00001 #include "../PartA/BlackScholes/OptionStrategy.h"
00002 #include "../PartA/BlackScholes/BlackScholes.h"
00003 #include <iostream>
00004
00005 bool mainoption(void) {
00006
00007 double spot=100,strike=110,vol=0.2,mat=1.,rate=0.02;
00008 LongNatural nPaths=1000000,nDates=1;
00009 BlackScholes BS=BlackScholes(spot,vol,true,rate,strike,mat,Call);
00010 cout<<"B-S price"<<endl;
00011 cout<<BS.getPrice()<<endl;
00012 cout<<"B-S delta"<<endl;
00013 cout<<BS.getDelta()<<endl;
00014 cout<<"B-S gamma"<<endl;
00015 cout<<BS.getGamma()<<endl;
00016 cout<<"B-S vega"<<endl;
00017 cout<<BS.getVega()<<endl;
00018 cout<<"B-S theta"<<endl;
00019 cout<<BS.getTheta()<<endl;
00020 cout<<"B-S rho"<<endl;
00021 cout<<BS.getRho()<<endl;
00022 cout<<"B-S vol"<<endl;
00023 cout<<BS.getVolatility()<<endl;
00024 }
00025
00026 bool mainoptionstrategy(void) {
00027
00028 double spot=100,strike1=90,strike2=110,vol1=0.2,vol2=0.22,vol3=0.21,mat=1.,rate=0.02;
00029 OptionStrategy Strategy=OptionStrategy();
00030 Strategy.addLongButterflySpread(spot,vol1,true,vol2,true,vol3,true,rate,strike1,strike2,mat,10);
00031 cout<<"Price of Butterfly"<<endl;
00032 cout<<Strategy.returnPrice()<<endl;
00033 cout<<"Delta of Butterfly"<<endl;
00034 cout<<Strategy.getGlobalDelta()<<endl;
00035 return false;
00036 }