From 267c6f2ac71f92999e969232431ba04678e7437e Mon Sep 17 00:00:00 2001 From: Daniel Baumann Date: Mon, 15 Apr 2024 07:54:39 +0200 Subject: Adding upstream version 4:24.2.0. Signed-off-by: Daniel Baumann --- scaddins/source/pricing/black_scholes.cxx | 939 ++++++++++++++++++++++++++++++ scaddins/source/pricing/black_scholes.hxx | 146 +++++ scaddins/source/pricing/pricing.component | 27 + scaddins/source/pricing/pricing.cxx | 509 ++++++++++++++++ scaddins/source/pricing/pricing.hxx | 196 +++++++ 5 files changed, 1817 insertions(+) create mode 100644 scaddins/source/pricing/black_scholes.cxx create mode 100644 scaddins/source/pricing/black_scholes.hxx create mode 100644 scaddins/source/pricing/pricing.component create mode 100644 scaddins/source/pricing/pricing.cxx create mode 100644 scaddins/source/pricing/pricing.hxx (limited to 'scaddins/source/pricing') diff --git a/scaddins/source/pricing/black_scholes.cxx b/scaddins/source/pricing/black_scholes.cxx new file mode 100644 index 0000000000..98baa307c1 --- /dev/null +++ b/scaddins/source/pricing/black_scholes.cxx @@ -0,0 +1,939 @@ +/* -*- 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 + * + */ + +#include +#include +#include +#include +#include +#include +#include "black_scholes.hxx" + +// options prices and greeks in the Black-Scholes model +// also known as TV (theoretical value) + +// the code is structured as follows: + +// (1) basic assets +// - cash-or-nothing option: bincash() +// - asset-or-nothing option: binasset() + +// (2) derived basic assets, can all be priced based on (1) +// - vanilla put/call: putcall() = +/- ( binasset() - K*bincash() ) +// - truncated put/call (barriers active at maturity only) + +// (3) write a wrapper function to include all vanilla prices +// - this is so we don't duplicate code when pricing barriers +// as this is derived from vanillas + +// (4) single barrier options (knock-out), priced based on truncated vanillas +// - it follows from the reflection principle that the price W(S) of a +// single barrier option is given by +// W(S) = V(S) - (B/S)^a V(B^2/S), a = 2(rd-rf)/vol^2 - 1 +// where V(S) is the price of the corresponding truncated vanilla +// option +// - to reduce code duplication and in anticipation of double barrier +// options we write the following function +// barrier_term(S,c) = V(c*S) - (B/S)^a V(c*B^2/S) + +// (5) double barrier options (knock-out) +// - value is an infinite sum over option prices of the corresponding +// truncated vanillas (truncated at both barriers): + +// W(S)=sum (B2/B1)^(i*a) (V(S(B2/B1)^(2i)) - (B1/S)^a V(B1^2/S (B2/B1)^(2i)) + +// (6) write routines for put/call barriers and touch options which +// mainly call the general double barrier pricer +// the main routines are touch() and barrier() +// both can price in/out barriers, double/single barriers as well as +// vanillas + + +// the framework allows any barriers to be priced as long as we define +// the value/greek functions for the corresponding truncated vanilla +// and wrap them into internal::vanilla() and internal::vanilla_trunc() + +// disadvantage of that approach is that due to the rules of +// differentiations the formulas for greeks become long and possible +// simplifications in the formulas won't be made + +// other code inefficiency due to multiplication with pm (+/- 1) +// cvtsi2sd: int-->double, 6/3 cycles +// mulsd: double-double multiplication, 5/1 cycles +// with -O3, however, it compiles 2 versions with pm=1, and pm=-1 +// which are efficient +// note this is tiny anyway as compared to exp/log (100 cycles), +// pow (200 cycles), erf (70 cycles) + +// this code is not tested for numerical instability, ie overruns, +// underruns, accuracy, etc + + +namespace sca::pricing::bs { + + +// helper functions + +static double sqr(double x) { + return x*x; +} +// normal density (see also ScInterpreter::phi) +static double dnorm(double x) { + //return (1.0/sqrt(2.0*M_PI))*exp(-0.5*x*x); // windows may not have M_PI + return 0.39894228040143268*exp(-0.5*x*x); +} +// cumulative normal distribution (see also ScInterpreter::integralPhi) +static double pnorm(double x) { + return 0.5 * std::erfc(-x * M_SQRT1_2); +} + +// 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) { + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + assert(K>=0.0); + + double val=0.0; + + if(tau<=0.0) { + // special case tau=0 (expiry) + switch(greeks) { + case types::Value: + if( (pc==types::Call && S>=K) || (pc==types::Put && S<=K) ) { + val = 1.0; + } else { + val = 0.0; + } + break; + default: + val = 0.0; + } + } else if(K==0.0) { + // special case with zero strike + if(pc==types::Put) { + // up-and-out (put) with K=0 + val=0.0; + } else { + // down-and-out (call) with K=0 (zero coupon bond) + switch(greeks) { + case types::Value: + val = 1.0; + break; + case types::Theta: + val = rd; + break; + case types::Rho_d: + val = -tau; + break; + default: + val = 0.0; + } + } + } else { + // standard case with K>0, tau>0 + double d1 = ( log(S/K)+(rd-rf+0.5*vol*vol)*tau ) / (vol*sqrt(tau)); + double d2 = d1 - vol*sqrt(tau); + int pm = (pc==types::Call) ? 