Black-Scholes Model

 1using System;
 2using FinMath.Derivatives;
 3
 4namespace FinMath.Samples
 5{
 6    class BlackScholesSample
 7    {
 8        static void Main()
 9        {
10            Double stockPrice = 350;
11            Double strikePrice = 370;
12            Double riskFreeRate = 0.009;
13            Double annualDividendYield = 0.05;
14            Double timeToMaturity = 1.06;
15            Double volatility = 0.22;
16
17            BlackScholes blackScholes = new BlackScholes();
18
19            // Initialize Black-Scholes.
20            blackScholes.InitByVolatility(stockPrice, strikePrice, riskFreeRate, annualDividendYield,
21                timeToMaturity, OptionType.Put, volatility);
22
23            Console.WriteLine($"Value = {blackScholes.Value:0.000}");
24            Console.WriteLine($"Delta = {blackScholes.Delta:0.000}");
25            Console.WriteLine($"Theta = {blackScholes.Theta:0.000}");
26            Console.WriteLine($"Gamma = {blackScholes.Gamma:0.000}");
27            Console.WriteLine($"Vega  = {blackScholes.Vega:0.000}");
28            Console.WriteLine($"Rho   = {blackScholes.Rho:0.000}");
29            Console.WriteLine();
30
31            Double stockPrice2 = 352;
32            Double timeToMaturity2 = 1.05;
33
34            // Update asset stock price and time to maturity.
35            blackScholes.Update(stockPrice2, timeToMaturity2);
36
37            Console.WriteLine($"Value = {blackScholes.Value:0.000}");
38            Console.WriteLine();
39
40            // Initialize Black-Scholes by option value.
41            BlackScholes blackScholes2 = new BlackScholes();
42            blackScholes2.InitByOptionPrice(stockPrice2, strikePrice, riskFreeRate, annualDividendYield,
43                timeToMaturity2, OptionType.Put, blackScholes.Value);
44
45            Console.WriteLine($"Implied volatility = {blackScholes2.Volatility:0.000}");
46            Console.WriteLine($"Delta = {blackScholes2.Delta:0.000}");
47            Console.WriteLine($"Theta = {blackScholes2.Theta:0.000}");
48            Console.WriteLine($"Gamma = {blackScholes2.Gamma:0.000}");
49            Console.WriteLine($"Vega  = {blackScholes2.Vega:0.000}");
50            Console.WriteLine($"Rho   = {blackScholes2.Rho:0.000}");
51            Console.WriteLine();
52
53            // Use of static methods.
54            Double impliedVolatility = BlackScholes.ImpliedVolatility(stockPrice2, strikePrice,
55                riskFreeRate, annualDividendYield, timeToMaturity2, OptionType.Put, blackScholes.Value);
56            Double delta = BlackScholes.GetDelta(OptionType.Put, stockPrice2, strikePrice, riskFreeRate,
57                annualDividendYield, timeToMaturity2, impliedVolatility);
58            Double theta = BlackScholes.GetTheta(stockPrice2, strikePrice, riskFreeRate,
59                annualDividendYield, timeToMaturity2, OptionType.Put, impliedVolatility);
60            Double gamma = BlackScholes.GetGamma(stockPrice2, strikePrice, riskFreeRate,
61                annualDividendYield, timeToMaturity2, impliedVolatility);
62            Double vega = BlackScholes.GetVega(stockPrice2, strikePrice, riskFreeRate,
63                annualDividendYield, timeToMaturity2, impliedVolatility);
64            Double rho = BlackScholes.GetRho(stockPrice2, strikePrice, riskFreeRate,
65                annualDividendYield, timeToMaturity2, OptionType.Put, impliedVolatility);
66
67            Console.WriteLine($"Implied volatility = {impliedVolatility:0.000}");
68            Console.WriteLine($"Delta = {delta:0.000}");
69            Console.WriteLine($"Theta = {theta:0.000}");
70            Console.WriteLine($"Gamma = {gamma:0.000}");
71            Console.WriteLine($"Vega  = {vega:0.000}");
72            Console.WriteLine($"Rho   = {rho:0.000}");
73            Console.WriteLine();
74
75            // Set acceleration settings.
76            BlackScholes blackScholes3 = new BlackScholes(OptionValuation.ModelOutputs.Volatility, 100000);
77            blackScholes3.SetAccelerationGranularity(0.1, 0.1, 0.1, 0.1, 0.1);
78
79            // Use of accelerated version of implied volatility.
80            blackScholes3.InitByOptionPrice(stockPrice2, strikePrice, riskFreeRate,
81                annualDividendYield, timeToMaturity2, OptionType.Put, blackScholes.Value);
82
83            Console.WriteLine($"Implied volatility = {blackScholes3.Volatility:0.000}");
84        }
85    }
86}