CellMatrix::CellMatrix(const MyMatrix& data): Cells(data.rows()),
Rows(data.rows()), Columns(data.columns())
{
for (unsigned long i=0; i < data.rows(); ++i)
for (unsigned long j=0; j < data.columns(); ++j)
Cells[i].push_back(CellValue(Element(data,i,j)));
}
double BSDeltaWithParamsFD(const MyMatrix& parametersMatrix, double epsilon) {
if (parametersMatrix.columns() != 6 && parametersMatrix.rows() != 1 ) {
throw("Input matrix should be 1 x 5");}
double Spot = parametersMatrix(0,0);
double Strike = parametersMatrix(0,1);
double r = parametersMatrix(0,2);
double d = parametersMatrix(0,3);
double vol = parametersMatrix(0,4);
double expiry = parametersMatrix(0,5);
return BlackScholesDeltaFD(Spot, Strike,r,d,vol,expiry, epsilon);
}
double BSZeroCouponBondWithParams(const MyMatrix& parametersMatrix){
if (parametersMatrix.columns() != 6 && parametersMatrix.rows() != 1 ) {
throw("Input matrix should be 1 x 5");}
double Spot = parametersMatrix(0,0);
double Strike = parametersMatrix(0,1);
double r = parametersMatrix(0,2);
double d = parametersMatrix(0,3);
double vol = parametersMatrix(0,4);
double expiry = parametersMatrix(0,5);
return BlackScholesZeroCouponBond(Spot, Strike,r,d,vol,expiry);
}
CellMatrix::CellMatrix(const MyMatrix& data):pimpl(new defaultCellMatrixImpl(data.rows(),data.columns()))
{
for(size_t i(0); i < data.rows(); ++i)
{
for(size_t j(0); j < data.columns(); ++j)
{
(*pimpl)(i,j) = data(i,j);
}
}
}
CellMatrix //
BSGreeksFD(const MyMatrix& parametersMatrix,double epsilon) {
if (parametersMatrix.columns() != 6 && parametersMatrix.rows() != 1 ) {
throw("Input matrix should be 1 x 5");}
double Spot = parametersMatrix(0,0);
double Strike = parametersMatrix(0,1);
double r = parametersMatrix(0,2);
double d = parametersMatrix(0,3);
double vol = parametersMatrix(0,4);
double expiry = parametersMatrix(0,5);
CellMatrix resultMatrix(1,5);
resultMatrix(0,0) = BlackScholesDeltaFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,1) = BlackScholesGammaFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,2) = BlackScholesVegaFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,3) = BlackScholesRhoFD(Spot,Strike,r,d,vol,expiry,epsilon);
resultMatrix(0,4) = BlackScholesThetaFD(Spot,Strike,r,d,vol,expiry,epsilon);
return resultMatrix;
}
CellMatrix // returns delta, gamma, vega, rho, theta
BSGreeks(const MyMatrix& parametersMatrix) {
if (parametersMatrix.columns() != 6 && parametersMatrix.rows() != 1 ) {
throw("Input matrix should be 1 x 5");}
double Spot = parametersMatrix(0,0);
double Strike = parametersMatrix(0,1);
double r = parametersMatrix(0,2);
double d = parametersMatrix(0,3);
double vol = parametersMatrix(0,4);
double expiry = parametersMatrix(0,5);
CellMatrix resultMatrix(1,5);
resultMatrix(0,0) = BlackScholesDelta(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,1) = BlackScholesGamma(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,2) = BlackScholesVega(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,3) = BlackScholesRho(Spot,Strike,r,d,vol,expiry);
resultMatrix(0,4) = BlackScholesTheta(Spot,Strike,r,d,vol,expiry);
return resultMatrix;
}
bool MyMatrix::operator==(const MyMatrix& a) const
{
if (this->rows() != a.rows()) return false;
if (this->columns() != a.columns()) return false;
return(((EigenMatrix)(*this)-(EigenMatrix)a).isApproxToConstant(0.0));
}