- CapeTools Storage
General Description
Functions that price vanilla and Exotic options using variations of the black-scholes model. These functions create portfolio objects. The benefit of these functions is that there are external functions to sort and group deals. You can mix option contracts from different currencies and finally you can price the whole portfolio a selection of the portfolio in any currency (via an FX manager object).
In addition, each parameter has a range object (excel range) as an input parameter. You can input a single-valued number in a range and if the function detects that the size of the other input ranges are longer, the function will automatically expand the single range to the same size. Every cell will contain the same constant number. This is used heavily within our examples.
You can commit the trades (portfolio) to disk via the numerous range-to XML and XML to range functions present within the 'CapeTools Utils' category of functions.
Once a portfolio has been created, the 'CapeTools Exotic Options Tools' category of functions is responsible for selecting, grouping and pricing these portfolios.
The SubOptionBook() function is responsible for selecting trades via an SQL type criteria and creating a new portfolio object.
The GroupOptionBook() function is responsible for grouping trades via an SQL type criteria and creating a new portfolio object.
The DisplayOptionGroups() function will display the unique columns of the grouped portfolio
The DisplayGRPOptionBook() function will display the trades within the selected group. A list of possible groups can be determined via the said DisplayOptionGroups() function.
The DisplayOptionBook() function will display the trades within a portfolio, sorted on a list of columns.
The PriceOptionBook() function will price the portfolio. This function holds a 'Greek' parameter and this parameter taylors what number are generated.
When priced, you can request the price for the total portfolio, the price of each trade. In addition you can request detailed information for each trade.
All of the functions implemented here have been taken from : 'The Complete Guide To OPTION PRICING FORMULAS' by Espen Gaarder Haug. This book provides an in-depth analysis of every function described here. We have just implemented these functions in C++ and extended their functionality to include risk-numbers.
- CapeTools Stock Option Portfolio
General Description
Functions that price vanilla and Exotic options using variations of the black-scholes model. These functions create portfolio objects. The benefit of these functions is that there are external functions to sort and group deals. You can mix option contracts from different currencies and finally you can price the whole portfolio a selection of the portfolio in any currency (via an FX manager object).
In addition, each parameter has a range object (excel range) as an input parameter. You can input a single-valued number in a range and if the function detects that the size of the other input ranges are longer, the function will automatically expand the single range to the same size. Every cell will contain the same constant number. This is used heavily within our examples.
Note : These functions are very similar to those contained within the 'CapeTools Storage' category of functions except that the parameter that receives dividend rate, foreign rate or holding costs have been dropped. Internally this value is set to zero (0). This simplifies calling these functions and in addition, some of the functions implemented within the 'CapeTools Storage' category cannot have this dividend rate, foreign rate or holding cost parameter set to zero.
You can commit the trades (portfolio) to disk via the numerous range to XML and XML to range functions present within the 'CapeTools Utils' category of functions.
Once a portfolio has been created, the 'CapeTools Exotic Options Tools' category of functions is responsible for selecting, grouping and pricing these portfolios.
The SubOptionBook() function is responsible for selecting trades via an SQL type criteria and creating a new portfolio object.
The GroupOptionBook() function is responsible for grouping trades via an SQL type criteria and creating a new portfolio object.
The DisplayOptionGroups() function will display the unique columns of the grouped portfolio
The DisplayGRPOptionBook() function will display the trades within the selected group. A list of possible groups can be determined via the said DisplayOptionGroups() function.
The DisplayOptionBook() function will display the trades within a portfolio, sorted on a list of columns.
The PriceOptionBook() function will price the portfolio. This function holds a 'Greek' parameter and this parameter taylors what number are generated.
When priced, you can request the price for the total portfolio, the price of each trade. In addition you can request detailed information for each trade.
All of the functions implemented here have been taken from : 'The Complete Guide To OPTION PRICING FORMULAS' by Espen Gaarder Haug. This book provides an in-depth analysis of every function described here. We have just implemented these functions in C++ and extended their functionality to include risk-numbers.
