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/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
* This file is part of the LibreOffice project.
*
* This Source Code Form is subject to the terms of the Mozilla Public
* License, v. 2.0. If a copy of the MPL was not distributed with this
* file, You can obtain one at http://mozilla.org/MPL/2.0/.
*
* Copyright (C) 2012 Tino Kluge <tino.kluge@hrz.tu-chemnitz.de>
*
*/
#ifndef BLACK_SCHOLES_HXX
#define BLACK_SCHOLES_HXX
// options prices and greeks in the Black-Scholes model
// also known as TV (theoretical value)
namespace sca {
namespace pricing {
namespace bs {
namespace types {
enum Greeks {
Value = 0,
Delta = 1, // d/dS
Gamma = 2, // d^2/dS^2
Theta = 3, // d/dt
Vega = 4, // d/dsigma
Volga = 5, // d^2/dsigma^2
Vanna = 6, // d^2/dsigma dS
Rho_d = 7, // d/dr_d
Rho_f = 8 // d/dr_f
};
enum PutCall {
Call = 1,
Put = -1
};
enum KOType {
Regular = 0,
Reverse = 1
};
enum BarrierKIO {
KnockIn = -1,
KnockOut = 1
};
// barrier observed continuously or just at maturity (truncated payoff)
enum BarrierActive {
Continuous = 0,
Maturity = 1
};
enum ForDom {
Domestic = 0,
Foreign = 1
};
} // namespace types
// binary option cash (domestic)
// call - pays 1 if S_T is above strike K
// put - pays 1 if S_T is below strike K
double bincash(double S, double vol, double rd, double rf,
double tau, double K,
types::PutCall pc, types::Greeks greeks);
// 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
double binasset(double S, double vol, double rd, double rf,
double tau, double K,
types::PutCall pc, types::Greeks greeks);
// vanilla put/call option
// call pays (S_T-K)^+
// put pays (K-S_T)^+
// this is the same as: +/- (binasset - K*bincash)
double putcall(double S, double vol, double rd, double rf,
double tau, double K,
types::PutCall putcall, types::Greeks greeks);
// truncated put/call option, single barrier
// need to specify whether it's down-and-out or up-and-out
// regular (keeps monotonicity): down-and-out for call, up-and-out for put
// reverse (destroys monoton): up-and-out for call, down-and-out for put
// call pays (S_T-K)^+
// put pays (K-S_T)^+
double putcalltrunc(double S, double vol, double rd, double rf,
double tau, double K, double B,
types::PutCall pc, types::KOType kotype,
types::Greeks greeks);
// wrapper function for put/call option which combines
// double/single/no truncation barrier
// B1<=0 - assume no lower barrier
// B2<=0 - assume no upper barrier
double putcalltrunc(double S, double vol, double rd, double rf,
double tau, double K, double B1, double B2,
types::PutCall pc, types::Greeks greek);
// barrier
// 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,
types::BarrierKIO kio, types::BarrierActive bcont,
types::Greeks greek);
// barrier
// barrier option (put/call payoff profile)
double barrier(double S, double vol, double rd, double rf,
double tau, double K, double B1, double B2,
double rebate,
types::PutCall pc, types::BarrierKIO kio,
types::BarrierActive bcont,
types::Greeks greek);
// probability of hitting a barrier
double prob_hit(double S, double vol, double mu,
double tau, double B1, double B2);
// probability of being in-the-money, ie payoff is greater zero,
// assuming payoff(S_T) > 0 iff S_T in [B1, B2]
double prob_in_money(double S, double vol, double mu,
double tau, double B1, double B2);
double prob_in_money(double S, double vol, double mu,
double tau, double K, double B1, double B2,
types::PutCall pc);
} // namespace bs
} // namespace pricing
} // namespace sca
#endif
/* vim:set shiftwidth=4 softtabstop=4 expandtab: */
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