using System;

using System.Collections;

using System.ComponentModel;

using System.Data;

using System.Diagnostics;

using System.Web;

using System.Web.Services;

namespace SyncadiaWeb

{

/// <summary>

/// Summary description for BlackScholes.

/// </summary>

[WebService(Description="This Syncadia quick sample, demonstrates the Black Scholes equationimplemented as a web service. Both methods of this service take S (the stock price), X (the strike price), T (the time frame, a value of 0.25 for 3 months), r (risk free interest rate, say 8% represented as 0.08), v (the volatility, say 25% expressed as 0.25)",Namespace="www.syncadia.com")]

public class BlackScholes : System.Web.Services.WebService

{

public enum OptionType {Call,Put};

private const Double a1 = 0.31938153;

private const Double a2 = -0.356563782;

private const Double a3 = 1.781477937;

private const Double a4 = -1.821255978;

private const Double a5 = 1.330274429;

public BlackScholes()

{

}

public static Double CumNormDist(Double x)

{

Double res = 0D;

Double L = Math.Abs(x);

Double k = 1/(1 + 0.2316419 * L);

res = 1 - 1/Math.Sqrt(2 * Math.PI) * Math.Exp(-Math.Pow(L,2)/2) *

(a1 * k + a2 * Math.Pow(k,2) +

a3 * Math.Pow(k,3) +

a4 * Math.Pow(k,4) +

a5 * Math.Pow(k,5));

return x < 0 ? 1 - res : res;

}

[WebMethod(Description="Calculates the result of the Black Scholes equation for a <B>Call</B> option")]

public Double BlackScholesCall(Double S, Double X, Double T, Double r, Double v)

{

return CalculateBlackScholes(OptionType.Call,S,X,T,r,v);

}

[WebMethod(Description="Calculates the result of the Black Scholes equation for a <B>Put</B> option")]

public Double BlackScholesPut(Double S, Double X, Double T, Double r, Double v)

{

return CalculateBlackScholes(OptionType.Put,S,X,T,r,v);

}

public Double CalculateBlackScholes(OptionType otType, Double S, Double X,

Double T, Double r, Double v)

{

Double d1 = (Math.Log(S/X) + (r + Math.Pow(v,2)/2)*T)/ (v * Math.Sqrt(T));

Double d2 = d1 - v * Math.Sqrt(T);

if (otType == OptionType.Call)

return S * CumNormDist(d1) - X * Math.Exp(-r * T) * CumNormDist(d2);

else if (otType == OptionType.Put)

return X * Math.Exp(-r * T) * CumNormDist(-d2) - S * CumNormDist(-d1);

else

return -1;

}