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return delta; } /********************************************************************************** calcVega : calculates vega (sensitivity to volatility) [in] : double price : stock price double strike : strike price double rate : interest rate double div : dividend yield double vol : volatility double T : time to maturity [out]: double : vega **********************************************************************************/ double Option::OptionGreeks::calcVega(double price, double strike, double rate, double div, double vol, double T, double t) { double d1, vega, normalPrime; d1 = (log(price/strike) + (rate div + (vol*vol/2))*T)/(vol*sqrt(T)); normalPrime = util.normalCalcPrime(d1); vega = (normalPrime*exp(-div*T))*price*sqrt(T); return vega; } /********************************************************************************** calcGamma : calculates gamma (sensitivity to the change in delta) [in] : double price : stock price double strike : strike price double rate : interest rate double div : dividend yield double vol : volatility double T : time to maturity [out]: double : gamma **********************************************************************************/ double Option::OptionGreeks::calcGamma(double price, double strike, double rate, double div, double vol, double T) { double d1, gamma, normalPrime; d1 = (log(price/strike) + (rate div + (vol*vol)/2)*T)/(vol*sqrt(T)); normalPrime = util.normalCalcPrime(d1); gamma = (normalPrime*exp(-div*T))/(price*vol*sqrt(T)); return gamma; } /********************************************************************************** calcDelta : calculates rho (sensitivity to the risk-free rate) [in] : double price : stock price double strike : strike price code 128 c# font GenCode128 - A Code128 Barcode Generator - CodeProject
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