Adding upstream version 1:7.0.4.upstream/1%7.0.4upstream

Signed-off-by: Daniel Baumann <daniel.baumann@progress-linux.org>

1 files changed, 149 insertions, 0 deletions

diff --git a/scaddins/source/pricing/black_scholes.hxx b/scaddins/source/pricing/black_scholes.hxx
new file mode 100644
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+++ b/scaddins/source/pricing/black_scholes.hxx
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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 INCLUDED_SCADDINS_SOURCE_PRICING_BLACK_SCHOLES_HXX
+#define INCLUDED_SCADDINS_SOURCE_PRICING_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: */