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Changes in progress, added calculations for FinDiff greeks

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Kevin Keogh
2017-07-24 22:58:41 -04:00
parent 58d17adfa2
commit 15d750abf1
7 changed files with 186 additions and 99 deletions
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22
src/black_scholes.c
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@@ -5,20 +5,22 @@
#include <math.h>
#include <time.h>
double bsm(double spot, double rfr, double vol, double strike,
struct tm expiry, struct tm value, int type)
void bsm(struct Option *opt)
{
double d1, d2, tte, price;
time_t value_date, expiry_date;
expiry_date = mktime(&expiry);
value_date = mktime(&value);
expiry_date = mktime(opt->expiry_date);
value_date = mktime(opt->value_date);
tte = difftime(expiry_date, value_date) / (60 * 60 * 24 * 365);
d1 = log(spot / strike) + tte * (rfr + pow(vol, 2) / 2)
/ (vol * pow(tte, 0.5));
d2 = d1 - (vol * pow(tte, 0.5));
price = spot * normalcdf(d1 * type) * type -
strike * exp(-rfr * tte) * normalcdf(d2 * type) * type;
return price;
d1 = (log(opt->spot / opt->strike) + tte * (opt->rfr + pow(opt->vol, 2) / 2))
/ (opt->vol * pow(tte, 0.5));
d2 = d1 - (opt->vol * pow(tte, 0.5));
price = opt->spot * normalcdf(d1 * opt->type) * opt->type - opt->strike *
exp(-opt->rfr * tte) * normalcdf(d2 * opt->type) * opt->type;
opt->fv = price;
opt->vega = opt->spot * exp(-opt->rfr * tte) * pow(tte, 0.5) * normalpdf(d1);
}