double SingleOptionContract::getPayoff(double forSpot)
{
double premium = 0;
if (getPremiumPaymentDate() > getMaturityDate())
{
premium = getPremiumAmount();
}
if (type == PUT)
{
return (max(0.0, getStrike() - forSpot) - premium) * getVolume() * getBuySellAsDouble();
}
else
{
return (max(0.0, forSpot - getStrike()) - premium) * getVolume() * getBuySellAsDouble();
}
}
double Put::payoff()
{
double po = getStrike() - getSpot();
if(po>0)
{
return po;
};
return 0;
//return max(spot-getStrike(),0);
};
double EuropeanOption::getOptionValue(boost::shared_ptr<RatesEnvironment> re)
{
Date valueDate = re->getAnchorDate();
if (valueDate > getSettlementDate())
{
return 0;
}
double premium = 0;
double F = (re->getFRS())->getForward(getSettlementDate());
double df = (re->getDRS()->getDiscountFactor(getSettlementDate()));
if (valueDate < getMaturityDate())
{
double sd = (re->getVRS())->getStandardDeviation(getMaturityDate(), getStrike(), F);
option->setParameters(F,strike,sd,df);
premium += option->getPremium();
return premium * getVolume();
}
return option->getPremiumAfterMaturity(F, df) * volume;
}