1 : -1; + + switch(greeks) { + case types::Value: + val = pnorm(pm*d2); + break; + case types::Delta: + val = pm*dnorm(d2)/(S*vol*sqrt(tau)); + break; + case types::Gamma: + val = -pm*dnorm(d2)*d1/(sqr(S*vol)*tau); + break; + case types::Theta: + val = rd*pnorm(pm*d2) + + pm*dnorm(d2)*(log(S/K)/(vol*sqrt(tau))-0.5*d2)/tau; + break; + case types::Vega: + val = -pm*dnorm(d2)*d1/vol; + break; + case types::Volga: + val = pm*dnorm(d2)/(vol*vol)*(-d1*d1*d2+d1+d2); + break; + case types::Vanna: + val = pm*dnorm(d2)/(S*vol*vol*sqrt(tau))*(d1*d2-1.0); + break; + case types::Rho_d: + val = -tau*pnorm(pm*d2) + pm*dnorm(d2)*sqrt(tau)/vol; + break; + case types::Rho_f: + val = -pm*dnorm(d2)*sqrt(tau)/vol; + break; + default: + printf("bincash: greek %d not implemented\n", greeks ); + abort(); + } + } + 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 +double binasset(double S, double vol, double rd, double rf, + double tau, double K, + types::PutCall pc, types::Greeks greeks) { + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + assert(K>=0.0); + + double val=0.0; + if(tau<=0.0) { + // special case tau=0 (expiry) + switch(greeks) { + case types::Value: + if( (pc==types::Call && S>=K) || (pc==types::Put && S<=K) ) { + val = S; + } else { + val = 0.0; + } + break; + case types::Delta: + if( (pc==types::Call && S>=K) || (pc==types::Put && S<=K) ) { + val = 1.0; + } else { + val = 0.0; + } + break; + default: + val = 0.0; + } + } else if(K==0.0) { + // special case with zero strike (forward with zero strike) + if(pc==types::Put) { + // up-and-out (put) with K=0 + val = 0.0; + } else { + // down-and-out (call) with K=0 (type of forward) + switch(greeks) { + case types::Value: + val = S; + break; + case types::Delta: + val = 1.0; + break; + case types::Theta: + val = rf*S; + break; + case types::Rho_f: + val = -tau*S; + break; + default: + val = 0.0; + } + } + } else { + // normal case + double d1 = ( log(S/K)+(rd-rf+0.5*vol*vol)*tau ) / (vol*sqrt(tau)); + double d2 = d1 - vol*sqrt(tau); + int pm = (pc==types::Call) ? 1 : -1; + + switch(greeks) { + case types::Value: + val = S*pnorm(pm*d1); + break; + case types::Delta: + val = pnorm(pm*d1) + pm*dnorm(d1)/(vol*sqrt(tau)); + break; + case types::Gamma: + val = -pm*dnorm(d1)*d2/(S*sqr(vol)*tau); + break; + case types::Theta: + val = rf*S*pnorm(pm*d1) + + pm*S*dnorm(d1)*(log(S/K)/(vol*sqrt(tau))-0.5*d1)/tau; + break; + case types::Vega: + val = -pm*S*dnorm(d1)*d2/vol; + break; + case types::Volga: + val = pm*S*dnorm(d1)/(vol*vol)*(-d1*d2*d2+d1+d2); + break; + case types::Vanna: + val = pm*dnorm(d1)/(vol*vol*sqrt(tau))*(d2*d2-1.0); + break; + case types::Rho_d: + val = pm*S*dnorm(d1)*sqrt(tau)/vol; + break; + case types::Rho_f: + val = -tau*S*pnorm(pm*d1) - pm*S*dnorm(d1)*sqrt(tau)/vol; + break; + default: + printf("binasset: greek %d not implemented\n", greeks ); + abort(); + } + } + return exp(-rf*tau)*val; +} + +// just for convenience we can combine bincash and binasset into +// one function binary +// using bincash() if fd==types::Domestic +// using binasset() if fd==types::Foreign +static double binary(double S, double vol, double rd, double rf, + double tau, double K, + types::PutCall pc, types::ForDom fd, + types::Greeks greek) { + double val=0.0; + switch(fd) { + case types::Domestic: + val = bincash(S,vol,rd,rf,tau,K,pc,greek); + break; + case types::Foreign: + val = binasset(S,vol,rd,rf,tau,K,pc,greek); + break; + default: + // never get here + assert(false); + } + return val; +} + +// further wrapper to combine single/double barrier binary options +// into one function +// B1<=0 - it is assumed lower barrier not set +// B2<=0 - it is assumed upper barrier not set +static double binary(double S, double vol, double rd, double rf, + double tau, double B1, double B2, + types::ForDom fd, types::Greeks greek) { + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + + double val=0.0; + + if(B1<=0.0 && B2<=0.0) { + // no barriers set, payoff 1.0 (domestic) or S_T (foreign) + val = binary(S,vol,rd,rf,tau,0.0,types::Call,fd,greek); + } else if(B1<=0.0 && B2>0.0) { + // upper barrier (put) + val = binary(S,vol,rd,rf,tau,B2,types::Put,fd,greek); + } else if(B1>0.0 && B2<=0.0) { + // lower barrier (call) + val = binary(S,vol,rd,rf,tau,B1,types::Call,fd,greek); + } else if(B1>0.0 && B2>0.0) { + // double barrier + if(B2<=B1) { + val = 0.0; + } else { + val = binary(S,vol,rd,rf,tau,B2,types::Put,fd,greek) + - binary(S,vol,rd,rf,tau,B1,types::Put,fd,greek); + } + } else { + // never get here + assert(false); + } + + return val; +} + +// 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) { + + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + assert(K>=0.0); + + double val = 0.0; + int pm = (putcall==types::Call) ? 1 : -1; + + if(K==0 || tau==0.0) { + // special cases, simply refer to binasset() and bincash() + val = pm * ( binasset(S,vol,rd,rf,tau,K,putcall,greeks) + - K*bincash(S,vol,rd,rf,tau,K,putcall,greeks) ); + } else { + // general case + // we could just use pm*(binasset-K*bincash), however + // since the formula for delta and gamma simplify we write them + // down here + double d1 = ( log(S/K)+(rd-rf+0.5*vol*vol)*tau ) / (vol*sqrt(tau)); + double d2 = d1 - vol*sqrt(tau); + + switch(greeks) { + case types::Value: + val = pm * ( exp(-rf*tau)*S*pnorm(pm*d1)-exp(-rd*tau)*K*pnorm(pm*d2) ); + break; + case types::Delta: + val = pm*exp(-rf*tau)*pnorm(pm*d1); + break; + case types::Gamma: + val = exp(-rf*tau)*dnorm(d1)/(S*vol*sqrt(tau)); + break; + default: + // too lazy for the other greeks, so simply refer to binasset/bincash + val = pm * ( binasset(S,vol,rd,rf,tau,K,putcall,greeks) + - K*bincash(S,vol,rd,rf,tau,K,putcall,greeks) ); + } + } + return val; +} + +// 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) { + + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + assert(K>=0.0); + assert(B>=0.0); + + int pm = (pc==types::Call) ? 