bondopt_call_coupon_bs.cc

Financial Recipes

#include <cmath>
#include "normdist.h"
#include "fin_recipes.h"

double bond_option_price_call_coupon_bond_black_scholes( double B, 
							 double X, 
							 double r, 
							 double sigma,
							 double time, 
							 vector<double> coupon_times, 
							 vector<double> coupon_amounts){
    for (unsigned int i=0;i<coupon_times.size();i++) { // subtract present value of coupons
	if (coupon_times[i]<=time) { // coupon paid befor option expiry
	    B -= coupon_amounts[i] * exp(-r*coupon_times[i]);
	};
    };
    return bond_option_price_call_zero_black_scholes(B,X,r,sigma,time);
};