Add new Black-Scholes type for easy use

src/Quant.jl

@@ -17,6 +17,7 @@ export
   d2,
   blackscholes_call,
   blackscholes_put,
+  BlackScholes,
 end
 
 include("blackscholes.jl")

src/blackscholes.jl

@@ -8,27 +8,47 @@ using Distributions
 
 Φ = x -> cdf(Normal(0, 1), x)
 
+type BlackScholes
+  S0::Float64
+  K::Float64
+  σ::Float64
+  r::Float64
+  q::Float64
+  t::Float64
+  T::Float64
+end
+
 """
 Calculate the value of \$d_1\$ in the Black-Scholes Formula
 """
-function d1(S, K, σ, r, T, t=0)
-  return (log(S./K) + (r + σ.^2/2).*(T-t)) ./ (σ.*sqrt(T-t))
+function d1(S, K, σ, r, q, T, t=0)
+  return (log(S./K) + (r - q + σ.^2/2).*(T-t)) ./ (σ.*sqrt(T-t))
 end
 
 function d2(d1_val, σ, T, t=0)
   return d1_val - σ .* sqrt(T-t)
 end
 
-function blackscholes_call(S, K, σ, r, T, t=0)
-  d1_val = d1(S, K, σ, r, T, t)
+function blackscholes_call(S, K, σ, r, q, T, t=0)
+  d1_val = d1(S, K, σ, r, q, T, t)
   d2_val = d2(d1_val, σ, T, t)
 
-  return Φ(d1_val) .* S - Φ(d2_val) .* K .* exp(-r .* (T - t))
+  return Φ(d1_val) .* S - Φ(d2_val) .* K .* exp(-(r-q) .* (T - t))
 end
 
-function blackscholes_put(S, K, σ, r, T, t=0)
-  d1_val = d1(S, K, σ, r, T, t)
+function blackscholes_call(model::BlackScholes)
+  return blackscholes_call(model.S0, model.K, model.σ, model.r, model.q,
+    model.T, model.t)
+end
+
+function blackscholes_put(S, K, σ, r, q, T, t=0)
+  d1_val = d1(S, K, σ, r, q, T, t)
   d2_val = d2(d1_val, σ, T, t)
 
-  return Φ(-d2_val).*K.*exp(-r.*(T-t)) - Φ(-d1_val).*S
+  return Φ(-d2_val).*K.*exp(-(r-q).*(T-t)) - Φ(-d1_val).*S
+end
+
+function blackscholes_put(model::BlackScholes)
+  return blackscholes_put(model.S0, model.K, model.σ, model.r, model.q,
+    model.T, model.t)
 end

test/blackscholes.jl

@@ -2,21 +2,28 @@ using Base.Test
 #include("../src/blackscholes.jl")
 using Quant
 
-@test 15.047 < blackscholes_call(100, 95, .25, .05, 2, 1) < 15.0471
-@test blackscholes_call(100, 95, .25, .05, 2, 1) ==
-  blackscholes_call(100, 95, .25, .05, 1)
+@test 15.047 < blackscholes_call(100, 95, .25, .05, 0, 2, 1) < 15.0471
+@test blackscholes_call(100, 95, .25, .05, 0, 2, 1) ==
+  blackscholes_call(100, 95, .25, .05, 0, 1)
 
 precompute_low = [15.047, 15.047]
 precompute_high = [15.0471, 15.0471]
 S = [100, 100]; K = [95, 95]; σ = [.25, .25]; r = [.05, .05]
-T = [2, 2]; t = [1, 1]
-@test all(precompute_low .< blackscholes_call(S, K, σ, r, T, t)
+q = [.0, .0]; T = [2, 2]; t = [1, 1]
+@test all(precompute_low .< blackscholes_call(S, K, σ, r, q, T, t)
   .< precompute_high)
 
-@test 5.413 < blackscholes_put(100, 95, .25, .05, 2, 1) < 5.414
-@test blackscholes_put(100, 95, .25, .05, 2, 1) == blackscholes_put(100, 95, .25, .05, 1)
+@test 5.413 < blackscholes_put(100, 95, .25, .05, .0, 2, 1) < 5.414
+@test blackscholes_put(100, 95, .25, .05, .0, 2, 1) ==
+  blackscholes_put(100, 95, .25, .05, 0, 1)
 
 precompute_low = [5.413, 5.413]
 precompute_high = [5.414, 5.414]
-@test all(precompute_low .< blackscholes_put(S, K, σ, r, T, t)
+@test all(precompute_low .< blackscholes_put(S, K, σ, r, q, T, t)
   .< precompute_high)
+
+@test blackscholes_call(100, 95, .25, .05, 0, 2, 1) ==
+  blackscholes_call(BlackScholes(100, 95, .25, .05, 0, 1, 2))
+
+@test blackscholes_put(100, 95, .25, .05, 0, 2, 1) ==
+  blackscholes_put(BlackScholes(100, 95, .25, .05, 0, 1, 2))