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 #pragma once
  15
  16 // options prices and greeks in the Black-Scholes model
  17 // also known as TV (theoretical value)
  18
  19 namespace sca {
  20 namespace pricing {
  21
  22 namespace bs {
  23
  24 namespace types {
  25 enum Greeks {
  26     Value    = 0,
  27     Delta    = 1,        // d/dS
  28     Gamma    = 2,        // d^2/dS^2
  29     Theta    = 3,        // d/dt
  30     Vega     = 4,        // d/dsigma
  31     Volga    = 5,        // d^2/dsigma^2
  32     Vanna    = 6,        // d^2/dsigma dS
  33     Rho_d    = 7,        // d/dr_d
  34     Rho_f    = 8         // d/dr_f
  35 };
  36
  37 enum PutCall {
  38     Call     = 1,
  39     Put      = -1
  40 };
  41
  42 enum KOType {
  43     Regular = 0,
  44     Reverse = 1
  45 };
  46
  47 enum BarrierKIO {
  48     KnockIn = -1,
  49     KnockOut = 1
  50 };
  51
  52 // barrier observed continuously or just at maturity (truncated payoff)
  53 enum BarrierActive {
  54     Continuous = 0,
  55     Maturity   = 1
  56 };
  57
  58 enum ForDom {
  59     Domestic = 0,
  60     Foreign  = 1
  61 };
  62
  63 } // namespace types
  64
  65
  66 // binary option cash (domestic)
  67 //   call - pays 1 if S_T is above strike K
  68 //   put  - pays 1 if S_T is below strike K
  69 double bincash(double S, double vol, double rd, double rf,
  70                double tau, double K,
  71                types::PutCall pc, types::Greeks greeks);
  72
  73 // binary option asset (foreign)
  74 //   call - pays S_T if S_T is above strike K
  75 //   put  - pays S_T if S_T is below strike K
  76 double binasset(double S, double vol, double rd, double rf,
  77                 double tau, double K,
  78                 types::PutCall pc, types::Greeks greeks);
  79
  80 // vanilla put/call option
  81 //   call pays (S_T-K)^+
  82 //   put  pays (K-S_T)^+
  83 // this is the same as: +/- (binasset - K*bincash)
  84 double putcall(double S, double vol, double rd, double rf,
  85                double tau, double K,
  86                types::PutCall putcall, types::Greeks greeks);
  87
  88
  89 // truncated put/call option, single barrier
  90 // need to specify whether it's down-and-out or up-and-out
  91 // regular (keeps monotonicity): down-and-out for call, up-and-out for put
  92 // reverse (destroys monoton):   up-and-out for call, down-and-out for put
  93 //   call pays (S_T-K)^+
  94 //   put  pays (K-S_T)^+
  95 double putcalltrunc(double S, double vol, double rd, double rf,
  96                     double tau, double K, double B,
  97                     types::PutCall pc, types::KOType kotype,
  98                     types::Greeks greeks);
  99
 100
 101 // wrapper function for put/call option which combines
 102 // double/single/no truncation barrier
 103 // B1<=0 - assume no lower barrier
 104 // B2<=0 - assume no upper barrier
 105 double putcalltrunc(double S, double vol, double rd, double rf,
 106                     double tau, double K, double B1, double B2,
 107                     types::PutCall pc, types::Greeks greek);
 108
 109 // barrier
 110 // touch/no-touch options (cash/asset or nothing payoff profile)
 111 double touch(double S, double vol, double rd, double rf,
 112              double tau, double B1, double B2, types::ForDom fd,
 113              types::BarrierKIO kio, types::BarrierActive bcont,
 114              types::Greeks greek);
 115
 116 // barrier
 117 // barrier option  (put/call payoff profile)
 118 double barrier(double S, double vol, double rd, double rf,
 119                double tau, double K, double B1, double B2,
 120                double rebate,
 121                types::PutCall pc, types::BarrierKIO kio,
 122                types::BarrierActive bcont,
 123                types::Greeks greek);
 124
 125
 126 // probability of hitting a barrier
 127 double prob_hit(double S, double vol, double mu,
 128                 double tau, double B1, double B2);
 129
 130
 131 // probability of being in-the-money, ie payoff is greater zero,
 132 // assuming payoff(S_T) > 0 iff S_T in [B1, B2]
 133 double prob_in_money(double S, double vol, double mu,
 134                      double tau, double B1, double B2);
 135 double prob_in_money(double S, double vol, double mu,
 136                      double tau, double K, double B1, double B2,
 137                      types::PutCall pc);
 138
 139
 140 } // namespace bs
 141
 142 } // namespace pricing
 143 } // namespace sca
 144
 145
 146 /* vim:set shiftwidth=4 softtabstop=4 expandtab: */