Adding upstream version 4:7.4.7.upstream/4%7.4.7upstream

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

5 files changed, 1820 insertions, 0 deletions

diff --git a/scaddins/source/pricing/black_scholes.cxx b/scaddins/source/pricing/black_scholes.cxx
new file mode 100644
index 000000000..88bdfc999
--- /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 <tino.kluge@hrz.tu-chemnitz.de>
+ *
+ */
+
+#include <cstdio>
+#include <cstdlib>
+#include <cmath>
+#include <cassert>
+#include <algorithm>
+#include <rtl/math.hxx>
+#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 * 0.7071067811865475);
+}
+
+// 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( B1<B2 || B1<=0.0 || B2<=0.0 ) {
+        val = binary(S,vol,0.0,-mu,tau,B1,B2,types::Domestic,types::Value);
+    }
+    return val;
+}
+double prob_in_money(double S, double vol, double mu,
+                     double tau, double K, double B1, double B2,
+                     types::PutCall pc) {
+    assert(S>0.0);
+    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 000000000..9e82857e0
--- /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 <tino.kluge@hrz.tu-chemnitz.de>
+ *
+ */
+
+
+#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 000000000..fbabf1fb6
--- /dev/null
+++ b/scaddins/source/pricing/pricing.component
@@ -0,0 +1,27 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<!--
+ * 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 .
+ -->
+
+<component loader="com.sun.star.loader.SharedLibrary" environment="@CPPU_ENV@"
+    xmlns="http://openoffice.org/2010/uno-components">
+  <implementation name="com.sun.star.sheet.addin.PricingFunctionsImpl"
+    constructor="scaddins_ScaPricingAddIn_get_implementation" single-instance="true">
+    <service name="com.sun.star.sheet.AddIn"/>
+    <service name="com.sun.star.sheet.addin.PricingFunctions"/>
+  </implementation>
+</component>
diff --git a/scaddins/source/pricing/pricing.cxx b/scaddins/source/pricing/pricing.cxx
new file mode 100644
index 000000000..f4e9e53f4
--- /dev/null
+++ b/scaddins/source/pricing/pricing.cxx
@@ -0,0 +1,510 @@
+/* -*- 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 <pricing.hrc>
+#include <strings.hrc>
+
+#include <cppuhelper/factory.hxx>
+#include <cppuhelper/supportsservice.hxx>
+#include <cppuhelper/weak.hxx>
+#include <algorithm>
+#include <cmath>
+#include <string_view>
+#include <unotools/resmgr.hxx>
+#include <i18nlangtag/languagetag.hxx>
+#include <o3tl/string_view.hxx>
+
+using namespace ::com::sun::star;
+using namespace sca::pricing;
+
+
+constexpr OUStringLiteral ADDIN_SERVICE = u"com.sun.star.sheet.AddIn";
+constexpr OUStringLiteral MY_SERVICE = u"com.sun.star.sheet.addin.PricingFunctions";
+constexpr OUStringLiteral MY_IMPLNAME = u"com.sun.star.sheet.addin.PricingFunctionsImpl";
+
+#define UNIQUE              false   // function name does not exist in Calc
+
+#define STDPAR              false   // all parameters are described
+
+#define FUNCDATA( FuncName, CompName, ParamCount, Category, Double, IntPar )  \
+    { "get" #FuncName, PRICING_FUNCNAME_##FuncName, PRICING_FUNCDESC_##FuncName, CompName, ParamCount, Category, Double, IntPar }
+
+const ScaFuncDataBase pFuncDataArr[] =
+{
+   FUNCDATA(OptBarrier,     "OPT_BARRIER",      13, ScaCategory::Finance, UNIQUE,  STDPAR),
+   FUNCDATA(OptTouch,       "OPT_TOUCH",        11, ScaCategory::Finance, UNIQUE,  STDPAR),
+   FUNCDATA(OptProbHit,     "OPT_PROB_HIT",      6, ScaCategory::Finance, UNIQUE,  STDPAR),
+   FUNCDATA(OptProbInMoney, "OPT_PROB_INMONEY",  8, ScaCategory::Finance, UNIQUE,  STDPAR)
+};
+
+#undef FUNCDATA
+
+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<css::uno::Any> 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<OUString>& 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);
+
+    RETURN_FINITE( 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);
+
+    RETURN_FINITE( 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);
+
+    RETURN_FINITE( 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);
+
+    RETURN_FINITE( 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 000000000..6c6ad7d1d
--- /dev/null
+++ b/scaddins/source/pricing/pricing.hxx
@@ -0,0 +1,198 @@
+/* -*- 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 <vector>
+#include <memory>
+#include <com/sun/star/lang/XServiceName.hpp>
+#include <com/sun/star/lang/XServiceInfo.hpp>
+#include <com/sun/star/sheet/XAddIn.hpp>
+#include <com/sun/star/sheet/XCompatibilityNames.hpp>
+#include <com/sun/star/sheet/addin/XPricingFunctions.hpp>
+#include <cppuhelper/implbase.hxx>
+#include <unotools/resmgr.hxx>
+
+namespace com::sun::star::lang { class XMultiServiceFactory; }
+
+#define RETURN_FINITE(d)    if( !std::isfinite( d ) ) throw css::lang::IllegalArgumentException(); return d;
+
+
+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<OUString>   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<OUString>& GetCompNameList() const { return aCompList; }
+};
+
+
+typedef std::vector<ScaFuncData> 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<css::lang::Locale[]> pDefLocales;
+    std::locale        aResLocale;
+    std::unique_ptr<sca::pricing::ScaFuncDataList> 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: */