149 lines
4.3 KiB
C++
149 lines
4.3 KiB
C++
/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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* This file is part of the LibreOffice project.
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*
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* This Source Code Form is subject to the terms of the Mozilla Public
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* License, v. 2.0. If a copy of the MPL was not distributed with this
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* file, You can obtain one at http://mozilla.org/MPL/2.0/.
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*
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* Copyright (C) 2012 Tino Kluge <tino.kluge@hrz.tu-chemnitz.de>
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*
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*/
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#ifndef INCLUDED_SCADDINS_SOURCE_PRICING_BLACK_SCHOLES_HXX
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#define INCLUDED_SCADDINS_SOURCE_PRICING_BLACK_SCHOLES_HXX
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// options prices and greeks in the Black-Scholes model
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// also known as TV (theoretical value)
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namespace sca {
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namespace pricing {
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namespace bs {
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namespace types {
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enum Greeks {
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Value = 0,
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Delta = 1, // d/dS
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Gamma = 2, // d^2/dS^2
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Theta = 3, // d/dt
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Vega = 4, // d/dsigma
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Volga = 5, // d^2/dsigma^2
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Vanna = 6, // d^2/dsigma dS
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Rho_d = 7, // d/dr_d
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Rho_f = 8 // d/dr_f
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};
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enum PutCall {
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Call = 1,
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Put = -1
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};
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enum KOType {
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Regular = 0,
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Reverse = 1
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};
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enum BarrierKIO {
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KnockIn = -1,
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KnockOut = 1
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};
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// barrier observed continuously or just at maturity (truncated payoff)
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enum BarrierActive {
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Continuous = 0,
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Maturity = 1
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};
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enum ForDom {
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Domestic = 0,
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Foreign = 1
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};
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} // namespace types
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// binary option cash (domestic)
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// call - pays 1 if S_T is above strike K
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// put - pays 1 if S_T is below strike K
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double bincash(double S, double vol, double rd, double rf,
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double tau, double K,
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types::PutCall pc, types::Greeks greeks);
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// binary option asset (foreign)
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// call - pays S_T if S_T is above strike K
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// put - pays S_T if S_T is below strike K
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double binasset(double S, double vol, double rd, double rf,
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double tau, double K,
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types::PutCall pc, types::Greeks greeks);
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// vanilla put/call option
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// call pays (S_T-K)^+
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// put pays (K-S_T)^+
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// this is the same as: +/- (binasset - K*bincash)
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double putcall(double S, double vol, double rd, double rf,
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double tau, double K,
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types::PutCall putcall, types::Greeks greeks);
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// truncated put/call option, single barrier
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// need to specify whether it's down-and-out or up-and-out
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// regular (keeps monotonicity): down-and-out for call, up-and-out for put
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// reverse (destroys monoton): up-and-out for call, down-and-out for put
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// call pays (S_T-K)^+
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// put pays (K-S_T)^+
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double putcalltrunc(double S, double vol, double rd, double rf,
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double tau, double K, double B,
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types::PutCall pc, types::KOType kotype,
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types::Greeks greeks);
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// wrapper function for put/call option which combines
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// double/single/no truncation barrier
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// B1<=0 - assume no lower barrier
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// B2<=0 - assume no upper barrier
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double putcalltrunc(double S, double vol, double rd, double rf,
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double tau, double K, double B1, double B2,
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types::PutCall pc, types::Greeks greek);
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// barrier
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// touch/no-touch options (cash/asset or nothing payoff profile)
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double touch(double S, double vol, double rd, double rf,
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double tau, double B1, double B2, types::ForDom fd,
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types::BarrierKIO kio, types::BarrierActive bcont,
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types::Greeks greek);
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// barrier
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// barrier option (put/call payoff profile)
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double barrier(double S, double vol, double rd, double rf,
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double tau, double K, double B1, double B2,
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double rebate,
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types::PutCall pc, types::BarrierKIO kio,
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types::BarrierActive bcont,
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types::Greeks greek);
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// probability of hitting a barrier
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double prob_hit(double S, double vol, double mu,
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double tau, double B1, double B2);
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// probability of being in-the-money, ie payoff is greater zero,
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// assuming payoff(S_T) > 0 iff S_T in [B1, B2]
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double prob_in_money(double S, double vol, double mu,
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double tau, double B1, double B2);
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double prob_in_money(double S, double vol, double mu,
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double tau, double K, double B1, double B2,
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types::PutCall pc);
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} // namespace bs
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} // namespace pricing
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} // namespace sca
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#endif
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/* vim:set shiftwidth=4 softtabstop=4 expandtab: */
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