FinMath.Parity Method

Namespace: OberMind.Quant
Assembly: OberMind (in OberMind.dll)
Option parity price
VB
C#
F#
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.
VB
C#
F#
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.
VB
C#
F#
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))
See Also
 

In this article

Definition