FinMath.Parity Method

Namespace: OberMind.Quant
Assembly: OberMind (in OberMind.dll)

Option parity price

public static double Parity( 
   double P, 
   double S, 
   double X, 
   double t, 
   double r, 
   EPutCall PutCall 
)

This language is not supported or no code example is available.

C++

JScript

Copy

public:  
static double Parity( 
   double P, 
   double S, 
   double X, 
   double t, 
   double r, 
   EPutCall PutCall 
)

This language is not supported or no code example is available.

C++

JScript

Copy

public static function Parity( 
    P : double, 
    S : double, 
    X : double, 
    t : double, 
    r : double, 
    PutCall : EPutCall 
) : double;

This language is not supported or no code example is available.

Parameters

P: double

option price

S: double

spot price of underlying asset

X: double

option exercise (strike) price

t: double

time till exercise (fraction of year, f.ex. 0.5 for six months)

r: double

risk-free interst rate (continuous, decimal, f.ex. 0.1 for 10%)

PutCall: EPutCall

EPutCall.Call
EPutCall.Put

Return Value

double

Remarks

This function returns parity price of corresponding put for EOptionType.kCall

Parity = P - (S-X*exp(-r*t))

This function returns parity price of corresponding call for EOptionType.kPut

Parity = P + (S-X*exp(-r*t))

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FinMath.Parity Method

Parameters

Return Value

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