📄 option calls, puts and days till third friday..afl

📁 一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台
💻 AFL
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//------------------------------------------------------------------------------
//
//  Formula Name:    Option Calls, Puts and days till third friday.
//  Author/Uploader: Vladimir Gaitanoff 
//  E-mail:          spam@vglib.com
//  Date/Time Added: 2006-05-06 14:09:53
//  Origin:          
//  Keywords:        Option Options Third  Friday
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=620
//  Details URL:     http://www.amibroker.com/library/detail.php?id=620
//
//------------------------------------------------------------------------------
//
//  // Initialization
//
//  _SECTION_BEGIN("Option Parameters");
//
//  StrikePrice = Param("Strike Price", 45, 0, 10000, 0.01);
//
//  InterestRate = Param("Interest Rate %", 6, 0, 100, 0.05);
//
//  //DaysToExpiration = Param("Days To Expiration", 30, 1, 365, 1);
//
//  Volatility = Param("Volatility", 0.3, 0, 1, 0.05);
//
//  _SECTION_END();
//
//  /*
//
//  Price = 56.25;
//
//  StrikePrice = 55;
//
//  Rate = 0.0285;
//
//  Time = 0.34;
//
//  Volatility = 0.28;
//
//  //expected: 456
//
//  */
//
//  // Function
//
//  function N(x)
//
//  {
//
//  b1 = 0.31938153;
//
//  b2 = -0.3565638;
//
//  b3 = 1.78147794;
//
//  b4 = -1.821256;
//
//  b5 = 1.33027443;
//
//  p = 0.2316419;
//
//  c2 = 0.3989423;
//
//  a = abs(x);
//
//  t = 1.0 / (1.0 + a * p);
//
//  b = c2 * exp(- x * x / 2.0);
//
//  m = ((((b5 * t + b4) * t + b3) * t + b2) * t + b1) * t;
//
//  m = 1.0 - b * m;
//
//  y = IIf(x >= 0.0, m, 1.0 - m);
//
//  return y;
//
//  }
//
//  function DaysInMonth(MonthNum,YearNum)
//
//  {
//
//  _Daysinmonth=IIf(MonthNum==1 OR MonthNum==3 OR MonthNum==5 OR MonthNum==7
//  OR MonthNum==8 OR MonthNum==10 OR MonthNum==12,31,30);
//
//  Daysinmonthfeb=IIf(YearNum%4 == 0 AND YearNum%100!=0,29,28);
//
//  _Daysinmonth=IIf(MonthNum==2,Daysinmonthfeb,_Daysinmonth);
//
//  return _Daysinmonth;
//
//  }
//
//  function DaysToThirdFriday()
//
//  {
//
//  d = Day();
//
//  wd = DayOfWeek();
//
//  DaysToFriday = (5 - wd + 7) % 7;
//
//  FridayNumber = floor((d + DaysToFriday + 6) / 7);
//
//  ThirdFriday = d + DaysToFriday + (3 - FridayNumber) * 7;
//
//  _DaysToThirdFriday = IIf(ThirdFriday >= d, ThirdFriday - d, ThirdFriday - d
//  + 28);
//
//  return _DaysToThirdFriday;
//
//  }
//
//  // Calculations
//
//  //Plot(DaysToFriday, "DaysToFriday", colorGreen);
//
//  //Plot(FridayNumber , "FridayNumber ", colorGreen);
//
//  //Plot(ThirdFriday, "ThirdFriday", colorGreen);
//
//  //Plot(_DaysToThirdFriday, "DaysToThirdFriday", colorGreen);
//
//  DaysToExpiration = DaysToThirdFriday();
//
//  Price = Close;
//
//  Rate = InterestRate / 100;
//
//  Time = DaysToExpiration / 365;
//
//  d1 = (ln(Price / StrikePrice) + (Rate + Volatility * Volatility / 2) *
//  Time) / (Volatility * sqrt(Time));
//
//  d2 = d1 - Volatility * sqrt(Time);
//
//  ExpPowerMinusRt = exp(- Rate * Time);
//
//  CallPrice = Price * N(d1) - StrikePrice * ExpPowerMinusRt * N(d2);
//
//  PutPrice = StrikePrice * ExpPowerMinusRt * N(-d2) - Price * N(-d1);
//
//  _N(Title = StrFormat("{{DATE}} Strike %.2f, Days %g, Call %.2f, Put %.2f,
//  Volatility %.2f %g" , StrikePrice, DaysToExpiration, CallPrice, PutPrice,
//  Volatility, DayOfWeek() ));
//
//  //_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo
//  %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C,
//  SelectedValue( ROC( C, 1 )) ));
//
//  _SECTION_BEGIN("Call Option");
//
//  Plot(CallPrice, "Call = " + NumToStr(CallPrice, 1.2), ParamColor( "Color",
//  colorGreen), ParamStyle("Style"));
//
//  _SECTION_END();
//
//  _SECTION_BEGIN("Put Option");
//
//  Plot(PutPrice, "Put = " + NumToStr(PutPrice, 1.2), ParamColor( "Color",
//  colorRed), ParamStyle("Style"));
//
//  _SECTION_END();
//
//------------------------------------------------------------------------------

