PutOption.cpp
#include "PutOption.h"
#include "matlib.h"
double PutOption::payoff( const std::vector<double>& stockPrices) const {
double stockAtMaturity = stockPrices.back();
if (stockAtMaturity<getStrike()) {
return getStrike()-stockAtMaturity;
} else {
return 0.0;
}
}
double PutOption::price(
const BlackScholesModel& bsm ) const {
double S = bsm.stockPrice;
double K = getStrike();
double sigma = bsm.volatility;
double r = bsm.riskFreeRate;
double T = getMaturity() - bsm.date;
double numerator = log( S/K ) + ( r + sigma*sigma*0.5)*T;
double denominator = sigma * sqrt(T );
double d1 = numerator/denominator;
double d2 = d1 - denominator;
return -S*normcdf(-d1) + exp(-r*T)*K*normcdf(-d2);
}
//////////////////////////
//
// Test the call option class
//
//
//////////////////////////
static void testPayoff() {
PutOption putOption;
putOption.setStrike( 105.0) ;
putOption.setMaturity( 2.0 );
std::vector<double> d;
d.push_back(110.0);
ASSERT_APPROX_EQUAL( putOption.payoff(d), 0.0, 0.001);
d[0]=100.0;
ASSERT_APPROX_EQUAL( putOption.payoff(d), 5.0, 0.001);
}
static void testPutOptionPrice() {
PutOption putOption;
putOption.setStrike( 105.0 );
putOption.setMaturity( 2.0 );
BlackScholesModel bsm;
bsm.date = 1.0;
bsm.volatility = 0.1;
bsm.riskFreeRate = 0.05;
bsm.stockPrice = 100.0;
double price = putOption.price( bsm );
ASSERT_APPROX_EQUAL( price, 3.925, 0.01);
}
void testPutOption() {
TEST( testPutOptionPrice );
TEST( testPayoff );
}