1 : -1; + double val = 0.0; + + switch(kotype) { + case types::Regular: + if( (pc==types::Call && B<=K) || (pc==types::Put && B>=K) ) { + // option degenerates to standard plain vanilla call/put + val = putcall(S,vol,rd,rf,tau,K,pc,greeks); + } else { + // normal case with truncation + val = pm * ( binasset(S,vol,rd,rf,tau,B,pc,greeks) + - K*bincash(S,vol,rd,rf,tau,B,pc,greeks) ); + } + break; + case types::Reverse: + if( (pc==types::Call && B<=K) || (pc==types::Put && B>=K) ) { + // option degenerates to zero payoff + val = 0.0; + } else { + // normal case with truncation + val = binasset(S,vol,rd,rf,tau,K,types::Call,greeks) + - binasset(S,vol,rd,rf,tau,B,types::Call,greeks) + - K * ( bincash(S,vol,rd,rf,tau,K,types::Call,greeks) + - bincash(S,vol,rd,rf,tau,B,types::Call,greeks) ); + } + break; + default: + assert(false); + } + return val; +} + +// 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) { + + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + assert(K>=0.0); + + double val=0.0; + + if(B1<=0.0 && B2<=0.0) { + // no barriers set, plain vanilla + val = putcall(S,vol,rd,rf,tau,K,pc,greek); + } else if(B1<=0.0 && B2>0.0) { + // upper barrier: reverse barrier for call, regular barrier for put + if(pc==types::Call) { + val = putcalltrunc(S,vol,rd,rf,tau,K,B2,pc,types::Reverse,greek); + } else { + val = putcalltrunc(S,vol,rd,rf,tau,K,B2,pc,types::Regular,greek); + } + } else if(B1>0.0 && B2<=0.0) { + // lower barrier: regular barrier for call, reverse barrier for put + if(pc==types::Call) { + val = putcalltrunc(S,vol,rd,rf,tau,K,B1,pc,types::Regular,greek); + } else { + val = putcalltrunc(S,vol,rd,rf,tau,K,B1,pc,types::Reverse,greek); + } + } else if(B1>0.0 && B2>0.0) { + // double barrier + if(B2<=B1) { + val = 0.0; + } else { + int pm = (pc==types::Call) ? 1 : -1; + val = pm * ( + putcalltrunc(S,vol,rd,rf,tau,K,B1,pc,types::Regular,greek) + - putcalltrunc(S,vol,rd,rf,tau,K,B2,pc,types::Regular,greek) + ); + } + } else { + // never get here + assert(false); + } + return val; +} + +namespace internal { + +// wrapper function for all non-path dependent options +// this is only an internal function, used to avoid code duplication when +// going to path-dependent barrier options, +// K<0 - assume binary option +// K>=0 - assume put/call option +static double vanilla(double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, + types::PutCall pc, types::ForDom fd, + types::Greeks greek) { + double val = 0.0; + if(K<0.0) { + // binary option if K<0 + val = binary(S,vol,rd,rf,tau,B1,B2,fd,greek); + } else { + val = putcall(S,vol,rd,rf,tau,K,pc,greek); + } + return val; +} +static double vanilla_trunc(double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, + types::PutCall pc, types::ForDom fd, + types::Greeks greek) { + double val = 0.0; + if(K<0.0) { + // binary option if K<0 + // truncated is actually the same as the vanilla binary + val = binary(S,vol,rd,rf,tau,B1,B2,fd,greek); + } else { + val = putcalltrunc(S,vol,rd,rf,tau,K,B1,B2,pc,greek); + } + return val; +} + +} // namespace internal + +// path dependent options + + +namespace internal { + +// helper term for any type of options with continuously monitored barriers, +// internal, should not be called from outside +// calculates value and greeks based on +// V(S) = V1(sc*S) - (B/S)^a V1(sc*B^2/S) +// (a=2 mu/vol^2, mu drift in logspace, ie. mu=(rd-rf-1/2vol^2)) +// with sc=1 and V1() being the price of the respective truncated +// vanilla option, V() would be the price of the respective barrier +// option if only one barrier is present +static double barrier_term(double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, double sc, + types::PutCall pc, types::ForDom fd, + types::Greeks greek) { + + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + + // V(S) = V1(sc*S) - (B/S)^a V1(sc*B^2/S) + double val = 0.0; + double B = (B1>0.0) ? B1 : B2; + double a = 2.0*(rd-rf)/(vol*vol)-1.0; // helper variable + double b = 4.0*(rd-rf)/(vol*vol*vol); // helper variable -da/dvol + double c = 12.0*(rd-rf)/(vol*vol*vol*vol); // helper -db/dvol + switch(greek) { + case types::Value: + val = vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + break; + case types::Delta: + val = sc*vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + + pow(B/S,a) * ( + a/S* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + + sqr(B/S)*sc* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + ); + break; + case types::Gamma: + val = sc*sc*vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a) * ( + a*(a+1.0)/(S*S)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + + (2.0*a+2.0)*B*B/(S*S*S)*sc* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Delta) + + sqr(sqr(B/S))*sc*sc* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Gamma) + ); + break; + case types::Theta: + val = vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + break; + case types::Vega: + val = vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a) * ( + - b*log(B/S)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + + 1.0* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + ); + break; + case types::Volga: + val = vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a) * ( + log(B/S)*(b*b*log(B/S)+c)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + - 2.0*b*log(B/S)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Vega) + + 1.0* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Volga) + ); + break; + case types::Vanna: + val = sc*vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a) * ( + b/S*(log(B/S)*a+1.0)* + vanilla_trunc(B*B/S*sc,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + + b*log(B/S)*sqr(B/S)*sc* + vanilla_trunc(B*B/S*sc,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Delta) + - a/S* + vanilla_trunc(B*B/S*sc,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Vega) + - sqr(B/S)*sc* + vanilla_trunc(B*B/S*sc,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Vanna) + ); + break; + case types::Rho_d: + val = vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a) * ( + 2.0*log(B/S)/(vol*vol)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + + 1.0* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + ); + break; + case types::Rho_f: + val = vanilla_trunc(sc*S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - pow(B/S,a) * ( + - 2.0*log(B/S)/(vol*vol)* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,types::Value) + + 1.0* + vanilla_trunc(sc*B*B/S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + ); + break; + default: + printf("barrier_term: greek %d not implemented\n", greek ); + abort(); + } + return val; +} + +// one term of the infinite sum for the valuation of double