xfygogo/exprtk
1
0
Fork 0
mirror of https://github.com/ArashPartow/exprtk.git synced 2025-07-08 03:09:03 +00:00
Code Issues Packages Projects Releases Wiki Activity

C++ Mathematical Expression Library (ExprTk) https://www.partow.net/programming/exprtk/index.html

Browse Source
This commit is contained in:
ArashPartow
2024-01-01 00:00:00 +00:00
committed by Arash Partow
parent f46bffcd69
commit cc1b800c2b
33 changed files with 67415 additions and 54230 deletions
Download Patch File Download Diff File Expand all files Collapse all files

59
exprtk_simple_example_15.cpp
View File

@ -3,7 +3,7 @@
* C++ Mathematical Expression Toolkit Library *
* *
* Simple Example 15 *
* Author: Arash Partow (1999-2023) *
* Author: Arash Partow (1999-2024) *
* URL: https://www.partow.net/programming/exprtk/index.html *
* *
* Copyright notice: *
@ -11,6 +11,7 @@
* permitted under the guidelines and in accordance with the *
* most current version of the MIT License. *
* https://www.opensource.org/licenses/MIT *
* SPDX-License-Identifier: MIT *
* *
**************************************************************
*/
@ -30,20 +31,20 @@ void black_scholes_merton_model()
typedef exprtk::parser<T> parser_t;
const std::string bsm_model_program =
" var d1 := (log(s / x) + (r + v^2 / 2) * t) / (v * sqrt(t)); "
" var d2 := d1 - v * sqrt(t); "
" "
" if (callput_flag == 'call') "
" s * ncdf(d1) - x * e^(-r * t) * ncdf(d2); "
" else if (callput_flag == 'put') "
" x * e^(-r * t) * ncdf(-d2) - s * ncdf(-d1); "
" ";
" var d1 := (log(s / k) + (r + v^2 / 2) * t) / (v * sqrt(t)); "
" var d2 := d1 - v * sqrt(t); "
" "
" if (callput_flag == 'call') "
" s * ncdf(d1) - k * e^(-r * t) * ncdf(d2); "
" else if (callput_flag == 'put') "
" k * e^(-r * t) * ncdf(-d2) - s * ncdf(-d1); "
" ";
T s = T(60.00); // Stock price
T x = T(65.00); // Strike price
T s = T(60.00); // Spot / Stock / Underlying / Base price
T k = T(65.00); // Strike price
T v = T( 0.30); // Volatility
T t = T( 0.25); // Years to maturity
T r = T( 0.08); // Risk free rate
T v = T( 0.30); // Volatility
std::string callput_flag;
@ -51,7 +52,7 @@ void black_scholes_merton_model()
symbol_table_t symbol_table;
symbol_table.add_variable("s",s);
symbol_table.add_variable("x",x);
symbol_table.add_variable("k",k);
symbol_table.add_variable("t",t);
symbol_table.add_variable("r",r);
symbol_table.add_variable("v",v);
@ -64,27 +65,27 @@ void black_scholes_merton_model()
parser_t parser;
parser.compile(bsm_model_program,expression);
{
callput_flag = "call";
callput_flag = "call";
const T bsm = expression.value();
const T bsm_call_option_price = expression.value();
printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
callput_flag.c_str(),
s, x, t, r, v,
bsm);
}
callput_flag = "put";
{
callput_flag = "put";
const T bsm_put_option_price = expression.value();
const T bsm = expression.value();
printf("BSM(call, %5.3f, %5.3f, %5.3f, %5.3f, %5.3f) = %10.6f\n",
s, k, t, r, v,
bsm_call_option_price);
printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
callput_flag.c_str(),
s, x, t, r, v,
bsm);
}
printf("BSM(put , %5.3f, %5.3f, %5.3f, %5.3f, %5.3f) = %10.6f\n",
s, k, t, r, v,
bsm_put_option_price);
const T put_call_parity_diff =
(bsm_call_option_price - bsm_put_option_price) -
(s - k * std::exp(-r * t));
printf("Put-Call parity difference: %20.17f\n", put_call_parity_diff);
}
int main()