corn.cpp

Go to the documentation of this file.

#include <iostream>
#include <iomanip>
#include <string>
#include <stdlib.h>

#include "binomial_greeks_option.h"
#include "NewDateTime.h"
#include "simpleoption.h"

using namespace std;

struct cbot_pair {
  string strike_price;
  string settlement_price;

  mutable double _Price;
  mutable double _K;

  /*
  cbot_pair( const char *Strike_price, const char * Settlement_price) :
    strike_price( Strike_price), 
    settlement_price( Settlement_price)
  {
  }
  */

  static double quote2double( const string& quote) {
    string handle, frac;
    size_t dash = quote.find_first_of( "'");
    double retval;

    if (dash == string::npos) {
      handle = quote;
    } else {
      handle = quote.substr( 0, dash);
      frac   = quote.substr( dash+1, quote.size()-dash+1);
    }

    //cerr << "handle = " << handle << endl;
    //cerr << "frac   = " << frac   << endl;

    retval = atof( handle.c_str()) + atof( frac.c_str()) * .125;

    return retval;
  }

  double Price() const {
    _Price = quote2double( settlement_price);
    return _Price;
  }

  double K() const {
    _K = quote2double( strike_price);
    return _K;
  }
};

cbot_pair call_pairs[] = {
  /*  { "300'0", "124'0"},
      { "310'0", "114'1"},*/

  { "320'0", "104'2"},
  { "330'0", "94'7"},
  { "340'0", "85'6"},
  { "350'0", "76'6"},
  { "360'0", "68'6"},
  { "370'0", "61'5"},
  { "380'0", "54'6"},
  { "390'0", "49'0"},
  { "400'0", "43'5"},
  { "410'0", "39'2"},
  { "420'0", "35'4"},
  { "430'0", "32'0"},
  { "440'0", "29'0"},
  { "450'0", "26'2"},
  { "460'0", "23'4"},
  { "470'0", "21'0"},
  { "480'0", "18'4"},
  { "490'0", "16'0"},
  { "500'0", "14'1"},
  { "520'0", "10'6"},
  { "540'0", "8'3"},
  { "560'0", "6'6"},
  { "580'0", "5'6"},
  { "600'0", "5'2"}
};

cbot_pair put_pairs[] = { 
  { "300'0", "0'4"},
  { "310'0", "0'7"},
  { "320'0", "1'2"},
  { "330'0", "1'6"},
  { "340'0", "2'7"},
  { "350'0", "4'0"},
  { "360'0", "5'4"},
  { "370'0", "8'2"},
  { "380'0", "11'3"},
  { "390'0", "15'3"},
  { "400'0", "20'0"},
  { "410'0", "25'5"},
  { "420'0", "31'4"},
  { "430'0", "37'7"},
  { "440'0", "44'6"},
  { "450'0", "51'6"}
};

int main() {
  const int number_calls = sizeof( call_pairs) / sizeof(cbot_pair);
  const int number_puts =  sizeof( put_pairs) / sizeof(cbot_pair);

  double S = 424, K, Tau, Alpha=0, R=.0534, Sigma=.2, Call_Price, Put_Price,
    Implied_sigma;
  int NumberIterations = 250, i, Days_Till_Expiration;

  Days_Till_Expiration = day_diff( cbot_ag_option_expiration( 200707), 20070128);
  Tau = Days_Till_Expiration / 365.0;

  cout << "Days Till Expiration=" << Days_Till_Expiration << endl;
  cout << "Tau = " << Tau << endl;

  cout << setiosflags (ios::showpoint | ios::fixed) << setprecision(4);;

  cout << "Corn Calls" << endl;
  for (i=0; i<number_calls; i++) {
    K = call_pairs[i].K();
    Call_Price = call_pairs[i].Price();

    binomial_greeks_option bgo( S, K, Tau, Alpha, R, Sigma, NumberIterations);

    Implied_sigma = bgo.call_implied_sigma( Call_Price);

    cout << K << " " << Call_Price << " " << Implied_sigma << " " << bgo.get_dC_dS() << endl;
  }

  cout << "Corn Puts" << endl;
  for (i=0; i<number_puts; i++) {
    K = put_pairs[i].K();
    Put_Price = put_pairs[i].Price();

    binomial_greeks_option bgo( S, K, Tau, Alpha, R, Sigma, NumberIterations);

    Implied_sigma = bgo.put_implied_sigma( Put_Price);

    cout << K << " " << Put_Price << " " << Implied_sigma << " " << bgo.get_dP_dS() << endl;
  }

  return 0;
}

---