mirror of
https://github.com/plasma-umass/coz.git
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142 lines
3.7 KiB
Diff
142 lines
3.7 KiB
Diff
8a9
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> #include <causal.h>
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84,87d84
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< fptype OutputX;
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< fptype xInput;
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< fptype xNPrimeofX;
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< fptype expValues;
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89,92d85
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< fptype xK2_2, xK2_3;
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< fptype xK2_4, xK2_5;
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< fptype xLocal, xLocal_1;
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< fptype xLocal_2, xLocal_3;
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96,129c89,95
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< InputX = -InputX;
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< sign = 1;
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< } else
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< sign = 0;
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<
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< xInput = InputX;
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<
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< // Compute NPrimeX term common to both four & six decimal accuracy calcs
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< expValues = exp(-0.5f * InputX * InputX);
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< xNPrimeofX = expValues;
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< xNPrimeofX = xNPrimeofX * inv_sqrt_2xPI;
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<
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< xK2 = 0.2316419 * xInput;
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< xK2 = 1.0 + xK2;
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< xK2 = 1.0 / xK2;
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< xK2_2 = xK2 * xK2;
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< xK2_3 = xK2_2 * xK2;
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< xK2_4 = xK2_3 * xK2;
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< xK2_5 = xK2_4 * xK2;
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<
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< xLocal_1 = xK2 * 0.319381530;
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< xLocal_2 = xK2_2 * (-0.356563782);
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< xLocal_3 = xK2_3 * 1.781477937;
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< xLocal_2 = xLocal_2 + xLocal_3;
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< xLocal_3 = xK2_4 * (-1.821255978);
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< xLocal_2 = xLocal_2 + xLocal_3;
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< xLocal_3 = xK2_5 * 1.330274429;
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< xLocal_2 = xLocal_2 + xLocal_3;
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<
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< xLocal_1 = xLocal_2 + xLocal_1;
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< xLocal = xLocal_1 * xNPrimeofX;
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< xLocal = 1.0 - xLocal;
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<
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< OutputX = xLocal;
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---
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> InputX = -InputX;
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> sign = 1;
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> } else {
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> sign = 0;
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> }
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>
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> xK2 = 1.0 / (1.0 + 0.2316419 * InputX);
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132c98,100
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< OutputX = 1.0 - OutputX;
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---
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> return (0.319381530*xK2 - 0.356563782*xK2*xK2 + 1.781477937*xK2*xK2*xK2 - 1.821255978*xK2*xK2*xK2*xK2 + 1.330274429*xK2*xK2*xK2*xK2*xK2) * exp(-0.5f * InputX * InputX) * inv_sqrt_2xPI;
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> } else {
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> return 1.0 - (0.319381530*xK2 - 0.356563782*xK2*xK2 + 1.781477937*xK2*xK2*xK2 - 1.821255978*xK2*xK2*xK2*xK2 + 1.330274429*xK2*xK2*xK2*xK2*xK2) * exp(-0.5f * InputX * InputX) * inv_sqrt_2xPI;
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134,135d101
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<
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< return OutputX;
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151,152d116
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< fptype OptionPrice;
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<
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154,162d117
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< fptype xStockPrice;
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< fptype xStrikePrice;
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< fptype xRiskFreeRate;
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< fptype xVolatility;
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< fptype xTime;
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< fptype xSqrtTime;
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<
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< fptype logValues;
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< fptype xLogTerm;
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165,178c120
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< fptype xPowerTerm;
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< fptype xDen;
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< fptype d1;
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< fptype d2;
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< fptype FutureValueX;
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< fptype NofXd1;
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< fptype NofXd2;
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< fptype NegNofXd1;
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< fptype NegNofXd2;
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<
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< xStockPrice = sptprice;
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< xStrikePrice = strike;
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< xRiskFreeRate = rate;
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< xVolatility = volatility;
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---
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> fptype xDen;
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180,181c122
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< xTime = time;
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< xSqrtTime = sqrt(xTime);
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---
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> xD1 = (rate + volatility * volatility * 0.5) * time + log( sptprice / strike );
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183,195c124
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< logValues = log( sptprice / strike );
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<
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< xLogTerm = logValues;
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<
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<
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< xPowerTerm = xVolatility * xVolatility;
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< xPowerTerm = xPowerTerm * 0.5;
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<
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< xD1 = xRiskFreeRate + xPowerTerm;
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< xD1 = xD1 * xTime;
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< xD1 = xD1 + xLogTerm;
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<
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< xDen = xVolatility * xSqrtTime;
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---
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> xDen = volatility * sqrt(time);
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198,205c127
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<
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< d1 = xD1;
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< d2 = xD2;
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<
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< NofXd1 = CNDF( d1 );
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< NofXd2 = CNDF( d2 );
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<
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< FutureValueX = strike * ( exp( -(rate)*(time) ) );
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---
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>
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207c129
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< OptionPrice = (sptprice * NofXd1) - (FutureValueX * NofXd2);
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---
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> return (sptprice * CNDF( xD1 )) - (strike * ( exp( -(rate)*(time) ) ) * CNDF( xD2 ));
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209,211c131
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< NegNofXd1 = (1.0 - NofXd1);
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< NegNofXd2 = (1.0 - NofXd2);
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< OptionPrice = (FutureValueX * NegNofXd2) - (sptprice * NegNofXd1);
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---
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> return (strike * ( exp( -(rate)*(time) ) ) * (1.0 - CNDF( xD1 ))) - (sptprice * (1.0 - CNDF( xD2 )));
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213,214d132
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<
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< return OptionPrice;
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256a175
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> CAUSAL_PROGRESS;
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