diff options
Diffstat (limited to 'scaddins/source/pricing/black_scholes.cxx')
| -rw-r--r-- | scaddins/source/pricing/black_scholes.cxx | 14 |
1 files changed, 0 insertions, 14 deletions
diff --git a/scaddins/source/pricing/black_scholes.cxx b/scaddins/source/pricing/black_scholes.cxx index c6d989f541c7..95fa888a87ff 100644 --- a/scaddins/source/pricing/black_scholes.cxx +++ b/scaddins/source/pricing/black_scholes.cxx @@ -100,8 +100,6 @@ inline double pnorm(double x) { return 0.5 * ::rtl::math::erfc(-x * 0.7071067811865475); } - - // binary option cash (domestic) // call - pays 1 if S_T is above strike K // put - pays 1 if S_T is below strike K @@ -192,8 +190,6 @@ double bincash(double S, double vol, double rd, double rf, return exp(-rd*tau)*val; } - - // binary option asset (foreign) // call - pays S_T if S_T is above strike K // put - pays S_T if S_T is below strike K @@ -354,8 +350,6 @@ double binary(double S, double vol, double rd, double rf, return val; } - - // vanilla put/call option // call pays (S_T-K)^+ // put pays (K-S_T)^+ @@ -539,8 +533,6 @@ double vanilla_trunc(double S, double vol, double rd, double rf, } // namespace internal - - // path dependent options @@ -831,8 +823,6 @@ double barrier(double S, double vol, double rd, double rf, } // namespace internal - - // touch/no-touch options (cash/asset or nothing payoff profile) double touch(double S, double vol, double rd, double rf, double tau, double B1, double B2, types::ForDom fd, @@ -885,8 +875,6 @@ double barrier(double S, double vol, double rd, double rf, return val; } - - // probability of hitting a barrier // this is almost the same as the price of a touch option (domestic) // as it pays one if a barrier is hit; we only have to offset the @@ -949,8 +937,6 @@ double prob_in_money(double S, double vol, double mu, return val; } - - } // namespace bs } // namespace pricing |