BlackScholes.h

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#ifndef BLACKSCHOLES_H
#define BLACKSCHOLES_H

#include "../../common/types.h"
#include "../../common/Normals.h"
#include <cmath>

enum TypeOptionBS {
                Call,           //Call type, payoff=(St-K)+
                Put                     //Put type, payoff=(K-St)+
};

class OptionStrategy;

class BlackScholes
{
public:
        BlackScholes(Real spot, Real volOrPrice, bool isVol, Real r, Real K, Real T,TypeOptionBS typeOption);
        BlackScholes();
        virtual ~BlackScholes();
        inline Real getPrice();
        Real getDelta();
        Real getGamma();
        Real getVega();
        Real getTheta();
        Real getRho();
        Real getVolatility() const;
        Real getStrike() const;
        Real getRate() const;
        Real getSpot() const;
        Real getMaturity() const;
        bool isCall() const;

protected:
        friend OptionStrategy;
    void changeRate(Real newRate);
        void changeVol(Real newVol);
        void changeMaturity(Real newMat);
        void changeSpot(Real newSpot);
        void changeStrike(Real newVol);

private:
        void recalcInformation();
        Real _spot,_vol,_r,_K,_T;
        Real d1,d2;
        Real _price;
        TypeOptionBS _type;
};

inline Real BlackScholes::getPrice()
{
        switch (_type) {
                        case Call:
                        default:
                                _price= _spot*CumulativeNormal(d1)-_K*exp(-_r*_T)*CumulativeNormal(d2);
                                break;
                        case Put:
                                _price= _K*exp(-_r*_T)*CumulativeNormal(-d2)-_spot*CumulativeNormal(-d1);
                                break;
        }
        return _price;
}

#endif

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