hel needed to use this afl : Option Calls, Puts and days till third friday.

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traderami

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#1
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//------------------------------------------------------------------------------
//
// Formula Name: Option Calls, Puts and days till third friday.
// Author/Uploader: Vladimir Gaitanoff
// E-mail: [email protected]
// 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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