Package webcab.lib.finance.options

This module performs pricing and risk analysis (via greeks) of European and Binary Options.

See:
Description

Class Summary

BinaryOptions	This class evaluates the pay-off from a Binary option at expiry.
EuropeanDelta	Within this class we consider the evaluation of the Delta of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanEvaluation	Within this class we consider the evaluation of the present value of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanGamma	Within this class we consider the evaluation of the Gamma of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanRho	Within this class we consider the evaluation of the Rho of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanTheta	Within this class we consider the evaluation of the Theta of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
EuropeanVega	Within this class we consider the evaluation of the Vega of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
ImpliedVolatility	This class calculates the implied volatility for a given European (call or put) option.
OptionsConstants	This class defines constants used by the Options class methods.
OptionStrategies	This class evaluates the payoff functions of a number of different option trading strategies.
PutCallParity	Within this class we implement put-call parity relations for: Vanilla Options where the underlying asset does not pay dividends Binary Options where the underlying asset does not pay dividends Vanilla options where the underlying asset pays a continuous dividend
Volatility	This class consists of a collection of methods for estimating and rescaling the volatility.

Exception Summary

BinaryOptionsDemoException	This exception is thrown by the demo version of the BinaryOptions class after the number of maximum method calls has been reached.
EuropeanDeltaDemoException	This exception is thrown by the demo version of the EuropeanDelta class after the number of maximum method calls has been reached.
EuropeanEvaluationDemoException	This exception is thrown by the demo version of the EuropeanEvaluation class after the number of maximum method calls has been reached.
EuropeanGammaDemoException	This exception is thrown by the demo version of the EuropeanGamma class after the number of maximum method calls has been reached.
EuropeanRhoDemoException	This exception is thrown by the demo version of the EuropeanRho class after the number of maximum method calls has been reached.
EuropeanThetaDemoException	This exception is thrown by the demo version of the EuropeanTheta class after the number of maximum method calls has been reached.
EuropeanVegaDemoException	This exception is thrown by the demo version of the EuropeanVega class after the number of maximum method calls has been reached.
ImpliedVolatilityDemoException	This exception is thrown by the demo version of the ImpliedVolatility class after the number of maximum method calls has been reached.
OptionsException	Exception usually thrown to indicate error in input values for any of the classes within this package.
OptionStrategiesDemoException	This exception is thrown by the demo version of the OptionStrategies class after the number of maximum method calls has been reached.
PutCallParityDemoException	This exception is thrown by the demo version of the PutCallParity class after the number of maximum method calls has been reached.
VolatilityDemoException	This exception is thrown by the demo version of the Volatility class after the number of maximum method calls has been reached.

Package webcab.lib.finance.options Description

This module performs pricing and risk analysis (via greeks) of European and Binary Options. We also include volatility estiamtes (ARCH, EWMA, GARCH(1,1)), Implied volatility, put-call parity and procedures for standard options trading strategies (i.e. Bull Spreads, Bear Spreads and Butterfly Spreads, Straddles and Strangles).

Detailed Description of the Functionality Offered

The Options module offers the following functionality:

• European and Binary Options - The (Analytic) Black-Scholes model is fully implemented for European and Binary Options on stocks, currencies and indexes.
• `The Greeks' - We offer methods for the evaluation of `The Greeks' (delta, gamma, rho, theta, vega) for European options on stocks, indexes and currencies according to the Black-Scholes model.
• Volatility Estimates - the volatility may to estimated directly from historical values or from one of the following models:
• ARCH - Autoregressive Conditional Heteroscedasticity model
• EWMA - Exponentially Weighted Moving Average model
• GARCH(1,1) - Generalized Autoregressive Heteroscedasticity model
• Implied Volatility - Calculates the implied volatility for dividend and non-dividend paying stocks from the Black-Scholes formulae
• Payoff Functions - Pay off functions at expiry for European and Binary Options are implemented.
• Put - Call Parity relations
• Put - call parity relations for European options on an asset with no yield or a continuous yield.
• Put - call parity relations for Binary options on an asset with no yield.
• Implied risk-free interest - the implied risk free interest rate is calculated when either the prices of put/call European or put/pull Binary option is known.
• Trading Strategies - the following pay-off functions for the following option trading strategies are implemented.
• Spread Option Strategies - Bull Spreads, Bear Spreads and Butterfly Spreads.
• Combination Option Strategies - Straddles and Strangles.

Classes contained within the Options module

• BinaryOptions - Evaluates the pay-off from a Binary option at expiry.
• EuropeanEvaluation - Evaluation of the present value of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
• EuropeanDelta - Evaluation of the Delta of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
• EuropeanGamma - Evaluation of the Gamma of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
• EuropeanRho - evaluation of the Rho of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
• EuropeanTheta - Evaluation of the Theta of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
• EuropeanTheta - Evaluation of the Theta of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
• EuropeanVega - Evaluation of the Vega of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
• ImpliedVolatility - Calculates the implied volatility for a given European (call or put) option.
• OptionStrategies - Evaluates the payoff functions of a number of different option trading strategies.
• PutCallParity - Implement put-call parity relations for Vanilla options (with or without continuous dividends) and Binary options without dividends.
• Volatility - Consists of a collection of methods for estimating and rescaling the volatility.