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Math-Business-BlackScholes-Binaries-Greeks-0.03
River stage one • 1 direct dependent • 1 total dependent
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/ Math::Business::BlackScholes::Binaries::Greeks

NAME

Math::Business::BlackScholes::Binaries::Greeks

VERSION

Version 0.03

SYNOPSIS

    use Math::Business::BlackScholes::Binaries::Greeks::Delta;
    use Math::Business::BlackScholes::Binaries::Greeks::Gamma;

    # get the Delta for a call option
    my $delta_call =
        Math::Business::BlackScholes::Binaries::Greeks::Delta::call(
            1.35,       # stock price
            1.36,       # barrier
            (7/365),    # time
            0.002,      # payout currency interest rate (0.05 = 5%)
            0.001,      # quanto drift adjustment (0.05 = 5%)
            0.11,       # volatility (0.3 = 30%)
        );

    # get the Gamma for a put option
    my $gamma_put =
        Math::Business::BlackScholes::Binaries::Greeks::Gamma::put(
            1.35,       # stock price
            1.36,       # barrier
            (7/365),    # time
            0.002,      # payout currency interest rate (0.05 = 5%)
            0.001,      # quanto drift adjustment (0.05 = 5%)
            0.11,       # volatility (0.3 = 30%)
        );

DESCRIPTION

The Greeks modules calculate the sensitivity of the price of binary options to a change in the underlying parameters of the financial asset.

First-order Greeks

  • Math::Business::BlackScholes::Binaries::Greeks::Delta

  • Math::Business::BlackScholes::Binaries::Greeks::Vega

  • Math::Business::BlackScholes::Binaries::Greeks::Theta

Second-order Greeks

  • Math::Business::BlackScholes::Binaries::Greeks::Gamma

  • Math::Business::BlackScholes::Binaries::Greeks::Vanna

  • Math::Business::BlackScholes::Binaries::Greeks::Volga

SUBROUTINES

These can be called for each of the six Greeks modules

vanilla_call

    USAGE
    my $sensitivity = vanilla_call($S, $K, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $K => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

vanilla_put

    USAGE
    my $sensitivity = vanilla_put($S, $K, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $K => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

call

    USAGE
    my $sensitivity = call($S, $K, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $K => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

put

    USAGE
    my $sensitivity = put($S, $K, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $K => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

expirymiss

    USAGE
    my $sensitivity = expirymiss($S, $U, $D, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $U => barrier
    $D => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

expiryrange

    USAGE
    my $sensitivity = expiryrange($S, $U, $D, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $U => barrier
    $D => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

onetouch

    USAGE
    my $sensitivity = onetouch($S, $U, $D, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $U => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

notouch

    USAGE
    my $sensitivity = notouch($S, $U, $D, $t, $r_q, $mu, $sigma)

    PARAMS
    $S => stock price
    $U => barrier
    $t => time (1 = 1 year)
    $r_q => payout currency interest rate (0.05 = 5%)
    $mu => quanto drift adjustment (0.05 = 5%)
    $sigma => volatility (0.3 = 30%)

upordown

    USAGE
    my $sensitivity = upordown($S, $U, $D, $t, $r_q, $mu, $sigma, $w)

    PARAMS
    $S stock price
    $U barrier
    $D barrier
    $t time (1 = 1 year)
    $r_q payout currency interest rate (0.05 = 5%)
    $mu quanto drift adjustment (0.05 = 5%)
    $sigma volatility (0.3 = 30%)
    $w payout at hit=0, at end=1

range

    USAGE
    my $sensitivity = range($S, $U, $D, $t, $r_q, $mu, $sigma, $w)

    PARAMS
    $S stock price
    $t time (1 = 1 year)
    $U barrier
    $D barrier
    $r_q payout currency interest rate (0.05 = 5%)
    $mu quanto drift adjustment (0.05 = 5%)
    $sigma volatility (0.3 = 30%)
    $w payout at hit=0, at end=1

DEPENDENCIES

Math::CDF
Math::Trig
Math::Business::BlackScholes::Binaries

SOURCE CODE

Github

REFERENCES

Wikipedia

AUTHOR

binary.com, <perl at binary.com>

BUGS

Please report any bugs or feature requests to bug-math-business-blackscholes-binaries-greeks at rt.cpan.org, or through the web interface at http://rt.cpan.org/NoAuth/ReportBug.html?Queue=Math-Business-BlackScholes-Binaries-Greeks. We will be notified, and then you'll automatically be notified of progress on your bug as we make changes.

SUPPORT

You can find documentation for this module with the perldoc command.

    perldoc Math::Business::BlackScholes::Binaries::Greeks

You can also look for information at:

LICENSE AND COPYRIGHT

Copyright 2014 binary.com.

This program is free software; you can redistribute it and/or modify it under the terms of the the Artistic License (2.0). You may obtain a copy of the full license at:

http://www.perlfoundation.org/artistic_license_2_0

Any use, modification, and distribution of the Standard or Modified Versions is governed by this Artistic License. By using, modifying or distributing the Package, you accept this license. Do not use, modify, or distribute the Package, if you do not accept this license.

If your Modified Version has been derived from a Modified Version made by someone other than you, you are nevertheless required to ensure that your Modified Version complies with the requirements of this license.

This license does not grant you the right to use any trademark, service mark, tradename, or logo of the Copyright Holder.

This license includes the non-exclusive, worldwide, free-of-charge patent license to make, have made, use, offer to sell, sell, import and otherwise transfer the Package with respect to any patent claims licensable by the Copyright Holder that are necessarily infringed by the Package. If you institute patent litigation (including a cross-claim or counterclaim) against any party alleging that the Package constitutes direct or contributory patent infringement, then this Artistic License to you shall terminate on the date that such litigation is filed.

Disclaimer of Warranty: THE PACKAGE IS PROVIDED BY THE COPYRIGHT HOLDER AND CONTRIBUTORS "AS IS' AND WITHOUT ANY EXPRESS OR IMPLIED WARRANTIES. THE IMPLIED WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, OR NON-INFRINGEMENT ARE DISCLAIMED TO THE EXTENT PERMITTED BY YOUR LOCAL LAW. UNLESS REQUIRED BY LAW, NO COPYRIGHT HOLDER OR CONTRIBUTOR WILL BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, OR CONSEQUENTIAL DAMAGES ARISING IN ANY WAY OUT OF THE USE OF THE PACKAGE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.