examples_cc.rar_C 期权定价_discount factor_visual c_期权定价 C_金融 证券

// file: fin_recipes.h // author: Bernt Arne Oedegaard // defines all routines in the financial numerical recipes "book" #ifndef _FIN_RECIPES_H_ #define _FIN_RECIPES_H_ #include <vector> #include <cmath> using namespace std; ///////// present value //////////////////////////////////// // discrete coumpounding ///////////////////////////////// // discrete, annual compounding double cash_flow_pv_discrete ( const vector<double>& cflow_times, const vector<double>& cflow_amounts, const double& r); double cash_flow_irr_discrete(const vector<double>& cflow_times, const vector<double>& cflow_amounts); bool cash_flow_unique_irr(const vector<double>& cflow_times, const vector<double>& cflow_amounts); double bonds_price_discrete(const vector<double>& cashflow_times, const vector<double>& cashflows, const double& r); double bonds_yield_to_maturity_discrete(const vector<double>& times, const vector<double>& amounts, const double& bondprice); double bonds_duration_discrete(const vector<double>& times, const vector<double>& cashflows, const double& r); double bonds_duration_macaulay_discrete(const vector<double>& cashflow_times, const vector<double>& cashflows, const double& bond_price); double bonds_duration_modified_discrete (const vector<double>& times, const vector<double>& amounts, const double& bond_price); double bonds_convexity_discrete(const vector<double>& cflow_times, const vector<double>& cflow_amounts, const double& r); ///////////////////////////////// // continous compounding. double cash_flow_pv(const vector<double>& cflow_times,const vector<double>& cflow_amounts,const double& r); double cash_flow_irr(const vector<double>& cflow_times, const vector<double>& cflow_amounts); double bonds_price(const vector<double>& cashflow_times, const vector<double>& cashflows, const double& r); double bonds_price(const vector<double>& coupon_times, const vector<double>& coupon_amounts, const vector<double>& principal_times, const vector<double>& principal_amounts, const double& r); double bonds_duration(const vector<double>& cashflow_times, const vector<double>& cashflows, const double& r); double bonds_yield_to_maturity(const vector<double>& cashflow_times,const vector<double>& cashflow_amounts, const double& bondprice); double bonds_duration_macaulay(const vector<double>& cashflow_times, const vector<double>& cashflows, const double& bond_price); double bonds_convexity(const vector<double>& cashflow_times, const vector<double>& cashflow_amounts, const double& y ); /// term structure basics double term_structure_yield_from_discount_factor(const double& dfact, const double& t); double term_structure_discount_factor_from_yield(const double& r, const double& t); double term_structure_forward_rate_from_discount_factors(const double& d_t1, const double& d_t2, const double& time); double term_structure_forward_rate_from_yields(const double& r_t1, const double& r_t2, const double& t1, const double& t2); double term_structure_yield_linearly_interpolated(const double& time, const vector<double>& obs_times, const vector<double>& obs_yields); // a term structure class class term_structure_class { public: virtual ~term_structure_class(); virtual double r(const double& t) const; // short rate, yield on zero coupon bond virtual double d(const double& t) const; // discount_factor virtual double f(const double& t1, const double& t2) const; // forward_rate }; class term_structure_class_flat : public term_structure_class { private: double R_; // interest rate public: term_structure_class_flat(const double& r); virtual ~term_structure_class_flat(); virtual double r(const double& t) const; void set_int_rate(const double& r); }; class term_structure_class_interpolated : public term_structure_class { private: vector<double> times_; // use to keep a list of yields vector<double> yields_; void clear(); public: term_structure_class_interpolated(); term_structure_class_interpolated(const vector<double>& times, const vector<double>& yields); virtual ~term_structure_class_interpolated(); term_structure_class_interpolated(const term_structure_class_interpolated&); term_structure_class_interpolated operator= (const term_structure_class_interpolated&); int no_observations() const { return times_.size(); }; virtual double r(const double& T) const; void set_interpolated_observations(vector<double>& times, vector<double>& yields); }; // using the term structure classes double bonds_price(const vector<double>& cashflow_times, const vector<double>& cashflows, const term_structure_class& d); double bonds_duration(const vector<double>& cashflow_times, const vector<double>& cashflow_amounts, const term_structure_class& d); double bonds_convexity(const vector<double>& cashflow_times, const vector<double>& cashflow_amounts, const term_structure_class& d); //// Futures pricing double futures_price(const double& S, const double& r, const double& time_to_maturity); /// Binomial option pricing // one periode binomial double option_price_call_european_binomial_single_period( const double& S, const double& K, const double& r, const double& u, const double& d); // multiple periode binomial double option_price_call_european_binomial_multi_period_given_ud( const double& S, const double& K, const double& r, const double& u, const double& d, const int& no_periods); // multiple periode binomial vector< vector<double> > binomial_tree(const double& S0, const double& u,const double& d, const int& no_steps); /// Black Scholes formula ////////////////////////////////////////// double option_price_call_black_scholes(const double& S, const double& K, const double& r, const double& sigma, const double& time) ; double option_price_put_black_scholes (const double& S, const double& K, const double& r, const double& sigma, const double& time) ; double option_price_implied_volatility_call_black_scholes_newton( const double& S, const double& K, const double& r, const double& time, const double& option_price); double option_price_implied_volatility_call_black_scholes_bisections( const double& S, const double& K, const double& r, const double& time, const double& option_price); double option_price_delta_call_black_scholes(const double& S, const double& K, const double& r, const double& sigma, const double& time); double option_price_delta_put_black_scholes (const double& S, const double& K, const double& r, const double& sigma, const double& time); void option_price_partials_call_black_scholes(const double& S, const double& K, const double& r, const double& sigma, const double& time, double& Delta, double& Gamma, double& Theta, double& Vega, double& Rho); void option_price_partials_put_black_scholes(const double& S, const double& K, const double& r, const double& sigma, const double& time, double& Delta, double& Gamma, double& Theta, double& Vega, double& Rho); /// warrant price double warrant_price_adjusted_black_scholes(const double& S, const double& K, const double& r, const double& sigma, const double& time, const double& no_warrants_outstanding, const double& no_shares_outstanding); double warrant_price_adjusted_black_scholes(const double& S, const double& K, const double& r, const double& q, const double& sigma, const double& time, const double& no_warrants_outstanding, const double& no_shares_outstanding); /// Extensions of the Black Scholes model ////////////// double option_price_europe