mdd/thirdparty/exprtk/exprtk_simple_example_15.cpp

/*
 **************************************************************
 *         C++ Mathematical Expression Toolkit Library        *
 *                                                            *
 * Simple Example 15                                          *
 * Author: Arash Partow (1999-2020)                           *
 * URL: http://www.partow.net/programming/exprtk/index.html   *
 *                                                            *
 * Copyright notice:                                          *
 * Free use of the Mathematical Expression Toolkit Library is *
 * permitted under the guidelines and in accordance with the  *
 * most current version of the MIT License.                   *
 * http://www.opensource.org/licenses/MIT                     *
 *                                                            *
 **************************************************************
*/


#include <cstdio>
#include <string>

#include "exprtk.hpp"


template <typename T>
void black_scholes_merton_model()
{
   typedef exprtk::symbol_table<T> symbol_table_t;
   typedef exprtk::expression<T>     expression_t;
   typedef exprtk::parser<T>             parser_t;

   const std::string bsm_model_program =
                  " var d1 := (log(s / x) + (r + v^2 / 2) * t) / (v * sqrt(t)); "
                  " var d2 := d1 - v * sqrt(t);                                 "
                  "                                                             "
                  " if (callput_flag == 'call')                                 "
                  "   s * ncdf(d1) - x * e^(-r * t) * ncdf(d2);                 "
                  " else if (callput_flag == 'put')                             "
                  "   x * e^(-r * t) * ncdf(-d2) - s * ncdf(-d1);               "
                  "                                                             ";

   T s = T(60.00); // Stock price
   T x = T(65.00); // Strike price
   T t = T( 0.25); // Years to maturity
   T r = T( 0.08); // Risk free rate
   T v = T( 0.30); // Volatility

   std::string callput_flag;

   static const T e = exprtk::details::numeric::constant::e;

   symbol_table_t symbol_table;
   symbol_table.add_variable("s",s);
   symbol_table.add_variable("x",x);
   symbol_table.add_variable("t",t);
   symbol_table.add_variable("r",r);
   symbol_table.add_variable("v",v);
   symbol_table.add_constant("e",e);
   symbol_table.add_stringvar("callput_flag",callput_flag);

   expression_t expression;
   expression.register_symbol_table(symbol_table);

   parser_t parser;
   parser.compile(bsm_model_program,expression);

   {
      callput_flag = "call";

      T bsm = expression.value();

      printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
             callput_flag.c_str(),
             s, x, t, r, v,
             bsm);
   }

   {
      callput_flag = "put";

      T bsm = expression.value();

      printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
             callput_flag.c_str(),
             s, x, t, r, v,
             bsm);
   }
}

int main()
{
   black_scholes_merton_model<double>();
   return 0;
}