kevindkeogh/opt-pricer
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Changes in progress, added calculations for FinDiff greeks

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This commit is contained in:
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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172
src/opt-pricer.c
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@@ -2,6 +2,7 @@
#include "black_scholes.h"
#include "gbm_mc.h"
#include "utils.h"
#ifdef __MINGW32__
#include "strptime.h"
@@ -21,25 +22,25 @@ struct helptext {
static struct helptext options[] = {
{"-s, --spot",
"Spot price"},
"Spot price"},
{"-k, --strike",
"Strike price"},
"Strike price"},
{"-r, --rfr",
"Risk-free rate"},
"Risk-free rate"},
{"-v, --implied-volatility",
"Implied volatility"},
"Implied volatility"},
{"-d, --effective-date",
"Effective date [YYYY-MM-DD]"},
"Effective date [YYYY-MM-DD]"},
{"-e, --expiry-date",
"Expiry date [YYYY-MM-DD]"},
"Expiry date [YYYY-MM-DD]"},
{"-N",
"Number of MC simulations"},
"Number of MC simulations"},
{"-c, --call",
"Call flag"},
"Call flag"},
{"-p, --put",
"Put or call flag"},
"Put or call flag"},
{"-h, --help",
"This help text"},
"This help text"},
{ NULL , NULL }
};
@@ -72,59 +73,59 @@ int print_help(void)
int main(int argc, char *argv[])
{
double spot = 0, strike = 0, rfr = 0, vol = 0, sims = 1000;
double bs_price, mc_price;
char expiry_date[11], buffer[512];
char expiry_date[11], value_date[11], buffer[1024];
int opt, option_index = 0, type = 0;
struct tm expiry, value;
struct tm value, expiry;
struct Option bs_opt, mc_opt;
extern char *optarg;
extern int getopt();
extern char *optarg;
extern int getopt_long();
memset(&expiry, 0, sizeof(expiry));
memset(&value, 0, sizeof(value));
while ((opt = getopt_long(argc, argv, "s:k:r:v:d:e:N:cp:h", long_options, &option_index)) != -1) {
switch (opt) {
case 's':
if (sscanf(optarg, "%lf", &spot) == EOF) {
return 1;
};
break;
case 'k': /* strike */
if (sscanf(optarg, "%lf", &strike) == EOF) {
return 1;
};
break;
case 'r': /* risk-free rate */
if (sscanf(optarg, "%lf.", &rfr) == EOF) {
return 1;
};
break;
case 'v': /* implied volatility */
if (sscanf(optarg, "%lf", &vol) == EOF) {
return 1;
};
break;
case 'e': /* expiry date, must be YYYY-MM-DD */
strptime(optarg, "%Y-%m-%d", &expiry);
break;
case 'd': /* valuation date, must be YYYY-MM-DD */
strptime(optarg, "%Y-%m-%d", &value);
break;
case 'N': /* number of simulations */
if (sscanf(optarg, "%lf", &sims) == EOF) {
return 1;
};
break;
case 'c': /* set as call */
type = 1;
break;
case 'p': /* set as put */
type = -1;
break;
case 'h': /* print help*/
print_help();
return 0;
case 's':
if (sscanf(optarg, "%lf", &spot) == EOF) {
return 1;
};
break;
case 'k': /* strike */
if (sscanf(optarg, "%lf", &strike) == EOF) {
return 1;
};
break;
case 'r': /* risk-free rate */
if (sscanf(optarg, "%lf.", &rfr) == EOF) {
return 1;
};
break;
case 'v': /* implied volatility */
if (sscanf(optarg, "%lf", &vol) == EOF) {
return 1;
};
break;
case 'e': /* expiry date, must be YYYY-MM-DD */
strptime(optarg, "%Y-%m-%d", &expiry);
break;
case 'd': /* valuation date, must be YYYY-MM-DD */
strptime(optarg, "%Y-%m-%d", &value);
break;
case 'N': /* number of simulations */
if (sscanf(optarg, "%lf", &sims) == EOF) {
return 1;
};
break;
case 'c': /* set as call */
type = 1;
break;
case 'p': /* set as put */
type = -1;
break;
case 'h': /* print help*/
print_help();
return 0;
}
}
if (spot == 0 || strike == 0 || rfr == 0 || vol == 0) {
@@ -132,19 +133,56 @@ int main(int argc, char *argv[])
return 1;
}
bs_opt.spot = spot;
bs_opt.strike = strike;
bs_opt.expiry_date = &expiry;
bs_opt.value_date = &value;
bs_opt.rfr = rfr;
bs_opt.vol = vol;
bs_opt.type = type;
mc_opt.spot = spot;
mc_opt.strike = strike;
mc_opt.expiry_date = &expiry;
mc_opt.value_date = &value;
mc_opt.rfr = rfr;
mc_opt.vol = vol;
mc_opt.type = type;
mc_opt.sims = sims;
strftime(expiry_date, 11, "%Y-%m-%d", &expiry);
bs_price = bsm(spot, rfr, vol, strike, expiry, value, type);
mc_price = gbm(spot, rfr, vol, strike, expiry, value, type, sims);
sprintf(&buffer[0], "Arguments:\n"
"spot: %f\n"
"strike: %f\n"
"rfr: %f\n"
"vol: %f\n"
"sims: %f\n"
"exp: %s\n"
"BS price: %f\n"
"MC price: %f\n",
spot, strike, rfr, vol, sims, expiry_date, bs_price, mc_price);
strftime(value_date, 11, "%Y-%m-%d", &value);
bsm(&bs_opt);
gbm(&mc_opt);
sprintf(&buffer[0],
"\nValuation date: %s\n\n"
" | BS Analytic | BS Monte Carlo |\n"
" ---------------------------------------------\n"
" |Type: | %10.1i | %13.1i |\n"
" |Spot: | %10.2f | %13.2f |\n"
" |Strike: | %10.2f | %13.2f |\n"
" |Risk-free: | %10.2f%% | %13.2f%% |\n"
" |Implied Vol:| %10.2f%% | %13.2f%% |\n"
/*
" |sims: | %4.2f| %4.2f|\n"
" |exp: | %4.2s| %4.2f|\n"
*/
" |Fair value: | %10.2f | %13.2f |\n"
" |Delta: | %10.2f | %13.2f |\n"
" |Vega: | %10.2f | %13.2f |\n"
" |Theta: | %8.4f | %11.4f |\n"
" |Rho : | %8.4f | %11.4f |\n\n",
value_date,
bs_opt.type, mc_opt.type,
bs_opt.spot, mc_opt.spot,
bs_opt.strike, mc_opt.strike,
bs_opt.rfr*100, mc_opt.rfr*100,
bs_opt.vol*100, mc_opt.vol*100,
bs_opt.fv, mc_opt.fv,
bs_opt.delta, mc_opt.delta,
bs_opt.vega, mc_opt.vega,
bs_opt.theta, mc_opt.theta,
bs_opt.rho, mc_opt.rho);
printf("%s", buffer);
return 0;
}