barriers +static double barrier_double_term( double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, + double fac, double sc, int i, + types::PutCall pc, types::ForDom fd, types::Greeks greek) { + + double val = 0.0; + double b = 4.0*i*(rd-rf)/(vol*vol*vol); // helper variable -da/dvol + double c = 12.0*i*(rd-rf)/(vol*vol*vol*vol); // helper -db/dvol + switch(greek) { + case types::Value: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek); + break; + case types::Delta: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek); + break; + case types::Gamma: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek); + break; + case types::Theta: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek); + break; + case types::Vega: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek) + - b*log(B2/B1)*fac * + barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,types::Value); + break; + case types::Volga: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek) + - 2.0*b*log(B2/B1)*fac * + barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,types::Vega) + + log(B2/B1)*fac*(c+b*b*log(B2/B1)) * + barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,types::Value); + break; + case types::Vanna: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek) + - b*log(B2/B1)*fac * + barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,types::Delta); + break; + case types::Rho_d: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek) + + 2.0*i/(vol*vol)*log(B2/B1)*fac * + barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,types::Value); + break; + case types::Rho_f: + val = fac*barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,greek) + - 2.0*i/(vol*vol)*log(B2/B1)*fac * + barrier_term(S,vol,rd,rf,tau,K,B1,B2,sc,pc,fd,types::Value); + break; + default: + printf("barrier_double_term: greek %d not implemented\n", greek ); + abort(); + } + return val; +} + +// general pricer for any type of options with continuously monitored barriers +// allows two, one or zero barriers, only knock-out style +// payoff profiles allowed based on vanilla_trunc() +static double barrier_ko(double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, + types::PutCall pc, types::ForDom fd, + types::Greeks greek) { + + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + + double val = 0.0; + + if(B1<=0.0 && B2<=0.0) { + // no barriers --> vanilla case + val = vanilla(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if(B1>0.0 && B2<=0.0) { + // lower barrier + if(S<=B1) { + val = 0.0; // knocked out + } else { + val = barrier_term(S,vol,rd,rf,tau,K,B1,B2,1.0,pc,fd,greek); + } + } else if(B1<=0.0 && B2>0.0) { + // upper barrier + if(S>=B2) { + val = 0.0; // knocked out + } else { + val = barrier_term(S,vol,rd,rf,tau,K,B1,B2,1.0,pc,fd,greek); + } + } else if(B1>0.0 && B2>0.0) { + // double barrier + if(S<=B1 || S>=B2) { + val = 0.0; // knocked out (always true if wrong input B1>B2) + } else { + // more complex calculation as we have to evaluate an infinite + // sum + // to reduce very costly pow() calls we define some variables + double a = 2.0*(rd-rf)/(vol*vol)-1.0; // 2 (mu-1/2vol^2)/sigma^2 + double BB2=sqr(B2/B1); + double BBa=pow(B2/B1,a); + double BB2inv=1.0/BB2; + double BBainv=1.0/BBa; + double fac=1.0; + double facinv=1.0; + double sc=1.0; + double scinv=1.0; + + // initial term i=0 + val=barrier_double_term(S,vol,rd,rf,tau,K,B1,B2,fac,sc,0,pc,fd,greek); + // infinite loop, 10 should be plenty, normal would be 2 + for(int i=1; i<10; i++) { + fac*=BBa; + facinv*=BBainv; + sc*=BB2; + scinv*=BB2inv; + double add = + barrier_double_term(S,vol,rd,rf,tau,K,B1,B2,fac,sc,i,pc,fd,greek) + + barrier_double_term(S,vol,rd,rf,tau,K,B1,B2,facinv,scinv,-i,pc,fd,greek); + val += add; + //printf("%i: val=%e (add=%e)\n",i,val,add); + if(fabs(add) <= 1e-12*fabs(val)) { + break; + } + } + // not knocked-out double barrier end + } + // double barrier end + } else { + // no such barrier combination exists + assert(false); + } + + return val; +} + +// knock-in style barrier +static double barrier_ki(double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, + types::PutCall pc, types::ForDom fd, + types::Greeks greek) { + return vanilla(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + -barrier_ko(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); +} + +// general barrier +static double barrier(double S, double vol, double rd, double rf, + double tau, double K, double B1, double B2, + types::PutCall pc, types::ForDom fd, + types::BarrierKIO kio, types::BarrierActive bcont, + types::Greeks greek) { + + double val = 0.0; + if( kio==types::KnockOut && bcont==types::Maturity ) { + // truncated vanilla option + val = vanilla_trunc(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if ( kio==types::KnockOut && bcont==types::Continuous ) { + // standard knock-out barrier + val = barrier_ko(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if ( kio==types::KnockIn && bcont==types::Maturity ) { + // inverse truncated vanilla + val = vanilla(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek) + - vanilla_trunc(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if ( kio==types::KnockIn && bcont==types::Continuous ) { + // standard knock-in barrier + val = barrier_ki(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else { + // never get here + assert(false); + } + return val; +} + +} // 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, + types::BarrierKIO kio, types::BarrierActive bcont, + types::Greeks greek) { + + double K=-1.0; // dummy + types::PutCall pc = types::Call; // dummy + double val = 0.0; + if( kio==types::KnockOut && bcont==types::Maturity ) { + // truncated vanilla option + val = internal::vanilla_trunc(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if ( kio==types::KnockOut && bcont==types::Continuous ) { + // standard knock-out barrier + val = internal::barrier_ko(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if ( kio==types::KnockIn && bcont==types::Maturity ) { + // inverse truncated vanilla + val = internal::vanilla(S,vol,rd,rf,tau,K,-1.0,-1.0,pc,fd,greek) + - internal::vanilla_trunc(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else if ( kio==types::KnockIn && bcont==types::Continuous ) { + // standard knock-in barrier + val = internal::vanilla(S,vol,rd,rf,tau,K,-1.0,-1.0,pc,fd,greek) + - internal::barrier_ko(S,vol,rd,rf,tau,K,B1,B2,pc,fd,greek); + } else { + // never get here + assert(false); + } + return val; +} + +// 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) { + assert(tau>=0.0); + assert(S>0.0); + assert(vol>0.0); + assert(K>=0.0); + types::ForDom fd = types::Domestic; + double val=internal::barrier(S,vol,rd,rf,tau,K,B1,B2,pc,fd,kio,bcont,greek); + if(rebate!