internal Vector HestonCallPutPrice()
{
double F = this.s0 * Math.Exp((this.rate - this.dividend) * this.T);
double firstTerm = 0.5 * (F - this.K);
double a = 1E-12;
double b = 1000.0;
// The second term of this expressions approximates the integral in the interval [0,a].
var integrate = new Integrate(this);
integrate.Tolerance = 10e-8;
integrate.MaxRecursionLevel = 4;// 4;
double part1 = PerformIntegral(a, b, IntegrandFunc);
double integral = part1 + a * IntegrandFunc(a / 2.0);
Vector callPut= new Vector(2);
callPut[0] = Math.Exp(-this.rate * this.T) * (firstTerm + integral / Math.PI);
callPut[1] = Math.Exp(-this.rate * this.T) * (-firstTerm + integral / Math.PI);
return callPut;
}
/// <summary>
/// Test method, displays a sensitivity on heston call and put prices.
/// </summary>
private void PutCallTest()
{
Console.WriteLine("Black-Sholes Calls Market Prices");
Console.WriteLine(this.callMarketPrice);
Console.WriteLine("Strikes");
Console.WriteLine(this.strike);
Console.WriteLine("Maturities");
Console.WriteLine(this.maturity);
var x = new Vector()
{
3.18344026504981,
0.0427882999286046,
0.644527074840708,
-0.659960749691282,
0.0150455464938991,
0.0211747510984717
};
HestonCall hc = new HestonCall(this, x, this.s0);
hc.T = .1;
hc.rate = this.rate[0];
Console.WriteLine("Strike\tCall\tPut");
for (int z = 200; z < 6500; z += 1000)
{
hc.K = z;
var call = hc.HestonCallPrice();
var put = hc.HestonPutPrice();
var callPut = hc.HestonCallPutPrice();
Console.WriteLine(z + "\t" + callPut[0] + "\t" + callPut[1]);
}
}