/* Calculation of critical price options on options */
static double CriticalValueOptionsOnOptions(
int fCall,
double X1,
double X2,
double T,
double r,
double b,
double v)
{
double Si, ci, di;
assert_valid_strike(X1);
assert_valid_strike(X2);
assert_valid_time(T);
assert_valid_interest_rate(r);
assert_valid_cost_of_carry(b);
assert_valid_volatility(v);
Si = X1;
ci = gbs(fCall, Si, X1, T, r, b, v);
di = delta(fCall, Si, X1, T, r, b, v);
/* Newton-Raphson algorithm */
while(fabs(ci - X2) > epsilon) {
Si = Si - (ci - X2) / di;
ci = gbs(fCall, Si, X1, T, r, b, v);
di = delta(fCall, Si, X1, T, r, b, v);
}
return Si;
}
/* Arithmetic average rate option */
double TurnbullWakemanAsian(
int fCall,
double S,
double SA,
double X,
double T,
double T2,
double tau,
double r,
double b,
double v)
{
double m1, m2, bA, vA, t1, result;
double b2, vv, bvv, b2vv, t22;
assert_valid_price(S);
assert_valid_price(SA);
assert_valid_strike(X);
assert_valid_time(T);
assert_valid_time(T2);
assert_valid_interest_rate(r);
assert_valid_cost_of_carry(b);
assert_valid_volatility(v);
b2 = b * 2.0;
vv= v * v;
bvv = b+vv;
b2vv = b2 + vv;
t22 = pow(T2-tau, 2.0);
m1 = (exp(b * T2) - exp(b * tau)) / (b * (T2 - tau));
m2 = 2.0 * exp(b2vv * T2) / (bvv * b2vv * t22)
+ 2.0 * exp(b2vv * tau) / (b * t22)
* (1.0 / b2vv - exp(b * (T2 - tau)) / bvv);
bA = log(m1) / T2;
vA = sqrt(log(m2) / T2 - 2.0 * bA);
t1 = T - T2;
if (t1 > 0) {
X = T / T2 * X - t1 / T2 * SA;
result = gbs(fCall, S, X, T2, r, bA, vA) * T2 / T;
}
else
result = gbs(fCall, S, X, T2, r, bA, vA);
return result;
}
/* Rho for the generalized Black and Scholes formula */
double rho(int fCall, double S, double X, double T, double r, double b, double v)
{
double result;
assert_valid_price(S);
assert_valid_strike(X);
assert_valid_time(T);
assert_valid_interest_rate(r);
assert_valid_cost_of_carry(b);
assert_valid_volatility(v);
if(b == 0.0)
result = -T * gbs(fCall, S, X, T, r, b, v);
else {
const double vst = v * sqrt(T);
const double d1 = (log(S / X) + (b + pow2(v) / 2.0) * T) / (vst);
const double d2 = d1 - vst;
if(fCall)
result = T * X * exp(-r * T) * cnd(d2);
else
result = -T * X * exp(-r * T) * cnd(-d2);
}
return result;
}
GUTF8String
DjVuTXT::get_xmlText(const int height) const
{
GP<ByteStream> gbs(ByteStream::create());
ByteStream &bs=*gbs;
writeText(bs,height);
bs.seek(0L);
return bs.getAsUTF8();
}
void check_bsbisection(void)
{
double price, computed, facit = 0.35;
int fCall = 0;
double S = 75.0, X = 70.0, T = 0.5, r = 0.10, b = 0.05;
price = gbs(fCall, S, X, T, r, b, facit);
computed = BSbisection(fCall, S, X, T, r, b, price);
assert_equal(computed, facit);
}
/* NewtonRhapson for imp. vol of european options */
void check_NewtonRaphson_put(void)
{
int fCall = 0, ok;
double S = 75.0, X = 70.0, T = 0.5, r = 0.10, v = 0.35;
double computed, price = gbs(fCall, S, X, T, r, r, v);
ok = NewtonRaphson(fCall, S, X, T, r, price, &computed);
assert(ok);
assert_equal(computed, v);
ok = NewtonRaphson_put(S, X, T, r, price, &computed);
assert(ok);
assert_equal(computed, v);
}
void
lt_XMLParser::Impl::ChangeMeta(
DjVuFile &dfile, const lt_XMLTags &tags )
{
dfile.resume_decode(true);
GP<ByteStream> gbs(ByteStream::create());
tags.write(*gbs,false);
gbs->seek(0L);
GUTF8String raw(gbs->getAsUTF8());
if(raw.length())
{
//GUTF8String gs="<"+(metadatatag+(">"+raw))+"</"+metadatatag+">\n");
dfile.change_meta(raw+"\n");
}else
{
dfile.change_meta(GUTF8String());
}
}
void madef(int n,int *a,char *s2){
int fd;
int i,j;
char *s;
int bs;
bs=gbs();
s=(char*)malloc(bs*sizeof(char));
(void)umask(0);
if((fd=open("matrix.txt",O_WRONLY | O_CREAT | O_TRUNC, 0666))<0){
printf("Can't open file!\n");
exit(-1);
}
// write in file bs
genstr(bs,s,bs);
if((write(fd,s,bs))<0){
printf("Can't write a symbol!\n");
exit(-1);
}
if((write(fd," ",1))<0){
printf("Can't write spase!\n");
exit(-1);
}
// write size of matrix
if((write(fd,s2,strlen(s2)))<0){
printf("Can't write n!\n");
exit(-1);
}
if((write(fd,"\n",1))<0){
printf("Can't write enter!\n");
exit(-1);
}
// write in file matrix
for(i=0;i<n;i++){
for(j=0;j<n;j++){
genstr(bs,s,a[i*n+j]);
if((write(fd,s,bs))<0){
printf("Can't write element of matrix!\n");
exit(-1);
}
if(j!=(n-1))
if((write(fd," ",1))<0){
printf("Can't write element of matrix!\n ");
exit(-1);
}
}
if(write(fd,"\n",1)<0){
printf("Can't write in file!\n");
exit(-1);
}
}
free(s);
if(close(fd)<0){
printf("Can't close file\n");
exit(-1);
}
}