=0.0) { + // opposite of barrier knock-in/out type + types::BarrierKIO kio2 = (kio==types::KnockIn) ? types::KnockOut + : types::KnockIn; + val += rebate*touch(S,vol,rd,rf,tau,B1,B2,fd,kio2,bcont,greek); + } + 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 +// discounting and we get the probability +double prob_hit(double S, double vol, double mu, + double tau, double B1, double B2) { + double const rd=0.0; + double rf=-mu; + return 1.0 - touch(S,vol,rd,rf,tau,B1,B2,types::Domestic,types::KnockOut, + types::Continuous, types::Value); +} + +// probability of being in-the-money, ie payoff is greater zero, +// assuming payoff(S_T) > 0 iff S_T in [B1, B2] +// this the same as the price of a cash or nothing option +// with no discounting +double prob_in_money(double S, double vol, double mu, + double tau, double B1, double B2) { + assert(S>0.0); + assert(vol>0.0); + assert(tau>=0.0); + double val = 0.0; + if( B10.0); + assert(vol>0.0); + assert(tau>=0.0); + + // if K<0 we assume a binary option is given + if(K<0.0) { + return prob_in_money(S,vol,mu,tau,B1,B2); + } + + double val = 0.0; + double BM1, BM2; // range of in the money [BM1, BM2] + // non-sense parameters with no positive payoff + if( (B1>B2 && B1>0.0 && B2>0.0) || + (K>=B2 && B2>0.0 && pc==types::Call) || + (K<=B1 && pc==types::Put) ) { + val = 0.0; + // need to figure out between what barriers payoff is greater 0 + } else if(pc==types::Call) { + BM1=std::max(B1, K); + BM2=B2; + val = prob_in_money(S,vol,mu,tau,BM1,BM2); + } else if (pc==types::Put) { + BM1=B1; + BM2= (B2>0.0) ? std::min(B2,K) : K; + val = prob_in_money(S,vol,mu,tau,BM1,BM2); + } else { + // don't get here + assert(false); + } + return val; +} + +} // namespace sca + + +/* vim:set shiftwidth=4 softtabstop=4 expandtab: */ diff --git a/scaddins/source/pricing/black_scholes.hxx b/scaddins/source/pricing/black_scholes.hxx new file mode 100644 index 0000000000..9e82857e03 --- /dev/null +++ b/scaddins/source/pricing/black_scholes.hxx @@ -0,0 +1,146 @@ +/* -*- 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 + * + */ + + +#pragma once + +// 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 + + +/* vim:set shiftwidth=4 softtabstop=4 expandtab: */ diff --git a/scaddins/source/pricing/pricing.component b/scaddins/source/pricing/pricing.component new file mode 100644 index 0000000000..fbabf1fb62 --- /dev/null +++ b/scaddins/source/pricing/pricing.component @@ -0,0 +1,27 @@ + + + + + + + + + diff --git a/scaddins/source/pricing/pricing.cxx b/scaddins/source/pricing/pricing.cxx new file mode 100644 index 0000000000..3182024abe --- /dev/null +++ b/scaddins/source/pricing/pricing.cxx @@ -0,0 +1,509 @@ +/* -*- 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/. + * + * This file incorporates work covered by the following license notice: + * + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed + * with this work for additional information regarding copyright + * ownership. The ASF licenses this file to you under the Apache + * License, Version 2.0 (the "License"); you may not use this file + * except in compliance with the License. You may obtain a copy of + * the License at http://www.apache.org/licenses/LICENSE-2.0 . + */ + +// pricing functions add in + +// all of the UNO add-in technical details have been copied from +// ../datefunc/datefunc.cxx + +#include "pricing.hxx" +#include "black_scholes.hxx" +#include +#include + +#include +#include +#include +#include +#include +#include +#include +#include +#include + +using namespace ::com::sun::star; +using namespace sca::pricing; + + +constexpr OUString ADDIN_SERVICE = u"com.sun.star.sheet.AddIn"_ustr; +constexpr OUString MY_SERVICE = u"com.sun.star.sheet.addin.PricingFunctions"_ustr; +constexpr OUStringLiteral MY_IMPLNAME = u"com.sun.star.sheet.addin.PricingFunctionsImpl"; + +const ScaFuncDataBase pFuncDataArr[] = +{ + { "getOptBarrier", PRICING_FUNCNAME_OptBarrier, PRICING_FUNCDESC_OptBarrier, "OPT_BARRIER", 13, ScaCategory::Finance, false, false }, + { "getOptTouch", PRICING_FUNCNAME_OptTouch, PRICING_FUNCDESC_OptTouch, "OPT_TOUCH", 11, ScaCategory::Finance, false, false }, + { "getOptProbHit", PRICING_FUNCNAME_OptProbHit, PRICING_FUNCDESC_OptProbHit, "OPT_PROB_HIT", 6, ScaCategory::Finance, false, false }, + { "getOptProbInMoney", PRICING_FUNCNAME_OptProbInMoney, PRICING_FUNCDESC_OptProbInMoney, "OPT_PROB_INMONEY", 8, ScaCategory::Finance, false, false }, +}; + +ScaFuncData::ScaFuncData( const ScaFuncDataBase& rBaseData ) : + aIntName( OUString::createFromAscii( rBaseData.pIntName ) ), + pUINameID( rBaseData.pUINameID ), + pDescrID( rBaseData.pDescrID ), + nParamCount( rBaseData.nParamCount ), + eCat( rBaseData.eCat ), + bDouble( rBaseData.bDouble ), + bWithOpt( rBaseData.bWithOpt ) +{ + aCompList.push_back(OUString::createFromAscii(rBaseData.pCompName)); +} + +sal_uInt16 ScaFuncData::GetStrIndex( sal_uInt16 nParam ) const +{ + if( !bWithOpt ) + nParam++; + return (nParam > nParamCount) ? (nParamCount * 2) : (nParam * 2); +} + +void sca::pricing::InitScaFuncDataList(ScaFuncDataList& rList) +{ + for (const auto & nIndex : pFuncDataArr) + rList.push_back(ScaFuncData(nIndex)); +} + +// entry points for service registration / instantiation + +extern "C" SAL_DLLPUBLIC_EXPORT css::uno::XInterface* +scaddins_ScaPricingAddIn_get_implementation( + css::uno::XComponentContext* , css::uno::Sequence const&) +{ + return cppu::acquire(new ScaPricingAddIn()); +} + +// "normal" service implementation +ScaPricingAddIn::ScaPricingAddIn() +{ +} + +ScaPricingAddIn::~ScaPricingAddIn() +{ +} + +static const char* pLang[] = { "en" }; +static const char* pCoun[] = { "US" }; +const sal_uInt32 nNumOfLoc = SAL_N_ELEMENTS( pLang ); + +void ScaPricingAddIn::InitDefLocales() +{ + pDefLocales.reset( new lang::Locale[ nNumOfLoc ] ); + + for( sal_uInt32 nIndex = 0; nIndex < nNumOfLoc; nIndex++ ) + { + pDefLocales[ nIndex ].Language = OUString::createFromAscii( pLang[ nIndex ] ); + pDefLocales[ nIndex ].Country = OUString::createFromAscii( pCoun[ nIndex ] ); + } +} + +const lang::Locale& ScaPricingAddIn::GetLocale( sal_uInt32 nIndex ) +{ + if( !pDefLocales ) + InitDefLocales(); + + return (nIndex < nNumOfLoc) ? pDefLocales[ nIndex ] : aFuncLoc; +} + +void ScaPricingAddIn::InitData() +{ + aResLocale = Translate::Create("sca", LanguageTag(aFuncLoc)); + pFuncDataList.reset(new ScaFuncDataList); + InitScaFuncDataList(*pFuncDataList); + pDefLocales.reset(); +} + +OUString ScaPricingAddIn::GetFuncDescrStr(const TranslateId* pResId, sal_uInt16 nStrIndex) +{ + return ScaResId(pResId[nStrIndex - 1]); +} + +// XServiceName +OUString SAL_CALL ScaPricingAddIn::getServiceName() +{ + // name of specific AddIn service + return MY_SERVICE; +} + +// XServiceInfo +OUString SAL_CALL ScaPricingAddIn::getImplementationName() +{ + return MY_IMPLNAME; +} + +sal_Bool SAL_CALL ScaPricingAddIn::supportsService( const OUString& aServiceName ) +{ + return cppu::supportsService(this, aServiceName); +} + +uno::Sequence< OUString > SAL_CALL ScaPricingAddIn::getSupportedServiceNames() +{ + return { ADDIN_SERVICE, MY_SERVICE }; +} + +// XLocalizable +void SAL_CALL ScaPricingAddIn::setLocale( const lang::Locale& eLocale ) +{ + aFuncLoc = eLocale; + InitData(); // change of locale invalidates resources! +} + +lang::Locale SAL_CALL ScaPricingAddIn::getLocale() +{ + return aFuncLoc; +} + +// function descriptions start here +// XAddIn +OUString SAL_CALL ScaPricingAddIn::getProgrammaticFuntionName( const OUString& ) +{ + // not used by calc + // (but should be implemented for other uses of the AddIn service) + return OUString(); +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayFunctionName( const OUString& aProgrammaticName ) +{ + OUString aRet; + + auto fDataIt = std::find_if(pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if (fDataIt != pFuncDataList->end() ) + { + aRet = ScaResId(fDataIt->GetUINameID()); + if( fDataIt->IsDouble() ) + aRet += "_ADD"; + } + else + { + aRet = "UNKNOWNFUNC_" + aProgrammaticName; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getFunctionDescription( const OUString& aProgrammaticName ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() ) + aRet = GetFuncDescrStr( fDataIt->GetDescrID(), 1 ); + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayArgumentName( + const OUString& aProgrammaticName, sal_Int32 nArgument ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() && (nArgument <= 0xFFFF) ) + { + sal_uInt16 nStr = fDataIt->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); + if( nStr ) + aRet = GetFuncDescrStr( fDataIt->GetDescrID(), nStr ); + else + aRet = "internal"; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getArgumentDescription( + const OUString& aProgrammaticName, sal_Int32 nArgument ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() && (nArgument <= 0xFFFF) ) + { + sal_uInt16 nStr = fDataIt->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); + if( nStr ) + aRet = GetFuncDescrStr( fDataIt->GetDescrID(), nStr + 1 ); + else + aRet = "for internal use only"; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getProgrammaticCategoryName( + const OUString& aProgrammaticName ) +{ + OUString aRet; + + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt != pFuncDataList->end() ) + { + switch( fDataIt->GetCategory() ) + { + case ScaCategory::DateTime: aRet = "Date&Time"; break; + case ScaCategory::Text: aRet = "Text"; break; + case ScaCategory::Finance: aRet = "Financial"; break; + case ScaCategory::Inf: aRet = "Information"; break; + case ScaCategory::Math: aRet = "Mathematical"; break; + case ScaCategory::Tech: aRet = "Technical"; break; + } + } + + if( aRet.isEmpty() ) + aRet = "Add-In"; + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayCategoryName( + const OUString& aProgrammaticName ) +{ + return getProgrammaticCategoryName( aProgrammaticName ); +} + +// XCompatibilityNames +uno::Sequence< sheet::LocalizedName > SAL_CALL ScaPricingAddIn::getCompatibilityNames( + const OUString& aProgrammaticName ) +{ + auto fDataIt = std::find_if( pFuncDataList->begin(), pFuncDataList->end(), + FindScaFuncData( aProgrammaticName ) ); + if( fDataIt == pFuncDataList->end() ) + return uno::Sequence< sheet::LocalizedName >( 0 ); + + const std::vector& rStrList = fDataIt->GetCompNameList(); + sal_uInt32 nCount = rStrList.size(); + + uno::Sequence< sheet::LocalizedName > aRet( nCount ); + sheet::LocalizedName* pArray = aRet.getArray(); + + for( sal_uInt32 nIndex = 0; nIndex < nCount; nIndex++ ) + pArray[ nIndex ] = sheet::LocalizedName( GetLocale( nIndex ), rStrList[nIndex] ); + + return aRet; +} + +// actual function implementation starts here +// auxiliary input handling functions +namespace { + +bool getinput_putcall(bs::types::PutCall& pc, std::u16string_view str) { + if(o3tl::starts_with(str, u"c")) { + pc=bs::types::Call; + } else if(o3tl::starts_with(str, u"p")) { + pc=bs::types::Put; + } else { + return false; + } + return true; +} + +bool