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【OS_Binomial】
[code]inputs:AssetPr( numeric ),
StrikePr( numeric ),
Volty( numeric ),
DaysToExp( numeric ),
IntRate( numeric ),
Carry( numeric ),
OptType( numeric ),
EuroAmer01( numeric ),
Branches( numeric ),
oBinoTV( numericref ) ;
variables:
var0( 0 ),
var1( 0 ),
var2( 0 ),
var3( 0 ),
var4( 0 ),
var5( 0 ),
var6( 0 ),
var7( 0 ),
var8( 0 ),
var9( 0 ),
var10( 1 / 365 ),
var11( false ),
var12( 0 ),
var13( 0 ),
var14( 0 ) ;
arrays:
arr0[201]( 0 ) ;
if AssetPr > 0
and StrikePr > 0
and Volty > 0
and DaysToExp > 0
and IntRate > 0
and Carry > 0
then
begin
var9 = DaysToExp * var10 ;
var12 = 1 ;
var13 = Branches ;
if var13 > 200 then
var13 = 200 ;
if var13 < 5 then
var13 = 5 ;
var11 = true ;
if OptType = Call then
var8 = 1
else
var8 = -1 ;
var4 = var9 / var13 ;
if var4 > 0 then
var1 = ExpValue( Volty * SquareRoot( var4 ) ) ;
if var1 <> 0 then
var2 = 1 / var1 ;
var0 = ExpValue( Carry * var4 ) ;
if var1-var2 <> 0 then
var3 = ( var0 - var2 ) / ( var1 - var2 ) ;
var5 = ExpValue( -IntRate * var4 ) ;
for var6 = 0 to var13
begin
arr0[var6] = MaxList( 0,
var8 * ( AssetPr * Power( var1, var6 ) * Power( var2, var13 - var6 ) - StrikePr ) ) ;
end ;
if EuroAmer01 = 0 then
begin
for var7 = var13 - 1 downto 0
begin
for var6 = 0 to var7
begin
arr0[var6] = ( var3 * arr0[ var6 + 1 ] + ( 1 - var3 )
* arr0[var6] ) * var5 ;
end ;
end ;
end
else if EuroAmer01 = 1 then
begin
for var7 = var13 - 1 downto 0
begin
for var6 = 0 to var7
begin
Value1 = var8 * ( AssetPr * Power( var1, var6 ) *
Power( var2, AbsValue( var6 - var7 ) ) - StrikePr ) ;
Value2 = ( var3 * arr0[ var6 + 1 ] + ( 1 - var3 ) * arr0[var6] )
* var5 ;
arr0[var6] = MaxList( Value1, Value2 ) ;
end ;
end ;
end ;
var14 = arr0[ 0 ] ;
condition1 = OptType = Put and var14 > StrikePr ;
if condition1 then
var14 = StrikePr ;
condition1 = var14 < OS_Intrinsic( AssetPr, OptType, StrikePr ) ;
if condition1 then
var14 = OS_Intrinsic( AssetPr, OptType, StrikePr ) ;
oBinoTV = var14 ;
end ;
condition1 = var12 = 0 and DaysToExp >= 0 ;
if condition1 then
oBinoTV = OS_Intrinsic( AssetPr, OptType, StrikePr ) ;
if var11 then
OS_Binomial = 0
else
OS_Binomial = -1 ;
[/code]
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