QuantShorts

A C# library for financial mathematics

• Option pricing
• Greeks valuation on options
• Swaption pricing
• Math extensions (list below)

1. Add the assembly dll as a reference in your C# project.
2. Specify the namespaces required in a class (listed below)

Option

Methods

• CallOption(double r, double sig, double K, double T, double b)
• PutOption(double r, double sig, double K, double T, double b)

Where

• r = risk-free rate
• sig = volatility
• K = strike price
• T = time to expiry (years)
• b = cost of carry

Both implement IOption

For underlier price s:

• double Price(double s)
• double Delta(double s)
• double Vega(double s)
• double Theta(double s)
• double Rho(double s)
• double Gamma(double s)
• double Vanna(double s)
• double Charm(double s)
• double Vomma(double s)
• double Veta(double s)
• double Speed(double s)
• double Zomma(double s)
• double Color(double s)

Swaption

Methods

• CallSwaption(double t, double K, double r, double T, double sig, int m)
• PutSwaption(double t, double K, double r, double T, double sig, int m)

Where

• t = tenor of swap (years)
• K = strike rate of swaption
• r = risk-free rate
• T = time to expiry (years)
• sig = vol
• m = # compoundings per year in swap rate

For forward rate F of underlier:

• Price(double F)

• Normal(double x)
• CumulativeNormal(double x)
• Kelly(double prob, double netOdds)
• Sharpe(double excessReturn, double stdDev)