solvemain1.cpp

C++ design pattern in finance. Must know for QF engineers

//
//
//              SolveMain1.cpp
//
//
/*
Needs
    BlackScholesFormulas.cpp
    BSCallClass.cpp
    Normals.cpp
*/
#include <Bisection.h>
#include <cmath>
#include <iostream>
#include <BSCallClass.h>
#include <BlackScholesFormulas.h>

using namespace std;

int main()
{
  	double Expiry;
	double Strike; 
	double Spot; 
	double r;
    double d;
    double Price;

	cout << "\nEnter expiry\n";
	cin >> Expiry;

	cout << "\nStrike\n";
	cin >> Strike;

	cout << "\nEnter spot\n";
	cin >> Spot;

	cout << "\nEnter price\n";
	cin >> Price;

	cout << "\nr\n";
	cin >> r;

    cout << "\nd\n";
    cin >> d;

    double low,high;

    cout << "\nlower guess\n";
    cin >> low;

    cout << "\nhigh guess\n";
    cin >> high;

    double tolerance;

    cout << "\nTolerance\n";
    cin >> tolerance;

    BSCall theCall(r,d,Expiry,Spot,Strike);

    double vol=Bisection(Price,low,high,tolerance,theCall);
    double PriceTwo = BlackScholesCall(Spot,Strike,r,d,vol,Expiry);

    cout << "\n vol " << vol << " pricetwo " << PriceTwo << "\n";

    double tmp;
    cin >> tmp;

	return 0;
}

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/