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# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import math as mth
import utils.NormalCumulativeDistribution as cdf
# Classical call option
class CallOption :
# Constructor
def __init__(self) :
return None
# value
# p_S asset value
# p_sigma volatility
# p_r interest rate
# p_strike strike
# p_mat maturity
# return option value
def operator(self, p_S, p_sigma, p_r, p_strike, p_mat) :
d1 = (mth.log(p_S / p_strike) + (p_r + 0.5 * p_sigma * p_sigma) * p_mat) / (p_sigma * mth.sqrt(p_mat))
d2 = d1 - p_sigma * mth.sqrt(p_mat)
norm = cdf.NormalCumulativeDistribution()
return p_S * norm.operator(d1) - p_strike * mth.exp(-p_r * p_mat) * norm.operator(d2)
# Classical put option
class PutOption :
# Constructor
def __init__(self) :
return None
# value
# p_S asset value
# p_sigma volatility
# p_r interest rate
# p_strike strike
# p_mat maturity
# return option value
def operator(self, p_S, p_sigma, p_r, p_strike, p_mat) :
d1 = (mth.log(p_S / p_strike) + (p_r + 0.5 * p_sigma * p_sigma) * p_mat) / (p_sigma * mth.sqrt(p_mat))
d2 = d1 - p_sigma * mth.sqrt(p_mat)
return -p_S * cdf.operator(-d1) + p_strike * mth.exp(-p_r * p_mat) * cdf.operator(-d2)
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