com.qaant.optionModels.QBlackScholes.java Source code

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Here is the source code for com.qaant.optionModels.QBlackScholes.java

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package com.qaant.optionModels;

import com.qaant.Qinterfaces.QOptionable;
import org.apache.commons.math3.distribution.NormalDistribution;
import com.qaant.structures.Qunderlying;

/**
 *
 * @author pseoane Modelo OK, chequeado valores aca: http://www.math.drexel.edu/~pg/fin/VanillaCalculator.html
 */
public class QBlackScholes extends QAbstractModel implements QOptionable {

    static {
        modelMap.put(1, "Black Scholes -QAANT");
    }

    public QBlackScholes() {
        super();
    }

    public QBlackScholes(Qunderlying und, char callPut, double strike, double daysToExpiration, double rate,
            double optionMktValue) {
        super(und, callPut, strike, daysToExpiration, rate, optionMktValue);
    }

    public QBlackScholes(char tipoContrato, double underlyingValue, double underlyingHistVolatility,
            double dividendRate, char callPut, double strike, double daysToExpiration, double rate,
            double optionMktValue) {
        super(tipoContrato, underlyingValue, underlyingHistVolatility, dividendRate, callPut, strike,
                daysToExpiration, rate, optionMktValue);
    }

    @Override
    //public void runModel(){
    public void run() {

        pModelName = "Black-Scholes QAANT";
        modelNumber = 1;
        tipoEjercicio = EUROPEAN;
        //

        double q = (tipoContrato == STOCK) ? dividendRate : rate;
        //q: si es una accion q es el dividendo, si es un futuro q se toma la rate para descontar el valor futr a presente 
        //Se hace este reemplazo para poder usar la misma form en STOCK y FUTURO

        //drift=Math.exp((q-rate)*dayYear);
        double drift = (tipoContrato == 'F') ? z : 1;
        double x = (tipoContrato == 'F') ? 1 : 0;

        double d1 = (Math.log(underlyingNPV / strike) + dayYear * (rate - q + volatModel * volatModel / 2))
                / (volatModel * sqrDayYear);
        double d2 = d1 - volatModel * sqrDayYear;

        double CNDFd1 = new NormalDistribution().cumulativeProbability(d1);
        double CNDFd2 = new NormalDistribution().cumulativeProbability(d2);
        double PDFd1 = new NormalDistribution().density(d1);

        //gamma y vega son iguales para call y put

        gamma = PDFd1 * drift / (underlyingNPV * volatModel * sqrDayYear);
        vega = underlyingNPV * drift * sqrDayYear * PDFd1 / 100;

        switch (callPut) {

        case CALL:
            prima = underlyingValue * Math.exp(-q * dayYear) * CNDFd1 - z * strike * CNDFd2;
            delta = Math.exp(-q * dayYear) * CNDFd1;
            theta = (-(underlyingNPV * drift * volatModel * PDFd1 / (2 * sqrDayYear)) - strike * 1 * rate * CNDFd2)
                    / (365);

            rho = z * dayYear * (strike * CNDFd2 - x * underlyingNPV * CNDFd1) / 100;
            break;

        case PUT:
            double CNDF_d1 = new NormalDistribution().cumulativeProbability(-d1);
            double CNDF_d2 = new NormalDistribution().cumulativeProbability(-d2);

            prima = -underlyingValue * Math.exp(-q * dayYear) * CNDF_d1 + z * strike * CNDF_d2;
            delta = Math.exp(-q * dayYear) * (CNDFd1 - 1);
            theta = (-(underlyingNPV * drift * volatModel * PDFd1 / (2 * sqrDayYear)) + strike * 1 * rate * CNDF_d2)
                    / 365;
            rho = -z * dayYear * (strike * CNDF_d2 - x * underlyingNPV * CNDF_d1) / 100;
            break;

        default:
            prima = delta = gamma = theta = rho = 0;
            break;

        }//end switch

    }

    @Override
    protected double modelGetPrima(double volForLambda) {
        return new QBlackScholes(tipoContrato, underlyingValue, volForLambda, dividendRate, callPut, strike,
                daysToExpiration, rate, -1).getPrima();
    }
}