General financial engineering objects. More...

Modules
	Grid Ranges
	Object helping in construction of FDM problem for option pricing.

	Financial options
	Options and pricer factories.

Classes
class	marian::FDMPricer
	Class implements algorithm solving pricing PDE. More...

struct	marian::Market
	Data structure holding the market data. More...

Functions
double	marian::BSprice (const Market &mkt, const EuroOpt &opt)
	Calculates price of European option using BS model. More...

Detailed Description

Function Documentation

double marian::BSprice	(	const Market &	mkt,
		const EuroOpt &	opt
	)

Orion is priced using following formula:

$\begin{aligned} Price & = i_{cp} (S N(i_{cp} d_{1}) - K e^{-r T} N(i_{cp} d_{2})) \\ d_{1} & = \frac{ln(\frac{S}{K}) + (r + \frac{\sigma^2}{2}) T}{\sigma \sqrt{T}} \\ d_{2} & = \frac{ln(\frac{S}{K}) + (r - \frac{\sigma^2}{2}) T}{\sigma \sqrt{T}} \end{aligned}$

where:

asset prize
strike
$\sigma$ volatility
risk free rate
$i_{cp}$ 1 for Call option; -1 for put option
standard normal distribution

Parameters

mkt	market data
opt	option to price

Returns: price of option

Examples:: convergenceExample.cpp, and EuroOptExample.cpp.

Modules

Classes

Functions

Detailed Description

Function Documentation