【BjerkStensPhi】
[code]inputs:AssetPr( numericsimple ),
YearsLeft( numericsimple ),
MyGamma( numericsimple ),
MyH( numericsimple ),
TriggerPr( numericsimple ),
Rate( numericsimple ),
Carry( numericsimple ),
Volty( numericsimple ) ;
variables:
var0( 0 ),
var1( 0 ),
var2( 0 ),
var3( 0 ),
var4( 0 ),
var5( 0 ) ;
var0 = Square( Volty ) ;
var1 = SquareRoot( YearsLeft ) ;
var2 = ( -Rate + MyGamma * Carry + .5 * MyGamma * ( MyGamma - 1 ) * var0 ) * YearsLeft ;
var3 = -( Log( AssetPr / MyH ) + ( Carry + ( MyGamma - .5 ) * var0 ) * YearsLeft ) / ( Volty * var1 ) ;
var4 = 2 * Carry / var0 + 2 * MyGamma - 1 ;
var5 = var3 - 2 * Log( TriggerPr / AssetPr ) / ( Volty * var1 ) ;
BjerkStensPhi = ExpValue( var2 ) * Power( AssetPr, MyGamma ) * ( NormSCDensity( var3 ) - Power( TriggerPr / AssetPr, var4 ) * NormSCDensity( var5 ) ) ;
[/code]
页:
[1]