dSkew,
double dKurtosis,
long nModel,
GREEKS pdGreeks)
{
int iRet = 0;
iRet = CalcFutureOptionGreeks(
dDomesticRate,
dFuturePrice,
dStrike,
dVolatility,
dYTE,
(int)nIsCall,
(int)nIsAmerican,
(int)nSteps,
dSkew,
dKurtosis,
(int)nModel,
pdGreeks);
return(iRet);
}
int CalcFutureOptionGreeks(
double dDomesticRate,
double dFuturePrice,
double dStrike,
double dVolatility,
double dYTE,
int nIsCall,
int nIsAmerican,
int nSteps,
double dSkew,
double dKurtosis,
int nModel,
[In, Out, MarshalAs(UnmanagedType.LPStruct)] GREEKS pGreeks);
int CalcFutureOptionGreeksCustDivs(
double dDomesticRate,
double dYield,
double dFuturePrice,
double dStrike,
double dVolatility,
double dYTE,
int nIsCall,
int nIsAmerican,
int nSteps,
double dSkew,
double dKurtosis,
int nModel,
int nCount,
[MarshalAs(UnmanagedType.LPArray)] double[] pDivAmnts,
[MarshalAs(UnmanagedType.LPArray)] double[] pDivYears,
[In, Out, MarshalAs(UnmanagedType.LPStruct)] GREEKS pGreeks);
int CalcGreeksMM2(
double dDomesticRate,
double dForeignRate,
double dHTBRate,
double dSpotPrice,
double dStrike,
double dVolatility,
double dYTE,
int nIsCall,
int nIsAmerican,
int nCount,
[MarshalAs(UnmanagedType.LPArray)] double[] pDivAmnts,
[MarshalAs(UnmanagedType.LPArray)] double[] pDivYears,
int nSteps,
double dSkew,
double dKurtosis,
int nModel,
[In, Out, MarshalAs(UnmanagedType.LPStruct)] GREEKS pGreeks);
public int OCWCalcFutureOptionGreeks3(
double dDomesticRate,
double dYield,
double dFuturePrice,
bool bSpotGreeks,
double dStrike,
double dVolatility,
double dYTE,
long nIsCall,
long nIsAmerican,
long nSteps,
double dSkew,
double dKurtosis,
long nModel,
long nCount,
ref double[] pDivAmnts,
ref double[] pDivYears,
GREEKS pdGreeks)
{
int iRet = 0;
iRet = CalcFutureOptionGreeks3(
dDomesticRate,
dYield,
dFuturePrice,
bSpotGreeks,
dStrike,
dVolatility,
dYTE,
(int)nIsCall,
(int)nIsAmerican,
(int)nSteps,
dSkew,
dKurtosis,
(int)nModel,
(int)nCount,
pDivAmnts,
pDivYears,
pdGreeks);
return(iRet);
}
public int OCWCalcGreeksMM(double dDomesticRate,
double dForeignRate,
double dHTBRate,
double dSpotPrice,
double dStrike,
double dVolatility,
double dYTE,
long nIsCall,
long nIsAmerican,
long nCount,
ref double[] pDivAmnts,
ref double[] pDivYears,
long nSteps,
double dSkew,
double dKurtosis,
long nModel,
GREEKS pdGreeks)
{
int iRet = 0;
iRet = CalcGreeksMM2(dDomesticRate,
dForeignRate,
dHTBRate,
dSpotPrice,
dStrike,
dVolatility,
dYTE,
(int)nIsCall,
(int)nIsAmerican,
(int)nCount,
pDivAmnts,
pDivYears,
(int)nSteps,
dSkew,
dKurtosis,
(int)nModel,
pdGreeks);
return(iRet);
}
