[Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions

[Parsiad Azimzadeh]

URL:
  <http://savannah.gnu.org/patch/?8205>

                 Summary: Addition to financial package: blk*, bls*, and
opprofit functions
                 Project: GNU Octave
            Submitted by: parsiad
            Submitted on: Tue 08 Oct 2013 02:04:23 AM GMT
                Category: None
                Priority: 5 - Normal
                  Status: None
                 Privacy: Public
             Assigned to: None
        Originator Email: 
             Open/Closed: Open
         Discussion Lock: Any

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Details:

This patch adds the functions

 * blkimpv
 * blkprice
 * blsdelta
 * blsgamma
 * blsimpv
 * blslambda
 * blsprice
 * blsrho
 * blstheta
 * blsvega
 * opprofit

to the financial package.

It should be noted that the implementation of blslambda uses the (usual)
definition of the lambda of an option which is dV/dS * S/V. The MATLAB
implementation uses dV/dS evaluated at a dividend rate of zero, even when the
lambda is evaluated at a nonzero dividend rate. It is currently unknown why
this is done, but as a result of this, there is a small discrepancy between
the output in the above and that of MATLAB.




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File Attachments:


-------------------------------------------------------
Date: Tue 08 Oct 2013 02:04:23 AM GMT  Name:
2013.10.07.parsiad-financial.patch  Size: 29kB   By: parsiad

<http://savannah.gnu.org/patch/download.php?file_id=29316>

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