/ 
Finance-Options-Calc-0.90
River stage zero No dependents
/ Finance::Options::Calc

NAME

Finance::Options::Calc - Option analysis based on different option pricing models.

SYNOPSIS

   use Finance::Options::Calc;

   print b_s_call(90, 80, 20, 30, 4.5);
   print b_s_put (90, 80, 20, 30, 4.5);
   print call_delta(90, 80, 20, 30, 4.5); 
   print put_delta(90, 80, 20, 30, 4.5);
   print call_theta(90, 80, 20, 30, 4.5);
   print put_theta(90, 80, 20, 30, 4.5); 
   print gamma(90, 80, 20, 30, 4.5);
   print vega(90, 80, 20, 30, 4.5);
   print call_rho(90, 80, 20, 30, 4.5);
   print put_rho(90, 80, 20, 30, 4.5);

DESCRIPTION

b_s_call() subroutines returns theorical value of the call option based on Black_Scholes model. The arguments are current stock price, strike price, time to expiration (calender days, note this module does NOT use business days), volatility(%), annual interest rate(%) in order.

b_s_put() subroutines returns theorical value of the put option based on Black_Scholes model. The arguments are current stock price, strike price, time to expiration (calender days, note this module does NOT use business days), volatility(%), annual interest rate(%) in order.

call_delta() returns call delta.

put_delta() returns put delta.

Other methods are similar.

TODO

more calculation models will be included.

AUTHOR

Chicheng Zhang

chichengzhang@hotmail.com