sca::pricing::bs Namespace Reference

Namespaces
namespace	internal
namespace	types

Functions
static double	sqr (double x)
static double	dnorm (double x)
static double	pnorm (double x)
double	bincash (double S, double vol, double rd, double rf, double tau, double K, types::PutCall pc, types::Greeks greeks)
double	binasset (double S, double vol, double rd, double rf, double tau, double K, types::PutCall pc, types::Greeks greeks)
static double	binary (double S, double vol, double rd, double rf, double tau, double K, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	binary (double S, double vol, double rd, double rf, double tau, double B1, double B2, types::ForDom fd, types::Greeks greek)
double	putcall (double S, double vol, double rd, double rf, double tau, double K, types::PutCall putcall, types::Greeks greeks)
double	putcalltrunc (double S, double vol, double rd, double rf, double tau, double K, double B, types::PutCall pc, types::KOType kotype, types::Greeks greeks)
double	putcalltrunc (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::Greeks greek)
double	touch (double S, double vol, double rd, double rf, double tau, double B1, double B2, types::ForDom fd, types::BarrierKIO kio, types::BarrierActive bcont, types::Greeks greek)
double	barrier (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, double rebate, types::PutCall pc, types::BarrierKIO kio, types::BarrierActive bcont, types::Greeks greek)
double	prob_hit (double S, double vol, double mu, double tau, double B1, double B2)
double	prob_in_money (double S, double vol, double mu, double tau, double B1, double B2)
double	prob_in_money (double S, double vol, double mu, double tau, double K, double B1, double B2, types::PutCall pc)

Function Documentation

barrier()

double sca::pricing::bs::barrier	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	K,
		double	B1,
		double	B2,
		double	rebate,
		types::PutCall	pc,
		types::BarrierKIO	kio,
		types::BarrierActive	bcont,
		types::Greeks	greek
	)

Definition at line 853 of file black_scholes.cxx.

References sca::pricing::bs::internal::barrier(), sca::pricing::bs::types::Domestic, sca::pricing::bs::types::KnockIn, sca::pricing::bs::types::KnockOut, pc, S, and touch().

Referenced by ScaPricingAddIn::getOptBarrier().

binary() [1/2]

static double sca::pricing::bs::binary ( double  S, double  vol, double  rd, double  rf, double  tau, double  B1, double  B2, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 315 of file black_scholes.cxx.

References binary(), sca::pricing::bs::types::Call, sca::pricing::bs::types::Put, and S.

binary() [2/2]

static double sca::pricing::bs::binary ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 292 of file black_scholes.cxx.

References binasset(), bincash(), sca::pricing::bs::types::Domestic, sca::pricing::bs::types::Foreign, pc, and S.

Referenced by binary(), prob_in_money(), sca::pricing::bs::internal::vanilla(), and sca::pricing::bs::internal::vanilla_trunc().

binasset()

double sca::pricing::bs::binasset	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	K,
		types::PutCall	pc,
		types::Greeks	greeks
	)

Definition at line 192 of file black_scholes.cxx.

References sca::pricing::bs::types::Call, sca::pricing::bs::types::Delta, dnorm(), sca::pricing::bs::types::Gamma, log, pc, pnorm(), sca::pricing::bs::types::Put, sca::pricing::bs::types::Rho_d, sca::pricing::bs::types::Rho_f, S, sqr(), sca::pricing::bs::types::Theta, sca::pricing::bs::types::Value, sca::pricing::bs::types::Vanna, sca::pricing::bs::types::Vega, and sca::pricing::bs::types::Volga.

Referenced by binary(), putcall(), and putcalltrunc().

bincash()

double sca::pricing::bs::bincash	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	K,
		types::PutCall	pc,
		types::Greeks	greeks
	)

Definition at line 102 of file black_scholes.cxx.

References sca::pricing::bs::types::Call, sca::pricing::bs::types::Delta, dnorm(), sca::pricing::bs::types::Gamma, log, pc, pnorm(), sca::pricing::bs::types::Put, sca::pricing::bs::types::Rho_d, sca::pricing::bs::types::Rho_f, S, sqr(), sca::pricing::bs::types::Theta, sca::pricing::bs::types::Value, sca::pricing::bs::types::Vanna, sca::pricing::bs::types::Vega, and sca::pricing::bs::types::Volga.

