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+/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+/*
+ * This file is part of the LibreOffice project.
+ *
+ * This Source Code Form is subject to the terms of the Mozilla Public
+ * License, v. 2.0. If a copy of the MPL was not distributed with this
+ * file, You can obtain one at http://mozilla.org/MPL/2.0/.
+ *
+ * Copyright (C) 2012 Tino Kluge <tino.kluge@hrz.tu-chemnitz.de>
+ *
+ */
+
+
+#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: */