Пример #1
0
int main()
{ // All options are European


	// Call option on a stock (b = r by default)
	EuropeanOption callOption;
	cout << "S: "; double S; cin >> S;
	cout << "Option on a stock: " << callOption.Price(S) << endl;

	// Option on a stock index
/*	EuropeanOption indexOption;
	indexOption.optType = "C";
	indexOption.K = 50.0;
	indexOption.T = 0.41667;
	indexOption.r = 0.1;
	indexOption.sig = 0.00;

	double q = 0.0;		// Dividend yield
	indexOption.b = indexOption.r - q;

	cout << indexOption.optType << " option on an index: " << indexOption.Price(50.0) << endl;

	// Options on a future
	EuropeanOption futureOption;
	futureOption.optType = "P";
	futureOption.K = 19.0;
	futureOption.T = 0.75;
	futureOption.r = 0.10;
	futureOption.sig = 0.28;

	futureOption.b = 0.0;

	cout << "Put option on a future: " << futureOption.Price(20.0) << endl;

	// Now change over to a call on the option
	futureOption.toggle();
	cout << "Call option on a future: " << futureOption.Price(20.0) << endl;


	// Call option on currency
	EuropeanOption currencyOption;
	currencyOption.optType = "C";
	currencyOption.K = 1.60;
	currencyOption.T = 0.5;
	currencyOption.r = 0.06;
	currencyOption.sig = 0.12;

	double rf = 0.08;		// risk-free rate of foreign currency
	currencyOption.b = currencyOption.r - rf;

	cout << endl << "** Other pricing examples **" << endl << endl;

	cout << "Call option on a currency: " << currencyOption.Price(1.56) << endl;

	////////   NOW CALCULATIONS OF SENSITIVITIES //////////////////////////////////

	// Call and put options on a future: Delta and Elasticity
	EuropeanOption futureOption2;
	futureOption2.optType = "P";
	futureOption2.K = 100.0;
	futureOption2.T = 0.5;
	futureOption2.r = 0.10;
	futureOption2.sig = 0.36;

	futureOption2.b = 0.0;

	cout << "Delta on a put future: " << futureOption2.Delta(105.0) << endl;

	// Now change over to a call on the option
	futureOption2.toggle();
	cout << "Delta on a call future: " << futureOption2.Delta(105.0) << endl;

	
	// Some more data for testing; Calcuate price and delta a
	EuropeanOption stockOption;
	stockOption.optType = "C";
	stockOption.K = 60.0;
	stockOption.T = 0.75;
	stockOption.r = 0.10;
	stockOption.sig = 0.30;

	stockOption.b = stockOption.r;


	stockOption.toggle();

	// Calculating theta of a European stock index
	EuropeanOption indexOption2;
	indexOption2.optType = "P";
	indexOption2.K = 405.0;
	indexOption2.T = 0.0833;	// One month expiration
	indexOption2.r = 0.07;
	indexOption2.sig = 0.20;

	double divYield = 0.05;		// Dividend yield, 5% per annum
	indexOption2.b = indexOption2.r - divYield;


	// Stock Option: Rho
	EuropeanOption stockOption2;
	stockOption2.optType = "C";
	stockOption2.K = 75.0;
	stockOption2.T = 1.0;
	stockOption2.r = 0.09;
	stockOption2.sig = 0.19;

	stockOption2.b = stockOption2.r;


	// Calculating Cost of Carry of a European stock index
	EuropeanOption indexOption3;
	indexOption3.optType = "P";
	indexOption3.K = 490.0;
	indexOption3.T = 0.222225;
	indexOption3.r = 0.08;
	indexOption3.sig = 0.15;

	double divYield3 = 0.05;		// Dividend yield, 5% per annum
	indexOption3.b = indexOption3.r - divYield3 ;

	*/
	return 0;
}
Пример #2
0
//pricers
//
double PutOption::Price(const EuropeanOption &Opt) const
{
    // black scholes
	double tmp = Opt.sig_() * sqrt(Opt.T_());

    double d1 = ( log(Opt.U_()/Opt.K_()) + (Opt.b_()+ (Opt.sig_()*Opt.sig_())*0.5 ) * Opt.T_() )/ tmp;
    double d2 = d1 - tmp;
    return (Opt.K_() * exp((-Opt.r_())*Opt.T_()) * N(-d2)) - (Opt.U_() * exp((Opt.b_()- Opt.r_()) * Opt.T_())* N(-d1));
}
Пример #3
0
void exercise2(void)
{
	std::cout<<"Exercise 2"<<std::endl;
	EuropeanOption option;
	std::cout<<"Initial values:"<<std::endl;
	option.print();
	//(a)
	std::cout<<"K in range [80,120] step 2:"<<std::endl;
	double tempK = 80;
	while (tempK<120.01)
	{
		std::cout<<"K = "<<tempK;
		option.K=tempK;
		std::cout<<";\tCall Price="<<option.Price();
		option.toggle();
		std::cout<<";\tPut Price="<<option.Price()<<std::endl;
		tempK = tempK + 2;
	}
	option.K=100;
	
	//(b)
	std::cout<<"T in range [0.2,5] step 0.2:"<<std::endl;
	double tempT= 0.2;
	while (tempT<5.01)
	{
		std::cout<<"T = "<<tempT;
		option.T=tempT;
		std::cout<<";\tCall Price="<<option.Price();
		option.toggle();
		std::cout<<";\tPut Price="<<option.Price()<<std::endl;
		tempT = tempT + 0.2;
	}
	option.T=1;
		
	//(c)
	std::cout<<"r in range [0, 0.2] step 0.01:"<<std::endl;
	double tempr= 0;
	while (tempr<0.2001)
	{
		std::cout<<"r = "<<tempr;
		option.r=tempr;
		std::cout<<";\tCall Price="<<option.Price();
		option.toggle();
		std::cout<<";\tPut Price="<<option.Price()<<std::endl;
		tempr = tempr + 0.01;
	}
	option.r=0.05;
}