- CapeTools Futures Option Portfolio
General Description
Functions that price vanilla and Exotic options using variations of the black-scholes model. These functions create portfolio objects. The benefit of these functions is that there are external functions to sort and group deals. You can mix option contracts from different currencies and finally you can price the whole portfolio a selection of the portfolio in any currency (via an FX manager object).
In addition, each parameter has a range object (excel range) as an input parameter. You can input a single-valued number in a range and if the function detects that the size of the other input ranges are longer, the function will automatically expand the single range to the same size. Every cell will contain the same constant number. This is used heavily within our examples.
Note : These functions are very similar to those contained within the 'CapeTools Storage' category of functions except that the parameter that receives dividend rate, foreign rate or holding costs have been dropped. Internally this value is set to the same value as the 'rate' parameter. This simplifies calling these functions and in effect prices options on futures.
You can commit the trades (portfolio) to disk via the numerous range to XML and XML to range functions present within the 'CapeTools Utils' category of functions.
Once a portfolio has been created, the 'CapeTools Exotic Options Tools' category of functions is responsible for selecting, grouping and pricing these portfolios.
The SubOptionBook() function is responsible for selecting trades via an SQL type criteria and creating a new portfolio object.
The GroupOptionBook() function is responsible for grouping trades via an SQL type criteria and creating a new portfolio object.
The DisplayOptionGroups() function will display the unique columns of the grouped portfolio
The DisplayGRPOptionBook() function will display the trades within the selected group. A list of possible groups can be determined via the said DisplayOptionGroups() function.
The DisplayOptionBook() function will display the trades within a portfolio, sorted on a list of columns.
The PriceOptionBook() function will price the portfolio. This function holds a 'Greek' parameter and this parameter taylors what number are generated.
When priced, you can request the price for the total portfolio, the price of each trade. In addition you can request detailed information for each trade.
All of the functions implemented here have been taken from : 'The Complete Guide To OPTION PRICING FORMULAS' by Espen Gaarder Haug. This book provides an in-depth analysis of every function described here. We have just implemented these functions in C++ and extended their functionality to include risk-numbers.
- CapeTools Exotic Options Tools
General Description
The SubOptionBook() function is responsible for selecting trades via an SQL type criteria and creating a new portfolio object.
The GroupOptionBook() function is responsible for grouping trades via an SQL type criteria and creating a new portfolio object.
The DisplayOptionGroups() function will display the unique columns of the grouped portfolio
The DisplayGRPOptionBook() function will display the trades within the selected group. A list of possible groups can be determined via the said DisplayOptionGroups() function.
The DisplayOptionBook() function will display the trades within a portfolio, sorted on a list of columns.
The PriceOptionBook() function will price the portfolio. This function holds a 'Greek' parameter and this parameter taylors what number are generated.
You can of make use of the following (in-built) case-insensitive Greek values :
- DELTA
- GAMMA
- VEGA
- VOLGA
- THETA
However have have a more advanced interface for requesting Greeks. Assuming that you know before hand the name of the function that you used to create the portfolio originally and the list of the parameter names, you can request Greek values as so :
First order derivative risk numbers can be requested by simply passing in the name of the parameter (preceded by the 'd' character) into the 'Greek' parameter of these functions (ie - dStock).
Second order derivative risk numbers can be requested by simply passing in the name of the parameter (preceded by the 'd' character) ( repeated twice) into the 'Greek' parameter of these functions (ie - dStockdStock).
Cross derivative risk numbers can be requested by simply passing in the name of the parameters (preceded by the 'd' character) into the 'Greek' parameter of these functions (ie - dStockdTime or dTimedStock).
When pricing options composed of two underlyers, we suggest using this notation rather than the 'DELTA' value for requesting the delta value of the first underlyer parameter.
The risk values computed are the mathematical definition of a derivative (via differentiation). Thus if you wish to compute the risk numbers for a given shift (ie - a one basis point change in the parameter), then you simply multiply the risk number by the requested shift.
When priced, you can request the price for the total portfolio, the price of each trade. In addition you can request detailed information for each trade.
All of the functions implemented here have been taken from : 'The Complete Guide To OPTION PRICING FORMULAS' by Espen Gaarder Haug. This book provides an in-depth analysis of every function described here. We have just implemented these functions in C++ and extended their functionality to include risk-numbers.
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