scaddins/source/pricing/black_scholes.hxx

   1 /* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
   2 /*
   3  * This file is part of the LibreOffice project.
   4  *
   5  * This Source Code Form is subject to the terms of the Mozilla Public
   6  * License, v. 2.0. If a copy of the MPL was not distributed with this
   7  * file, You can obtain one at http://mozilla.org/MPL/2.0/.
   8  *
   9  * Copyright (C) 2012 Tino Kluge <tino.kluge@hrz.tu-chemnitz.de>
  10  *
  11  */
  12
  13
  14 #ifndef INCLUDED_SCADDINS_SOURCE_PRICING_BLACK_SCHOLES_HXX
  15 #define INCLUDED_SCADDINS_SOURCE_PRICING_BLACK_SCHOLES_HXX
  16
  17 // options prices and greeks in the Black-Scholes model
  18 // also known as TV (theoretical value)
  19
  20 namespace sca {
  21 namespace pricing {
  22
  23 namespace bs {
  24
  25 namespace types {
  26 enum Greeks {
  27     Value    = 0,
  28     Delta    = 1,        // d/dS
  29     Gamma    = 2,        // d^2/dS^2
  30     Theta    = 3,        // d/dt
  31     Vega     = 4,        // d/dsigma
  32     Volga    = 5,        // d^2/dsigma^2
  33     Vanna    = 6,        // d^2/dsigma dS
  34     Rho_d    = 7,        // d/dr_d
  35     Rho_f    = 8         // d/dr_f
  36 };
  37
  38 enum PutCall {
  39     Call     = 1,
  40     Put      = -1
  41 };
  42
  43 enum KOType {
  44     Regular = 0,
  45     Reverse = 1
  46 };
  47
  48 enum BarrierKIO {
  49     KnockIn = -1,
  50     KnockOut = 1
  51 };
  52
  53 // barrier observed continuously or just at maturity (truncated payoff)
  54 enum BarrierActive {
  55     Continuous = 0,
  56     Maturity   = 1
  57 };
  58
  59 enum ForDom {
  60     Domestic = 0,
  61     Foreign  = 1
  62 };
  63
  64 } // namespace types
  65
  66
  67 // binary option cash (domestic)
  68 //   call - pays 1 if S_T is above strike K
  69 //   put  - pays 1 if S_T is below strike K
  70 double bincash(double S, double vol, double rd, double rf,
  71                double tau, double K,
  72                types::PutCall pc, types::Greeks greeks);
  73
  74 // binary option asset (foreign)
  75 //   call - pays S_T if S_T is above strike K
  76 //   put  - pays S_T if S_T is below strike K
  77 double binasset(double S, double vol, double rd, double rf,
  78                 double tau, double K,
  79                 types::PutCall pc, types::Greeks greeks);
  80
  81 // vanilla put/call option
  82 //   call pays (S_T-K)^+
  83 //   put  pays (K-S_T)^+
  84 // this is the same as: +/- (binasset - K*bincash)
  85 double putcall(double S, double vol, double rd, double rf,
  86                double tau, double K,
  87                types::PutCall putcall, types::Greeks greeks);
  88
  89
  90 // truncated put/call option, single barrier
  91 // need to specify whether it's down-and-out or up-and-out
  92 // regular (keeps monotonicity): down-and-out for call, up-and-out for put
  93 // reverse (destroys monoton):   up-and-out for call, down-and-out for put
  94 //   call pays (S_T-K)^+
  95 //   put  pays (K-S_T)^+
  96 double putcalltrunc(double S, double vol, double rd, double rf,
  97                     double tau, double K, double B,
  98                     types::PutCall pc, types::KOType kotype,
  99                     types::Greeks greeks);
 100
 101
 102 // wrapper function for put/call option which combines
 103 // double/single/no truncation barrier
 104 // B1<=0 - assume no lower barrier
 105 // B2<=0 - assume no upper barrier
 106 double putcalltrunc(double S, double vol, double rd, double rf,
 107                     double tau, double K, double B1, double B2,
 108                     types::PutCall pc, types::Greeks greek);
 109
 110 // barrier
 111 // touch/no-touch options (cash/asset or nothing payoff profile)
 112 double touch(double S, double vol, double rd, double rf,
 113              double tau, double B1, double B2, types::ForDom fd,
 114              types::BarrierKIO kio, types::BarrierActive bcont,
 115              types::Greeks greek);
 116
 117 // barrier
 118 // barrier option  (put/call payoff profile)
 119 double barrier(double S, double vol, double rd, double rf,
 120                double tau, double K, double B1, double B2,
 121                double rebate,
 122                types::PutCall pc, types::BarrierKIO kio,
 123                types::BarrierActive bcont,
 124                types::Greeks greek);
 125
 126
 127 // probability of hitting a barrier
 128 double prob_hit(double S, double vol, double mu,
 129                 double tau, double B1, double B2);
 130
 131
 132 // probability of being in-the-money, ie payoff is greater zero,
 133 // assuming payoff(S_T) > 0 iff S_T in [B1, B2]
 134 double prob_in_money(double S, double vol, double mu,
 135                      double tau, double B1, double B2);
 136 double prob_in_money(double S, double vol, double mu,
 137                      double tau, double K, double B1, double B2,
 138                      types::PutCall pc);
 139
 140
 141 } // namespace bs
 142
 143 } // namespace pricing
 144 } // namespace sca
 145
 146
 147 #endif
 148
 149 /* vim:set shiftwidth=4 softtabstop=4 expandtab: */