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【OptionsComplex】
[code]inputs:MyAssetType( numericsimple ),
DaysLeft( numericsimple ),
StrikePr( numericsimple ),
AssetPr( numericsimple ),
Rate100( numericsimple ),
Yield100( numericsimple ),
ForeignRate100( numericsimple ),
Volty100( numericsimple ),
PutCall( numericsimple ),
EuroAmer01( numericsimple ),
oOptPriceValue( numericref ),
oDelta( numericref ),
oGamma( numericref ),
oVega( numericref ),
oTheta( numericref ),
oRho( numericref ) ;
variables:
var0( false ),
var1( 0 ),
var2( 0 ),
var3( 0 ),
var4( 0 ),
var5( 0 ),
var6( 0 ),
var7( 0 ),
var8( 0 ),
var9( 0 ),
var10( 0 ),
var11( 0 ),
var12( 0 ),
var13( 0 ),
var14( 0 ),
var15( 0 ) ;
var0 = ( MyAssetType <> 1 and MyAssetType <> 2 and MyAssetType <> 3 and
MyAssetType <> 4 ) or StrikePr <= 0 or Volty100 <= 0 or ( PutCall <> 2 and
PutCall <> 3 ) ;
condition1 = var0 or AssetPr <= 0 or DaysLeft <= 0 ;
if condition1 then
begin
oOptPriceValue = 0 ;
oDelta = 0 ;
oGamma = 0 ;
oVega = 0 ;
oTheta = 0 ;
oRho = 0 ;
if var0 = false then
begin
if DaysLeft <= 0 then
begin
if PutCall = 3 and StrikePr <= AssetPr then
oDelta = 1
else if PutCall = 2 and StrikePr >= AssetPr then
oDelta = -1 ;
oOptPriceValue = OS_Intrinsic( AssetPr, PutCall, StrikePr ) ;
end ;
if AssetPr = 0 and PutCall = 2 then
oOptPriceValue = StrikePr ;
end ;
OptionsComplex = -1 ;
end
else
begin
var1 = Rate100 * 0.01 ;
var3 = Yield100 * 0.01 ;
var4 = ForeignRate100 * 0.01 ;
if MyAssetType = 1 then
var5 = var1
else if MyAssetType = 2 then
var5 = var1 - var3
else if MyAssetType = 3 then
var5 = 0
else if MyAssetType = 4 then
var5 = var1 - var4 ;
var2 = Volty100 * 0.01 ;
var6 = DaysLeft * 0.002739726027 ;
var7 = SquareRoot( var6 ) ;
var8 = var2 * var7 ;
var9 = StrikePr * ExpValue( -var1 * var6 ) ;
var10 = ExpValue( ( var5 - var1 ) * var6 ) ;
var11 = ( Log( AssetPr / StrikePr ) + ( var5 + Power( var2, 2 ) / 2 ) * var6 )
/ var8 ;
var12 = ExpValue( -Square( var11 ) * 0.5 ) * 0.398942280407 ;
var13 = NormSCDensity( var11 ) ;
var14 = var11 - var8 ;
var15 = NormSCDensity( var14 ) ;
if PutCall = 3 then
begin
oOptPriceValue = var13 * AssetPr * var10 - var15 * var9 ;
oDelta = var13 * var10 ;
oTheta = ( -var12 * AssetPr * var2 * var10 / ( 2 * var7 ) - var13
* ( var5 - var1 ) * AssetPr * var10 - var15 * var1 * var9 )
* 0.002739726027 ;
oRho = var15 * var6 * var9 * 0.01 ;
end
else if PutCall = 2 then
begin
if EuroAmer01 = 0 then
oOptPriceValue = ( var13 - 1 ) * AssetPr * var10 + ( 1 - var15 ) * var9
else if EuroAmer01 = 1 then
oOptPriceValue = BjerkStensCall( StrikePr, AssetPr, var6, var1 - var5,
-var5, var2 ) ;
oDelta = ( var13 - 1 ) * var10 ;
oTheta = ( -var12 * AssetPr * var2 * var10 / ( 2 * var7 ) + ( 1 - var13 )
* ( var5 - var1 ) * AssetPr * var10 + ( 1 - var15 ) * var1 * var9 )
* 0.002739726027 ;
oRho = ( var15 - 1 ) * var6 * var9 * 0.01 ;
end ;
oGamma = ( var12 * var10 ) / ( AssetPr * var8 ) ;
oVega = var12 * AssetPr * var7 * var10 * 0.01 ;
OptionsComplex = 1 ;
end ;
[/code]
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