getinput_putcall(bs::types::PutCall& pc, const uno::Any& anyval) { + OUString str; + if(anyval.getValueTypeClass() == uno::TypeClass_STRING) { + anyval >>= str; + } else if(anyval.getValueTypeClass() == uno::TypeClass_VOID) { + str="c"; // call as default + } else { + return false; + } + return getinput_putcall(pc, str); +} + +bool getinput_strike(double& strike, const uno::Any& anyval) { + if(anyval.getValueTypeClass() == uno::TypeClass_DOUBLE) { + anyval >>= strike; + } else if(anyval.getValueTypeClass() == uno::TypeClass_VOID) { + strike=-1.0; // -1 as default (means not set) + } else { + return false; + } + return true; +} + +bool getinput_inout(bs::types::BarrierKIO& kio, std::u16string_view str) { + if(o3tl::starts_with(str, u"i")) { + kio=bs::types::KnockIn; + } else if(o3tl::starts_with(str, u"o")) { + kio=bs::types::KnockOut; + } else { + return false; + } + return true; +} + +bool getinput_barrier(bs::types::BarrierActive& cont, std::u16string_view str) { + if(o3tl::starts_with(str, u"c")) { + cont=bs::types::Continuous; + } else if(o3tl::starts_with(str, u"e")) { + cont=bs::types::Maturity; + } else { + return false; + } + return true; +} + +bool getinput_fordom(bs::types::ForDom& fd, std::u16string_view str) { + if(o3tl::starts_with(str, u"f")) { + fd=bs::types::Foreign; + } else if(o3tl::starts_with(str, u"d")) { + fd=bs::types::Domestic; + } else { + return false; + } + return true; +} + +bool getinput_greek(bs::types::Greeks& greek, const uno::Any& anyval) { + OUString str; + if(anyval.getValueTypeClass() == uno::TypeClass_STRING) { + anyval >>= str; + } else if(anyval.getValueTypeClass() == uno::TypeClass_VOID) { + str="value"; + } else { + return false; + } + + if(str == "value" || str == "price" || str == "v" || str == "p") { + greek=bs::types::Value; + } else if(str == "delta" || str == "d") { + greek=bs::types::Delta; + } else if(str == "gamma" || str == "g") { + greek=bs::types::Gamma; + } else if(str == "theta" || str == "t") { + greek=bs::types::Theta; + } else if(str == "vega" || str == "e") { + greek=bs::types::Vega; + } else if(str == "volga" || str == "o") { + greek=bs::types::Volga; + } else if(str == "vanna" || str == "a") { + greek=bs::types::Vanna; + } else if(str == "rho" || str == "r") { + greek=bs::types::Rho_d; + } else if(str == "rhof" || str == "f") { + greek=bs::types::Rho_f; + } else { + return false; + } + return true; +} + +} // namespace for auxiliary functions + +// OPT_BARRIER(...) +double SAL_CALL ScaPricingAddIn::getOptBarrier( double spot, double vol, + double r, double rf, double T, double strike, + double barrier_low, double barrier_up, double rebate, + const OUString& put_call, const OUString& in_out, + const OUString& barriercont, const uno::Any& greekstr ) +{ + bs::types::PutCall pc; + bs::types::BarrierKIO kio; + bs::types::BarrierActive bcont; + bs::types::Greeks greek; + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || strike<0.0 || + !getinput_putcall(pc,put_call) || + !getinput_inout(kio,in_out) || + !getinput_barrier(bcont,barriercont) || + !getinput_greek(greek,greekstr) ){ + throw lang::IllegalArgumentException(); + } + + double fRet=bs::barrier(spot,vol,r,rf,T,strike, barrier_low,barrier_up, + rebate,pc,kio,bcont,greek); + + if (!std::isfinite(fRet)) + throw css::lang::IllegalArgumentException(); + return fRet; +} + +// OPT_TOUCH(...) +double SAL_CALL ScaPricingAddIn::getOptTouch( double spot, double vol, + double r, double rf, double T, + double barrier_low, double barrier_up, + const OUString& for_dom, const OUString& in_out, + const OUString& barriercont, const uno::Any& greekstr ) +{ + bs::types::ForDom fd; + bs::types::BarrierKIO kio; + bs::types::BarrierActive bcont; + bs::types::Greeks greek; + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || + !getinput_fordom(fd,for_dom) || + !getinput_inout(kio,in_out) || + !getinput_barrier(bcont,barriercont) || + !getinput_greek(greek,greekstr) ){ + throw lang::IllegalArgumentException(); + } + + double fRet=bs::touch(spot,vol,r,rf,T,barrier_low,barrier_up, + fd,kio,bcont,greek); + + if (!std::isfinite(fRet)) + throw css::lang::IllegalArgumentException(); + return fRet; +} + +// OPT_PRB_HIT(...) +double SAL_CALL ScaPricingAddIn::getOptProbHit( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up ) +{ + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 ) { + throw lang::IllegalArgumentException(); + } + + double fRet=bs::prob_hit(spot,vol,mu,T,barrier_low,barrier_up); + + if (!std::isfinite(fRet)) + throw css::lang::IllegalArgumentException(); + return fRet; +} + +// OPT_PROB_INMONEY(...) +double SAL_CALL ScaPricingAddIn::getOptProbInMoney( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up, + const uno::Any& strikeval, const uno::Any& put_call ) +{ + bs::types::PutCall pc=bs::types::Call; + double K = 0; + + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || + !getinput_putcall(pc,put_call) || + !getinput_strike(K,strikeval) ) { + throw lang::IllegalArgumentException(); + } + + double fRet=bs::prob_in_money(spot,vol,mu,T,K,barrier_low,barrier_up,pc); + + if (!std::isfinite(fRet)) + throw css::lang::IllegalArgumentException(); + return fRet; +} + +OUString ScaPricingAddIn::ScaResId(TranslateId aResId) +{ + return Translate::get(aResId, aResLocale); +} + +/* vim:set shiftwidth=4 softtabstop=4 expandtab: */ diff --git a/scaddins/source/pricing/pricing.hxx b/scaddins/source/pricing/pricing.hxx new file mode 100644 index 0000000000..92f2e553a9 --- /dev/null +++ b/scaddins/source/pricing/pricing.hxx @@ -0,0 +1,196 @@ +/* -*- 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/. + * + * This file incorporates work covered by the following license notice: + * + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed + * with this work for additional information regarding copyright + * ownership. The ASF licenses this file to you under the Apache + * License, Version 2.0 (the "License"); you may not use this file + * except in compliance with the License. You may obtain a copy of + * the License at http://www.apache.org/licenses/LICENSE-2.0 . + */ + +// option pricing functions add in + +// most parts of this files are technical UNO details which are +// all copied from ../datefunc/datefunc.hxx +// to avoid having to rename all classes to do with UNO +// technicalities we use our own namespace + +#pragma once + + +#include +#include +#include +#include +#include +#include +#include +#include +#include + +namespace com::sun::star::lang { class XMultiServiceFactory; } + + +namespace sca::pricing { + +enum class ScaCategory +{ + DateTime, + Text, + Finance, + Inf, + Math, + Tech +}; + +struct ScaFuncDataBase +{ + const char* pIntName; // internal name (get***) + TranslateId pUINameID; // resource ID to UI name + const TranslateId* pDescrID; // resource ID to description, parameter names and ~ description + // pCompName was originally meant to be able to load Excel documents that for + // some time were stored with localized function names. + // This is not relevant to this add-in, so we only supply the + // English function name. + // see also: GetExcelName() or GetCompNames() or getCompatibilityNames() + const char* pCompName; + sal_uInt16 nParamCount; // number of named / described parameters + ScaCategory eCat; // function category + bool bDouble; // name already exist in Calc + bool bWithOpt; // first parameter is internal +}; + +class ScaFuncData final +{ +private: + OUString aIntName; // internal name (get***) + TranslateId pUINameID; // resource ID to UI name + const TranslateId* pDescrID; // leads also to parameter descriptions! + sal_uInt16 nParamCount; // num of parameters + std::vector aCompList; // list of all valid names + ScaCategory eCat; // function category + bool bDouble; // name already exist in Calc + bool bWithOpt; // first parameter is internal + +public: + ScaFuncData(const ScaFuncDataBase& rBaseData); + + const TranslateId& GetUINameID() const { return pUINameID; } + const TranslateId* GetDescrID() const { return pDescrID; } + ScaCategory GetCategory() const { return eCat; } + bool IsDouble() const { return bDouble; } + + sal_uInt16 GetStrIndex( sal_uInt16 nParam ) const; + bool Is( std::u16string_view rCompare ) const + { return aIntName == rCompare; } + + const std::vector& GetCompNameList() const { return aCompList; } +}; + + +typedef std::vector ScaFuncDataList; + +void InitScaFuncDataList(ScaFuncDataList& rMap); + +// Predicate for use with std::find_if +struct FindScaFuncData +{ + const OUString& m_rId; + explicit FindScaFuncData( const OUString& rId ) : m_rId(rId) {} + bool operator() ( ScaFuncData const & rCandidate ) const { return rCandidate.Is(m_rId); } +}; + +} // namespace sca::pricing + + +// AddIn class for pricing functions + +class ScaPricingAddIn : public ::cppu::WeakImplHelper< + css::sheet::XAddIn, + css::sheet::XCompatibilityNames, + css::sheet::addin::XPricingFunctions, + css::lang::XServiceName, + css::lang::XServiceInfo > +{ +private: + css::lang::Locale aFuncLoc; + std::unique_ptr pDefLocales; + std::locale aResLocale; + std::unique_ptr pFuncDataList; + + + void InitDefLocales(); + const css::lang::Locale& GetLocale( sal_uInt32 nIndex ); + void InitData(); + + /// @throws css::uno::RuntimeException + OUString GetFuncDescrStr(const TranslateId* pResId, sal_uInt16 nStrIndex); + +public: + ScaPricingAddIn(); + virtual ~ScaPricingAddIn() override; + + OUString ScaResId(TranslateId aResId); + + // XAddIn + virtual OUString SAL_CALL getProgrammaticFuntionName( const OUString& aDisplayName ) override; + virtual OUString SAL_CALL getDisplayFunctionName( const OUString& aProgrammaticName ) override; + virtual OUString SAL_CALL getFunctionDescription( const OUString& aProgrammaticName ) override; + virtual OUString SAL_CALL getDisplayArgumentName( const OUString& aProgrammaticName, sal_Int32 nArgument ) override; + virtual OUString SAL_CALL getArgumentDescription( const OUString& aProgrammaticName, sal_Int32 nArgument ) override; + virtual OUString SAL_CALL getProgrammaticCategoryName( const OUString& aProgrammaticName ) override; + virtual OUString SAL_CALL getDisplayCategoryName( const OUString& aProgrammaticName ) override; + + // XCompatibilityNames + virtual css::uno::Sequence< css::sheet::LocalizedName > SAL_CALL getCompatibilityNames( const OUString& aProgrammaticName ) override; + + // XLocalizable + virtual void SAL_CALL setLocale( const css::lang::Locale& eLocale ) override; + virtual css::lang::Locale SAL_CALL getLocale() override; + + // XServiceName + virtual OUString SAL_CALL getServiceName() override; + + // XServiceInfo + virtual OUString SAL_CALL getImplementationName() override; + virtual sal_Bool SAL_CALL supportsService( const OUString& ServiceName ) override; + virtual css::uno::Sequence< OUString > SAL_CALL getSupportedServiceNames() override; + + + // methods from own interfaces start here + + + virtual double SAL_CALL getOptBarrier( double spot, double vol, + double r, double rf, double T, double strike, + double barrier_low, double barrier_up, double rebate, + const OUString& put_call, const OUString& in_out, + const OUString& continuous, const css::uno::Any& greek ) override; + + virtual double SAL_CALL getOptTouch( double spot, double vol, + double r, double rf, double T, + double barrier_low, double barrier_up, + const OUString& for_dom, const OUString& in_out, + const OUString& barriercont, const css::uno::Any& greekstr ) override; + + virtual double SAL_CALL getOptProbHit( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up ) override; + + virtual double SAL_CALL getOptProbInMoney( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up, + const css::uno::Any& strikeval, const css::uno::Any& put_call ) override; + +}; + + +/* vim:set shiftwidth=4 softtabstop=4 expandtab: */ -- cgit v1.2.3