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[Octave-patch-tracker] [patch #8205] Addition to financial package: blk*
From: |
Parsiad Azimzadeh |
Subject: |
[Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions |
Date: |
Tue, 08 Oct 2013 02:04:24 +0000 |
User-agent: |
Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/30.0.1599.66 Safari/537.36 |
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
_______________________________________________________
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.
_______________________________________________________
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>
_______________________________________________________
Reply to this item at:
<http://savannah.gnu.org/patch/?8205>
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- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions,
Parsiad Azimzadeh <=
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Carnë Draug, 2013/10/08
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Parsiad Azimzadeh, 2013/10/09
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Parsiad Azimzadeh, 2013/10/10
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Parsiad Azimzadeh, 2013/10/10
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Carnë Draug, 2013/10/17
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Carnë Draug, 2013/10/25