調用f中同一類中的方法的問題＃

Question

我試圖在f＃中實現一些我已經在c＃中使用的方法，以查看語法是多麼簡潔。我使用期權定價公式（黑色76）作爲測試，因爲這對我來說似乎是一個功能性問題。一切似乎都很好，但我無法計算隱含卷，因爲我需要從內部調用同一個類的方法。這是我到目前爲止：

module Module1 
open System 

type Black76 (CallPutFlag, Fwd, Strike, time, rf, vol, ?BlackPrice:float) = 
    let d1 = (Math.Log(Fwd/Strike) + (vol * vol * 0.5) * time)/(vol * Math.Sqrt(time)) 
    let d2 = d1 - vol * Math.Sqrt(time) 
    let n = new MathNet.Numerics.Distributions.Normal() 
    member x.valuation = 
     match CallPutFlag with 
     | "c" | "C" | "Call" | "call" -> Math.Exp(-rf * time) * (Fwd * n.InverseCumulativeDistribution(d1) - Strike * n.InverseCumulativeDistribution(d2)) 
     | "p" | "P" | "Put" | "put" -> Math.Exp(-rf * time) * (Strike * n.InverseCumulativeDistribution(-d2)- Fwd * n.InverseCumulativeDistribution(-d1)) 
     | _ -> failwith "Unrecognized option type" 

member x.delta = 
    match CallPutFlag with 
    | "c" | "C" | "Call" | "call" -> Math.Exp(-rf * time) * n.InverseCumulativeDistribution(d1) 
    | "p" | "P" | "Put" | "put" -> Math.Exp(-rf * time) * n.InverseCumulativeDistribution(-d1) 
    | _ -> failwith "Unrecognized option type" 
member x.gamma = 
    Math.Exp(-rf * time) * (n.Density(d1)/(Fwd * vol * Math.Sqrt(time))) 

member x.vega = 
    Math.Exp(-rf * time) * n.Density(d1) * Fwd * Math.Sqrt(time) 

member x.rho = 
    match CallPutFlag with 
    | "c" | "C" | "Call" | "call" -> time * Strike * Math.Sqrt(-rf * time) * n.InverseCumulativeDistribution(d2) 
    | "p" | "P" | "Put" | "put" -> -time * Strike * Math.Sqrt(-rf * time) * n.InverseCumulativeDistribution(-d2) 
    | _ -> failwith "Unrecognized option type" 

member x.theta = 
    match CallPutFlag with 
    | "c" | "C" | "Call" | "call" -> -(Fwd * vol * n.Density(d1))/(2.0 * Math.Sqrt(time)) - rf * Strike * Math.Sqrt(-rf * time) * n.InverseCumulativeDistribution(d2) 
    | "p" | "P" | "Put" | "put" -> -(Fwd * vol * n.Density(d1))/(2.0 * Math.Sqrt(time)) + rf * Strike * Math.Sqrt(-rf * time) * n.InverseCumulativeDistribution(-d2) 
    | _ -> failwith "Unrecognized option type" 

member x.impliedvol = 
    let vst = Math.Sqrt(2.0*Math.Abs((Math.Log(Fwd/Strike)+rf*time)/time)) 
    let tol = 0.0001 
    let mutable v = vst 
    let mutable sigmadiff = 1.0 
    let mutable k = 1 
    let kmax = 100 
    while (sigmadiff >= tol && k < kmax) do 
     let option = Black76.valuation(CallPutFlag, Fwd, Strike, time, rf, v) 
     let cvega = Black76.vega(CallPutFlag, Fwd, Strike, time, rf, v) 
     let increment = (option - BlackPrice)/cvega 
     v <- v - increment 
     k < - k + 1 
     sigmadiff = Math.Abs(increment) 
    v 

這一切工作除了隱含的卷功能。此外，它似乎沒有比c＃版本更簡潔。你能不能讓我知道我可以從內部調用這個方法來表示隱含的vol函數？ 。另外，有人知道如何擺脫讓可變的（畢竟，你不應該在fsharp使用這個（我認爲） 感謝

Answer 1

如果你想讓代碼更簡潔和更實用，那麼我可能會嘗試重構它多一點。我認爲以下這些方面的內容應該適用。

首先，你肯定不想重複對字符串匹配，所以我會定義一個可識別聯合捕捉各種計算的（那麼你可以解析字符串只有一次）：

type CallPutFlag = Call | Put 

接下來，我們可以定義紀錄保持公式的結果（我補充剛纔你用的東西，但你可能會想增加更多的在這裏）：

type Black76Results = { Vega : float; Valuation : float } 

現在，我認爲這將這個函數與隱含的函數分開是非常有意義的波動。該black76功能可以運行在給定的輸入計算和結果Black76Results記錄的值返回：

let black76 flag fwd strike time rf vol = 
    let d1 = (Math.Log(fwd/strike) + (vol * vol * 0.5) * time)/(vol * Math.Sqrt(time)) 
    let d2 = d1 - vol * Math.Sqrt(time) 
    let n = new MathNet.Numerics.Distributions.Normal() 
    match flag with 
    | Call -> 
     let valuation = Math.Exp(-rf * time) * (fwd * n.InverseCumulativeDistribution(d1) - strike * n.InverseCumulativeDistribution(d2)) 
     let delta = Math.Exp(-rf * time) * n.InverseCumulativeDistribution(d1) 
     let gamma = Math.Exp(-rf * time) * (n.Density(d1)/(fwd * vol * Math.Sqrt(time))) 
     let vega = Math.Exp(-rf * time) * n.Density(d1) * fwd * Math.Sqrt(time) 
     let rho = time * strike * Math.Sqrt(-rf * time) * n.InverseCumulativeDistribution(d2) 
     let theta = -(fwd * vol * n.Density(d1))/(2.0 * Math.Sqrt(time)) - rf * strike * Math.Sqrt(-rf * time) * n.InverseCumulativeDistribution(d2) 
     { Vega = vega; Valuation = valuation }  
    | Put -> 
     failwith "TODO: Similar for Put" 

雖然在Call和Put一些共享的代碼，我認爲它看起來很多更具可讀性，當你分開將兩者分成不同的分支（您仍然可以將常見的代碼片段提取到單獨的函數中）。現在

，impliedVol是簡單的重複調用black76功能：

let impliedVol flag fwd strike time rf blackPrice = 
    let vst = Math.Sqrt(2.0*Math.Abs((Math.Log(fwd/strike)+rf*time)/time)) 
    let tol = 0.0001 
    let mutable v = vst 
    let mutable sigmadiff = 1.0 
    let mutable k = 1 
    let kmax = 100 
    while (sigmadiff >= tol && k < kmax) do 
     let b = black76 flag fwd strike time rf v 
     let option = b.Valuation 
     let cvega = b.Vega 
     let increment = (option - blackPrice)/cvega 
     v <- v - increment 
     k <- k + 1 
     sigmadiff <- Math.Abs(increment) 
    v 

Answer 2

所以你的問題是線路：

let option = Black76.valuation(CallPutFlag, Fwd, Strike, time, rf, v) 
let cvega = Black76.vega(CallPutFlag, Fwd, Strike, time, rf, v) 

你試圖調用他們的類型Black76，當他們類型Black76的對象的實例成員。您應該使用x.valuation(...)代替，（x因爲這是你叫什麼你this變量）。

F＃不有一個固定的關鍵字在C＃中被稱爲this 。相反，當你聲明一個成員時，你在點之前給出你想要的任何名字。

member this.method_name = 
member x.another_method =