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Handle array inputs to black scholes

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bspeice
2016-03-05 18:50:53 -05:00
parent 299c0339e9
commit e9d24adbfd
3 changed files with 20 additions and 5 deletions
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8
src/blackscholes.jl
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@ -4,7 +4,9 @@
# Designed to be a reference implementation of the Black-Scholes option
# pricing formula, supporting the original formula and greeks calculation
###
using StatsFuns
using Distributions
Φ = x -> cdf(Normal(0, 1), x)
"""
Calculate the value of \$d_1\$ in the Black-Scholes Formula
@ -21,12 +23,12 @@ function blackscholes_call(S, K, σ, r, T, t=0)
d1_val = d1(S, K, σ, r, T, t)
d2_val = d2(d1_val, σ, T, t)
return normcdf(d1_val) .* S - normcdf(d2_val) .* K .* exp(-r .* (T - t))
return Φ(d1_val) .* S - Φ(d2_val) .* K .* exp(-r .* (T - t))
end
function blackscholes_put(S, K, σ, r, T, t=0)
d1_val = d1(S, K, σ, r, T, t)
d2_val = d2(d1_val, σ, T, t)
return normcdf(-d2_val).*K.*exp(-r.*(T-t)) - normcdf(-d1_val).*S
return Φ(-d2_val).*K.*exp(-r.*(T-t)) - Φ(-d1_val).*S
end