OptionStrategy.h

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#pragma once

#ifndef OPTIONSTRATEGY_H
#define OPTIONSTRATEGY_H

#include "BlackScholes.h"
#include "../../common/types.h"

#include <valarray>

using namespace std;

static const Natural maxNbOptions=500;
static const Real defaultshiftRate=0.0001;
static const Real defaultshiftVol=0.0001;
static const Real defaultshiftMat=0.01; // 1/100 of a year
static const Real defaultshiftSpot=0.0001;
static const Real defaultshiftStrike=0.0001;

class OptionStrategy
{
        friend ostream& operator << (ostream &os, const OptionStrategy& optionStrategy);
        friend ostream& operator << (ostream &os, const OptionStrategy* optionStrategy) {
                return os << *optionStrategy;
        }

public:
        OptionStrategy();
        ~OptionStrategy();
        void addOneOptionToStrategy(Real spot, Real vol,bool isVol, Real r, Real K, Real T,TypeOptionBS type,Real Quantity);
        void addOneBlackScholesObject(BlackScholes* bs,Real Quantity);

        void addLongCallSpread(Real spot,Real volStrike1,bool isVol1,Real volStrike2,bool isVol2,Real r, Real K1, Real K2, Real T,Real Quantity);
        void addLongStraddle(Real spot,Real vol,bool isVol, Real r, Real K, Real T,Real Quantity);
        void addLongStrangle(Real spot,Real volStrike1,bool isVol1,Real volStrike2,bool isVol2,Real r, Real K1, Real K2, Real T,Real Quantity);
        void addLongButterflySpread(Real spot,Real volStrike1,bool isVol1,Real volStrike2,bool isVol2,Real volStrike3,bool isVol3, Real r, Real K1, Real K2, Real T,Real Quantity);
        void addLongButterflySpread(Real spot,Real volStrike1,bool isVol1,Real volStrike2,bool isVol2,Real volStrike3,bool isVol3, Real r, Real K1, Real K2, Real K3, Real T,Real Quantity);
        void addLongRatioCallSpread(Real spot,Real volStrike1,bool isVol1,Real volStrike2,bool isVol2, Real r, Real K1, Real K2, Real T,Real Quantity);
        void addLongPutSpread(Real spot,Real volStrike1,bool isVol1,Real volStrike2,bool isVol2,Real r, Real K1, Real K2, Real T,Real Quantity);

        Real getGlobalDelta();
        Real getGlobalGamma();
        Real getGlobalVega();
        Real getGlobalTheta();
        Real getGlobalRho();

        Real returnPrice();
        Real recalcPrice();
        Natural returnNbOptions() const;

        BlackScholes* returnOption(Natural i) const;

        Real returnOptionQuantity(Natural i) const;

        void changeRate(Real addConstant=defaultshiftRate);

        void changeVol(Real addConstant=defaultshiftVol);

        void changeMaturity(Real addConstant=defaultshiftMat);

        void changeSpot(Real addConstant=defaultshiftSpot);

        void changeStrike(Real addConstant=defaultshiftStrike);

private:
        Real _price;
        Natural _nbOptions;
        valarray <BlackScholes*> _insideOptions;
        valarray <Real> _insideQuantities;
};

#endif

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