blackscholes.EuropeanCall.java Source code

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Here is the source code for blackscholes.EuropeanCall.java

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/*
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package blackscholes;

import org.apache.commons.math3.distribution.NormalDistribution;

/*
/ * @author DrChin
 */
public class EuropeanCall extends BlackScholesBase {

    private double b = 0.0;

    public EuropeanCall(double _sigma, double _r, double _X, double _S, double _T) {
        OptionName = "European Call";
        sigma = _sigma;
        r = _r;
        S = _S;
        X = _X;
        T = _T;
    }

    public EuropeanCall(double _sigma, double _r, double _X, double _S, double _T, double _b) {
        OptionName = "modified European Call";
        sigma = _sigma;
        r = _r;
        S = _S;
        X = _X;
        T = _T;
        b = _b;
    }

    public double ValuationMethod() {
        NormalDistribution N = new NormalDistribution();
        double _b = r - b;
        double d1 = (Math.log(S / X) + (b + 0.5 * Math.pow(sigma, 2)) * T) / (sigma * Math.sqrt(T));
        double d2 = d1 - sigma * Math.sqrt(T);

        double Nd1 = N.cumulativeProbability(d1);
        double Nd2 = N.cumulativeProbability(d2);
        return S * Nd1 - X * Nd2 * Math.exp((b - r) * T);
    }
}