Referenced by binary(), putcall(), and putcalltrunc().

dnorm()

static double sca::pricing::bs::dnorm ( double  x )

static

Definition at line 90 of file black_scholes.cxx.

References x.

Referenced by binasset(), bincash(), and putcall().

pnorm()

static double sca::pricing::bs::pnorm ( double  x )

static

Definition at line 95 of file black_scholes.cxx.

References x.

Referenced by binasset(), bincash(), and putcall().

prob_hit()

double sca::pricing::bs::prob_hit	(	double	S,
		double	vol,
		double	mu,
		double	tau,
		double	B1,
		double	B2
	)

Definition at line 878 of file black_scholes.cxx.

References sca::pricing::bs::types::Continuous, sca::pricing::bs::types::Domestic, sca::pricing::bs::types::KnockOut, S, touch(), and sca::pricing::bs::types::Value.

Referenced by ScaPricingAddIn::getOptProbHit().

prob_in_money() [1/2]

double sca::pricing::bs::prob_in_money	(	double	S,
		double	vol,
		double	mu,
		double	tau,
		double	B1,
		double	B2
	)

Definition at line 890 of file black_scholes.cxx.

References binary(), sca::pricing::bs::types::Domestic, S, and sca::pricing::bs::types::Value.

Referenced by ScaPricingAddIn::getOptProbInMoney(), and prob_in_money().

prob_in_money() [2/2]

double sca::pricing::bs::prob_in_money	(	double	S,
		double	vol,
		double	mu,
		double	tau,
		double	K,
		double	B1,
		double	B2,
		types::PutCall	pc
	)

Definition at line 901 of file black_scholes.cxx.

References sca::pricing::bs::types::Call, pc, prob_in_money(), sca::pricing::bs::types::Put, and S.

putcall()

double sca::pricing::bs::putcall	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	K,
		types::PutCall	putcall,
		types::Greeks	greeks
	)

Definition at line 353 of file black_scholes.cxx.

References binasset(), bincash(), sca::pricing::bs::types::Call, sca::pricing::bs::types::Delta, dnorm(), sca::pricing::bs::types::Gamma, log, pnorm(), putcall(), S, and sca::pricing::bs::types::Value.

Referenced by putcall(), putcalltrunc(), and sca::pricing::bs::internal::vanilla().

putcalltrunc() [1/2]

double sca::pricing::bs::putcalltrunc	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	K,
		double	B,
		types::PutCall	pc,
		types::KOType	kotype,
		types::Greeks	greeks
	)

Definition at line 402 of file black_scholes.cxx.

References B, binasset(), bincash(), sca::pricing::bs::types::Call, pc, sca::pricing::bs::types::Put, putcall(), sca::pricing::bs::types::Regular, sca::pricing::bs::types::Reverse, and S.

Referenced by putcalltrunc(), and sca::pricing::bs::internal::vanilla_trunc().

putcalltrunc() [2/2]

double sca::pricing::bs::putcalltrunc	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	K,
		double	B1,
		double	B2,
		types::PutCall	pc,
		types::Greeks	greek
	)

Definition at line 449 of file black_scholes.cxx.

References sca::pricing::bs::types::Call, pc, putcall(), putcalltrunc(), sca::pricing::bs::types::Regular, sca::pricing::bs::types::Reverse, and S.

sqr()

static double sca::pricing::bs::sqr ( double  x )

static

Definition at line 86 of file black_scholes.cxx.

References x.

Referenced by sca::pricing::bs::internal::barrier_ko(), sca::pricing::bs::internal::barrier_term(), binasset(), and bincash().

touch()

double sca::pricing::bs::touch	(	double	S,
		double	vol,
		double	rd,
		double	rf,
		double	tau,
		double	B1,
		double	B2,
		types::ForDom	fd,
		types::BarrierKIO	kio,
		types::BarrierActive	bcont,
		types::Greeks	greek
	)

Definition at line 823 of file black_scholes.cxx.

References sca::pricing::bs::internal::barrier_ko(), sca::pricing::bs::types::Call, sca::pricing::bs::types::Continuous, sca::pricing::bs::types::KnockIn, sca::pricing::bs::types::KnockOut, sca::pricing::bs::types::Maturity, pc, S, sca::pricing::bs::internal::vanilla(), and sca::pricing::bs::internal::vanilla_trunc().

Referenced by barrier(), ScaPricingAddIn::getOptTouch(), and prob_hit().