Black Scholes formula

Modified on 2013/05/11 09:45 by Eugene — Categorized as: Community Components

Syntax


public enum CalcEx.CallPutFlag { Call, Put };
public static double BlackScholes(this double S, double X, double D, double R, double V, CallPutFlag flag)

public enum CallPutFlag { Call, Put };
public static double BlackScholes(CallPutFlag flag, double S, double X, double D, double R, double V)

Parameter Description

flag	Call or Put option - pass either CallPutFlag.Call or CallPutFlag.Put
S	Stock price
X	Strike price of option
D	Days to expiry
R	Risk-free rate, %
V	Volatility, %

Description

This Black Scholes formula is courtesy espenhaug.com, slightly modified by Eugene.

Example

Code below illustrates a couple of examples illustrating the Black Scholes formula usage:

Example using C# extension methods:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private string str (double s) { return String.Format("{0:0.00}", s); }
		
		protected override void Execute()
		{
			double price = Bars.Close[Bars.Count-1];
			if( price < 10 ) Abort();
			double call = 
				price.BlackScholes( price + 5.0d, 60, 1d, 20.0, CalcEx.CallPutFlag.Call ); // days=60, rate=1%, volatility=20%=0.20
			double put = 
				price.BlackScholes( price - 5.0d, 60, 1d, 20.0, CalcEx.CallPutFlag.Put ); // days=60, rate=1%, volatility=20%=0.20
			PrintDebug( string.Concat( "Call = ", str(call),  " Put = ", str(put) ) );
		}
	}
}

Legacy syntax example:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private string str (double s) { return String.Format("{0:0.00}", s); }
		
		protected override void Execute()
		{
			double price = Bars.Close[Bars.Count-1];
			if( price < 10 ) Abort();
			double call = 
				Calculate.BlackScholes( Calculate.CallPutFlag.Call, 
				price,
				price + 5.0d,
				60, 
				1d, 
				20.0 ); // days=60, rate=1%, volatility=20%=0.20
			double put = 
				Calculate.BlackScholes( Calculate.CallPutFlag.Put, 
				price,
				price - 5.0d,
				60, 
				1d, 
				20.0 ); // days=60, rate=1%, volatility=20%=0.20
			PrintDebug( string.Concat( "Call = ", str(call),  " Put = ", str(put) ) );
		}
	}
}