FinMath Class

Namespace: OberMind.Quant
Assembly: OberMind (in OberMind.dll)
Financial mathematics
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F#
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public class FinMath
This language is not supported or no code example is available.
VB
C#
F#
C++
JScript
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public ref class FinMath 
This language is not supported or no code example is available.
VB
C#
F#
C++
JScript
Copy 
public class FinMath
This language is not supported or no code example is available.
Methods
 
Name Description
Public method Static BM(double, double, double, double, double, EPutCall) Binomial option price
Public method Static BM(double, double, double, double, double, EPutCall, int) Binomial option price
Public method Static BS(double, double, double, double, double, EPutCall) Black-Scholes option price
Public method Static BinarySearch(int, double[], double) Binary search in an array of n double values to locate value.
Public method Static BinarySearch(int, int[], int) Binary search in an array of n integer values to locate value.
Public method Static Binom(int, int, double) Binomial distribution
Public method Static C(int, int) C(m, n) - binomial coefficient
Public method Static Call(double, double) Call option payoff (without premium)
Public method Static Delta(double, double, double, double, double, EPutCall) Black-Scholes delta
Public method Static Distance(double, double, double, double) Distance between two points in 2D space
Public method Static Distance(double, double, double, double, double, double) Distance between two points in 3D space
Public method Static FV1(double, double, double) Future value of money
Public method Static FV2(double, double, double) Future value of money
Public method Static FV3(double, double, double, double) Future value of money
Public method Static FV4(double, double, double) Future value of money
Public method Static Fact(int) n! - factorial
Public method Static FuturesPrice(double, double, double) Futures contract price
Public method Static FuturesPrice(double, double, double, double) Futures contract price with known income
Public method Static Gamma(double, double, double, double, double) Black-Scholes gamma
Public method Static GetNDays(DateTime, DateTime) Number of whole days between Date1 and Date2
Public method Static ImpliedVolatility(double, double, double, double, double, EOptionType, EPutCall, EOptionPrice) Implied volatility
Public method Static ImpliedVolatility(double, double, double, double, double, EOptionType, EPutCall, EOptionPrice, int, double) Implied volatility
Public method Static MC(double, double, double, double, double, EPutCall) Monte Carlo option price
Public method Static MC(double, double, double, double, double, EPutCall, int) Monte Carlo option price
Public method Static Max(DateTime, DateTime) Max of two DateTime
Public method Static Max(DateTime, DateTime, DateTime) Max of three DateTime
Public method Static Max(double, double, double) Return max value of three double numbers
Public method Static Max(int, int, int) Return max value of three integer numbers
Public method Static Min(DateTime, DateTime) Min of two DateTime
Public method Static Min(DateTime, DateTime, DateTime) Min of three DateTime
Public method Static Min(double, double, double) Return min value of three double numbers
Public method Static Min(int, int, int) Return min value of three integer numbers
Public method Static N(double) Cumulative standard normal distribution
Public method Static PV1(double, double, double) Present value of money
Public method Static PV2(double, double, double) Present value of money
Public method Static PV3(double, double, double, double) Present value of money
Public method Static PV4(double, double, double) Present value of money
Public method Static Parity(double, double, double, double, double, EPutCall) Option parity price
Public method Static Payoff(double, double, EPutCall) Call/Put option payoff (without premium)
Public method Static Percent(double, double) Calculates percent value from base
Public method Static Percentile(double, double[], int) Calculates percentiles
Public method Static Put(double, double) Put option payoff (without premium)
Public method Static Rho(double, double, double, double, double, EPutCall) Black-scholes rho
Public method Static Theta(double, double, double, double, double, EPutCall) Black-Scholes theta
Public method Static Vega(double, double, double, double, double) Black-scholes vega
Public method Static d(double, double, int) d(own) probability in binomial model
Public method Static d1(double, double, double, double, double) d1 in Black-Scholes formula
Public method Static d2(double, double, double, double, double) d2 in Black-Scholes formula
Public method Static d2PV2(double, double, double) Second derivative of PV2
Public method Static dPV2(double, double, double) First derivative of PV2
Public method Static n(double) First derivative of cumulative standard normal distribution
Public method Static p(double, double, int, double) p(robability) in binomial model
Public method Static u(double, double, int) u(p) probability in binomial model
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Remarks
 
- Percents  
- Persent and future values of money  
- Special functions not present in Math  
- Statistical distributions not present in Math  
- Option pricing  
Binomial  
Monte Carlo  
Black-Scholes  
- Black-Scholes greeks  
- Implied volatility  
- Futures price  
- Bond mathematics  
- etc.
See Also
 

In this article

Definition