E7 BlackScholes Model

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

using MathNet.Numerics;
using MathNet.Numerics.Statistics;
using MathNet.Numerics.Distributions;
using MathNet.Numerics.LinearAlgebra;

namespace cAlgo.Indicators
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class E7BlackScholesModel : Indicator
    {
        [Parameter("Strike Price", DefaultValue = 1.0)]
        public double StrikePrice { get; set; }

        [Parameter("Time to Expiration (Days)", DefaultValue = 5)]
        public int TimeToExpirationDays { get; set; }

        [Parameter("Risk-Free Interest Rate", DefaultValue = 1.81)]
        public double RiskFreeInterestRate { get; set; }

        [Parameter("Volatility", DefaultValue = 12)]
        public double Volatility { get; set; }
        
        [Output("Call Option Value", LineColor = "Lime")]
        public IndicatorDataSeries CallOptionValue { get; set; }
        
        [Output("Put Option Value", LineColor = "Red")]
        public IndicatorDataSeries PutOptionValue { get; set; }
        
        private double T;
        
        private const VerticalAlignment vAlign = VerticalAlignment.Top;
        private const HorizontalAlignment hAlign = HorizontalAlignment.Left;
        
        public override void Calculate(int index)
        {
            T = TimeToExpirationDays / 365.0;
            RunOptions(index);
        }
        
        private void RunOptions(int index)
        {
            double SpotPrice = Bars.ClosePrices[index];
            double sigma = Volatility / 100;
            double r = RiskFreeInterestRate / 100;
            
            double d1 = (Math.Log(SpotPrice / StrikePrice) + (r + 0.5 * Math.Pow(sigma, 2)) * T) / (sigma * Math.Sqrt(T));
            double d2 = d1 - sigma * Math.Sqrt(T);

            double callOptionValue = SpotPrice * Normal.CDF(0, 1, d1) - StrikePrice * Math.Exp(-r * T) * Normal.CDF(0, 1, d2);
            double putOptionValue = StrikePrice * Math.Exp(-r * T) * Normal.CDF(0, 1, -d2) - SpotPrice * Normal.CDF(0, 1, -d1);

            CallOptionValue[index] = callOptionValue;
            PutOptionValue[index] = putOptionValue;

            double callDelta = Normal.CDF(0, 1, d1);
            double putDelta = -Normal.CDF(0, 1, -d1);
            
            double gamma = Normal.PDF(0, 1, d1) / (SpotPrice * sigma * Math.Sqrt(T));
            double vega = SpotPrice * Normal.PDF(0, 1, d1) * Math.Sqrt(T) * 0.01;
            double callRho = StrikePrice * T * Math.Exp(-r * T) * Normal.CDF(0, 1, d2) * 0.01;
            double putRho = -StrikePrice * T * Math.Exp(-r * T) * Normal.CDF(0, 1, -d2) * 0.01;
            
            string callOptionValueText = string.Format("Call Option Value : {0}", callOptionValue.ToString("F" + Symbol.Digits));
            string callDeltaText = string.Format("Call Delta : {0}", callDelta.ToString("F" + Symbol.Digits));
            string callGammaText = string.Format("Call Gamma : {0}", gamma.ToString("F" + Symbol.Digits));
            string callVegaText = string.Format("Call Vega : {0}", vega.ToString("F" + Symbol.Digits));
            string callRhoText = string.Format("Call Rho : {0}", callRho.ToString("F" + Symbol.Digits));

            string putOptionValueText = string.Format("Put Option Value : {0}", putOptionValue.ToString("F" + Symbol.Digits));
            string putDeltaText = string.Format("Put Delta : {0}", putDelta.ToString("F" + Symbol.Digits));
            string putGammaText = string.Format("Put Gamma : {0}", gamma.ToString("F" + Symbol.Digits));
            string putVegaText = string.Format("Put Vega : {0}", vega.ToString("F" + Symbol.Digits));
            string putRhoText = string.Format("Put Rho : {0}", putRho.ToString("F" + Symbol.Digits));
            
            ChartObjects.DrawText("Call Option Value", callOptionValueText, StaticPosition.TopLeft, Colors.Lime);
            ChartObjects.DrawText("Call Delta", "\n" + callDeltaText, StaticPosition.TopLeft, Colors.Lime);
            ChartObjects.DrawText("Call Gamma", "\n\n" + callGammaText, StaticPosition.TopLeft, Colors.Lime);
            ChartObjects.DrawText("Call Vega", "\n\n\n" + callVegaText, StaticPosition.TopLeft, Colors.Lime);
            ChartObjects.DrawText("Call Rho", "\n\n\n\n" + callRhoText, StaticPosition.TopLeft, Colors.Lime);
            string structuretext = string.Format("E7 Trading");
            Chart.DrawStaticText("E7 Trading", "\t" + structuretext, vAlign, hAlign, Color.Lime);
            ChartObjects.DrawText("Put Option Value", putOptionValueText, StaticPosition.TopRight, Colors.Red);
            ChartObjects.DrawText("Put Delta", "\n" + putDeltaText, StaticPosition.TopRight, Colors.Red);
            ChartObjects.DrawText("Put Gamma", "\n\n" + putGammaText, StaticPosition.TopRight, Colors.Red);
            ChartObjects.DrawText("Put Vega", "\n\n\n" + putVegaText, StaticPosition.TopRight, Colors.Red);
            ChartObjects.DrawText("Put Rho", "\n\n\n\n" + putRhoText, StaticPosition.TopRight, Colors.Red);
        }
    }
}