diff options
Diffstat (limited to 'scaddins/source/pricing/black_scholes.cxx')
| -rw-r--r-- | scaddins/source/pricing/black_scholes.cxx | 24 |
1 files changed, 12 insertions, 12 deletions
diff --git a/scaddins/source/pricing/black_scholes.cxx b/scaddins/source/pricing/black_scholes.cxx index fe111f03858a..ff5c5f71cda6 100644 --- a/scaddins/source/pricing/black_scholes.cxx +++ b/scaddins/source/pricing/black_scholes.cxx @@ -86,16 +86,16 @@ namespace bs { // helper functions -inline double sqr(double x) { +static inline double sqr(double x) { return x*x; } // normal density (see also ScInterpreter::phi) -inline double dnorm(double x) { +static inline double dnorm(double x) { //return (1.0/sqrt(2.0*M_PI))*exp(-0.5*x*x); // windows may not have M_PI return 0.39894228040143268*exp(-0.5*x*x); } // cumulative normal distribution (see also ScInterpreter::integralPhi) -inline double pnorm(double x) { +static inline double pnorm(double x) { //return 0.5*(erf(sqrt(0.5)*x)+1.0); // windows may not have erf return 0.5 * ::rtl::math::erfc(-x * 0.7071067811865475); } @@ -293,7 +293,7 @@ double binasset(double S, double vol, double rd, double rf, // one function binary // using bincash() if fd==types::Domestic // using binasset() if fd==types::Foreign -double binary(double S, double vol, double rd, double rf, +static double binary(double S, double vol, double rd, double rf, double tau, double K, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -316,7 +316,7 @@ double binary(double S, double vol, double rd, double rf, // into one function // B1<=0 - it is assumed lower barrier not set // B2<=0 - it is assumed upper barrier not set -double binary(double S, double vol, double rd, double rf, +static double binary(double S, double vol, double rd, double rf, double tau, double B1, double B2, types::ForDom fd, types::Greeks greek) { assert(tau>=0.0); @@ -503,7 +503,7 @@ namespace internal { // going to path-dependent barrier options, // K<0 - assume binary option // K>=0 - assume put/call option -double vanilla(double S, double vol, double rd, double rf, +static double vanilla(double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -516,7 +516,7 @@ double vanilla(double S, double vol, double rd, double rf, } return val; } -double vanilla_trunc(double S, double vol, double rd, double rf, +static double vanilla_trunc(double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -546,7 +546,7 @@ namespace internal { // with sc=1 and V1() being the price of the respective truncated // vanilla option, V() would be the price of the respective barrier // option if only one barrier is present -double barrier_term(double S, double vol, double rd, double rf, +static double barrier_term(double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, double sc, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -651,7 +651,7 @@ double barrier_term(double S, double vol, double rd, double rf, } // one term of the infinite sum for the valuation of double barriers -double barrier_double_term( double S, double vol, double rd, double rf, +static double barrier_double_term( double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, double fac, double sc, int i, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -709,7 +709,7 @@ double barrier_double_term( double S, double vol, double rd, double rf, // general pricer for any type of options with continuously monitored barriers // allows two, one or zero barriers, only knock-out style // payoff profiles allowed based on vanilla_trunc() -double barrier_ko(double S, double vol, double rd, double rf, +static double barrier_ko(double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -784,7 +784,7 @@ double barrier_ko(double S, double vol, double rd, double rf, } // knock-in style barrier -double barrier_ki(double S, double vol, double rd, double rf, +static double barrier_ki(double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek) { @@ -793,7 +793,7 @@ double barrier_ki(double S, double vol, double rd, double rf, } // general barrier -double barrier(double S, double vol, double rd, double rf, +static double barrier(double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::BarrierKIO kio, types::BarrierActive bcont, |