double EuropeanOptionBlack76::getVegaNumeric(double absoluteChangeVolatility)
{
double sd = standardDeviation;
double sqrtdt = sqrt(yearsToExpiry);
double originalVol = standardDeviation / sqrtdt;
double dSD = (originalVol + absoluteChangeVolatility) * sqrtdt;
setStandardDeviation(dSD);
double price1 = getPremium();
setStandardDeviation(sd);
double price = getPremium();
return price1 - price;
}
NormalDistribution::NormalDistribution(double mean, double standardDeviation)
: UncertaintyDescription(boost::shared_ptr<detail::UncertaintyDescription_Impl>(
new detail::UncertaintyDescription_Impl(NormalDistribution::type())))
{
setMean(mean);
setStandardDeviation(standardDeviation);
}
void Gaussian::configure(const std::string& parameters) {
if (parameters.empty()) return;
std::vector<std::string> values = Op::split(parameters, " ");
std::size_t required = 2;
if (values.size() < required) {
std::ostringstream ex;
ex << "[configuration error] term <" << className() << ">"
<< " requires <" << required << "> parameters";
throw fl::Exception(ex.str(), FL_AT);
}
setMean(Op::toScalar(values.at(0)));
setStandardDeviation(Op::toScalar(values.at(1)));
if (values.size() > required)
setHeight(Op::toScalar(values.at(required)));
}
BlackScholesGreeks EuropeanOptionBlack76::getOptionPriceAndGreeksNumeric(double dF, double dV, double dY, double dR)
{
double F = forward;
double sd = standardDeviation;
double df = discountFactor;
double yte = yearsToExpiry;
double yts = yearsToSettlement;
double X = strike;
double sqrtdt = sqrt(yte);
double price = getPremium();
// Delta
setForward(F + dF);
double deltaPremium = getPremium();
double delta = deltaPremium - price;
// Gamma
setForward(F - dF);
double gammaPremium = getPremium();
double gamma = (deltaPremium - 2 * price + gammaPremium);
setForward(F);
// Vega
double originalVol = sd / sqrtdt;
double sd1 = (originalVol + dV) * sqrtdt;
setStandardDeviation(sd1);
double priceVega = getPremium();
double vega = priceVega - price;
// setStandardDeviation(sd1); will do a setParamters in Theta
// Theta
sd1 = (sd / sqrt(yte)) * sqrt(yte - dY);
double df1 = exp(log(df) / yts * (yts - dY));
setParameters(F, X, yte - dY, yts - dY, sd1, df1);
double priceTheta = getPremium();
double theta = priceTheta - price;
setParameters(F, X, yte, yts, sd, df);
// Rho
df1 = exp((log(df) / yts - dR) * yts);
setDiscountFactor(df1);
double priceRho = getPremium();
double rho = priceRho - price;
setParameters(F, X, yte, yts, sd, df);
return BlackScholesGreeks(price, delta, gamma, theta, vega, rho);
}
RSSIProcessed::RSSIProcessed(AccessPoint accessPoint, int s, int d){
setAP(accessPoint);
setAverageStrength(s);
setStandardDeviation(d);
}