// Initialization

_SECTION_BEGIN("Option Parameters");
StrikePrice = Param("Strike Price", 45, 0, 10000, 0.01);
InterestRate = Param("Interest Rate %", 6, 0, 100, 0.05);
//DaysToExpiration = Param("Days To Expiration", 30, 1, 365, 1);
Volatility = Param("Volatility", 0.3, 0, 1, 0.05);
_SECTION_END();

/*
Price = 56.25;
StrikePrice = 55;
Rate = 0.0285;
Time = 0.34;
Volatility = 0.28;
//expected: 456
*/
// Function

function N(x)
{	
	b1 = 0.31938153; 
	b2 = -0.3565638; 
	b3 = 1.78147794; 
	b4 = -1.821256; 
	b5 = 1.33027443; 
	p = 0.2316419; 
	c2 = 0.3989423;

	a = abs(x);
	t = 1.0 / (1.0 + a * p);
	b = c2 * exp(- x * x / 2.0);
	m = ((((b5 * t + b4) * t + b3) * t + b2) * t + b1) * t;
	m = 1.0 - b * m;

	y = IIf(x >= 0.0, m, 1.0 - m);
	return y;
}


function DaysInMonth(MonthNum,YearNum)
{
	_Daysinmonth=IIf(MonthNum==1 OR MonthNum==3 OR MonthNum==5 OR MonthNum==7 OR MonthNum==8 OR MonthNum==10 OR MonthNum==12,31,30);
	Daysinmonthfeb=IIf(YearNum%4 == 0 AND YearNum%100!=0,29,28);
	_Daysinmonth=IIf(MonthNum==2,Daysinmonthfeb,_Daysinmonth);
	return _Daysinmonth;
}

function DaysToThirdFriday()
{
	d = Day();
	wd = DayOfWeek();
	DaysToFriday = (5 - wd + 7) % 7;
	ThirdFriday = d + DaysToFriday + (3 - floor((d + DaysToFriday) / 7)) * 7;
	_DaysToThirdFriday = ThirdFriday - d;
	
	return _DaysToThirdFriday;
}

// Calculations

	d = Day();
	wd = DayOfWeek();
	DaysToFriday = (5 - wd + 7) % 7;
	FridayNumber = floor((d + DaysToFriday + 6) / 7);
	ThirdFriday = d + DaysToFriday + (3 - FridayNumber) * 7;
	_DaysToThirdFriday = ThirdFriday - d;

//Plot(DaysToFriday, "DaysToFriday", colorGreen);
//Plot(FridayNumber , "FridayNumber ", colorGreen);
Plot(ThirdFriday, "ThirdFriday", colorGreen);
Plot(DaysToThirdFriday , "DaysToThirdFriday", colorGreen);



DaysToExpiration = DaysToThirdFriday();
Price = Close;
Rate = InterestRate / 100;
Time = DaysToExpiration / 365;

d1 = (ln(Price / StrikePrice) + (Rate + Volatility * Volatility / 2) * Time) / (Volatility * sqrt(Time));
d2 = d1 - Volatility * sqrt(Time);

ExpPowerMinusRt = exp(- Rate * Time);
CallPrice = Price * N(d1) - StrikePrice * ExpPowerMinusRt * N(d2);
PutPrice = StrikePrice * ExpPowerMinusRt * N(-d2) - Price * N(-d1);

//_N(Title = StrFormat("Strike %.2f, Days %g, Call %.2f, Put %.2f, Volatility %.2f %g" , StrikePrice, DaysToExpiration, CallPrice, PutPrice, Volatility, DayOfWeek() ));

//_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));

_SECTION_BEGIN("Call Option");
Plot(CallPrice, "Call = " + NumToStr(CallPrice, 1.2), ParamColor( "Color", colorGreen), ParamStyle("Style"));
_SECTION_END();

_SECTION_BEGIN("Put Option");
Plot(PutPrice, "Put = " + NumToStr(PutPrice, 1.2), ParamColor( "Color", colorRed), ParamStyle("Style"));
_SECTION_END();

/*
Plot(d1, "Value " + NumToStr(d1, 1.2), colorGreen);
Plot(d2, "Value " + NumToStr(d2, 1.2), colorRed);
Plot(N(d1), "Value " + NumToStr(d1, 1.6), colorGreen);
Plot(N(d2), "Value " + NumToStr(d2, 1.6), colorRed);
*/
/*CallPrice = Price * N(d1) - StrikePrice * ExpPowerMinusRt * N(d2);

Plot(StrikePrice * ExpPowerMinusRt * N(d2), "StrikePrice * ExpPowerMinusRt * N(d2)", colorRed);
Plot(ExpPowerMinusRt, "ExpPowerMinusRt " + NumToStr(ExpPowerMinusRt, 1.6), colorRed);
Plot(N(d2), "N(d2) " + NumToStr(N(d2), 1.6), colorRed);

*/

//PutPrice = StrikePriceExpPowerMinusRt* N(-d2) - Price * N(-d1);

//Plot(CallPrice, "Call " + NumToStr(CallPrice, 1.6), colorGreen);
//Plot(PutPrice, "Put = " + NumToStr(PutPrice, 1.2), colorRed);
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