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Diffstat (limited to 'scaddins/source/pricing/pricing.cxx')
| -rw-r--r-- | scaddins/source/pricing/pricing.cxx | 739 |
1 files changed, 739 insertions, 0 deletions
diff --git a/scaddins/source/pricing/pricing.cxx b/scaddins/source/pricing/pricing.cxx new file mode 100644 index 000000000000..ba4cb31a9e4d --- /dev/null +++ b/scaddins/source/pricing/pricing.cxx @@ -0,0 +1,739 @@ +/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ +/* + * This file is part of the LibreOffice project. + * + * This Source Code Form is subject to the terms of the Mozilla Public + * License, v. 2.0. If a copy of the MPL was not distributed with this + * file, You can obtain one at http://mozilla.org/MPL/2.0/. + * + * This file incorporates work covered by the following license notice: + * + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed + * with this work for additional information regarding copyright + * ownership. The ASF licenses this file to you under the Apache + * License, Version 2.0 (the "License"); you may not use this file + * except in compliance with the License. You may obtain a copy of + * the License at http://www.apache.org/licenses/LICENSE-2.0 . + */ + +//------------------------------------------------------------------ +// +// pricing functions add in +// +// all of the UNO add-in technical details have been copied from +// ../datefunc/datefunc.cxx +// +//------------------------------------------------------------------ + +#include "pricing.hxx" +#include "black_scholes.hxx" +#include "pricing.hrc" +#include <cppuhelper/factory.hxx> +#include <osl/diagnose.h> +#include <rtl/ustrbuf.hxx> +#include <rtl/math.hxx> +#include <tools/resmgr.hxx> +#include <tools/rcid.h> + +#include <iostream> + +using namespace ::com::sun::star; +using namespace sca::pricing; + + +//------------------------------------------------------------------ + +#define ADDIN_SERVICE "com.sun.star.sheet.AddIn" +#define MY_SERVICE "com.sun.star.sheet.addin.PricingFunctions" +#define MY_IMPLNAME "com.sun.star.sheet.addin.PricingFunctionsImpl" + +//------------------------------------------------------------------ + +#define STR_FROM_ANSI( s ) OUString( s, strlen( s ), RTL_TEXTENCODING_MS_1252 ) + +//------------------------------------------------------------------ + +const sal_uInt32 ScaList::nStartSize = 16; +const sal_uInt32 ScaList::nIncrSize = 16; + +ScaList::ScaList() : + pData( new void*[ nStartSize ] ), + nSize( nStartSize ), + nCount( 0 ), + nCurr( 0 ) +{ +} + +ScaList::~ScaList() +{ + delete[] pData; +} + +void ScaList::_Grow() +{ + nSize += nIncrSize; + + void** pNewData = new void*[ nSize ]; + memcpy( pNewData, pData, nCount * sizeof( void* ) ); + + delete[] pData; + pData = pNewData; +} + +//------------------------------------------------------------------ + +ScaStringList::~ScaStringList() +{ + for( OUString* pStr = First(); pStr; pStr = Next() ) + delete pStr; +} + +//------------------------------------------------------------------ + +ScaResId::ScaResId( sal_uInt16 nId, ResMgr& rResMgr ) : + ResId( nId, rResMgr ) +{ +} + + +//------------------------------------------------------------------ + +#define UNIQUE sal_False // function name does not exist in Calc +#define DOUBLE sal_True // function name exists in Calc + +#define STDPAR sal_False // all parameters are described +#define INTPAR sal_True // first parameter is internal + +#define FUNCDATA( FuncName, ParamCount, Category, Double, IntPar ) \ + { "get" #FuncName, PRICING_FUNCNAME_##FuncName, PRICING_FUNCDESC_##FuncName, PRICING_DEFFUNCNAME_##FuncName, ParamCount, Category, Double, IntPar } + +const ScaFuncDataBase pFuncDataArr[] = +{ + FUNCDATA( Opt_barrier, 13, ScaCat_Finance, UNIQUE, STDPAR), + FUNCDATA( Opt_touch, 11, ScaCat_Finance, UNIQUE, STDPAR), + FUNCDATA( Opt_prob_hit, 6, ScaCat_Finance, UNIQUE, STDPAR), + FUNCDATA( Opt_prob_inmoney, 8, ScaCat_Finance, UNIQUE, STDPAR) +}; + +#undef FUNCDATA + + +//------------------------------------------------------------------ + +ScaFuncData::ScaFuncData( const ScaFuncDataBase& rBaseData, ResMgr& rResMgr ) : + aIntName( OUString::createFromAscii( rBaseData.pIntName ) ), + nUINameID( rBaseData.nUINameID ), + nDescrID( rBaseData.nDescrID ), + nCompListID( rBaseData.nCompListID ), + nParamCount( rBaseData.nParamCount ), + eCat( rBaseData.eCat ), + bDouble( rBaseData.bDouble ), + bWithOpt( rBaseData.bWithOpt ) +{ + ScaResStringArrLoader aArrLoader( RID_PRICING_DEFFUNCTION_NAMES, nCompListID, rResMgr ); + const ResStringArray& rArr = aArrLoader.GetStringArray(); + + for( sal_uInt16 nIndex = 0; nIndex < rArr.Count(); nIndex++ ) + aCompList.Append( rArr.GetString( nIndex ) ); +} + +ScaFuncData::~ScaFuncData() +{ +} + +sal_uInt16 ScaFuncData::GetStrIndex( sal_uInt16 nParam ) const +{ + if( !bWithOpt ) + nParam++; + return (nParam > nParamCount) ? (nParamCount * 2) : (nParam * 2); +} + + +//------------------------------------------------------------------ + +ScaFuncDataList::ScaFuncDataList( ResMgr& rResMgr ) : + nLast( 0xFFFFFFFF ) +{ + for( sal_uInt16 nIndex = 0; nIndex < SAL_N_ELEMENTS(pFuncDataArr); nIndex++ ) + Append( new ScaFuncData( pFuncDataArr[ nIndex ], rResMgr ) ); +} + +ScaFuncDataList::~ScaFuncDataList() +{ + for( ScaFuncData* pFData = First(); pFData; pFData = Next() ) + delete pFData; +} + +const ScaFuncData* ScaFuncDataList::Get( const OUString& rProgrammaticName ) const +{ + OUString aTestName; + + if( aLastName == rProgrammaticName ){ + return Get( nLast ); + } + + for( sal_uInt32 nIndex = 0; nIndex < Count(); nIndex++ ) + { + const ScaFuncData* pCurr = Get( nIndex ); + if( pCurr->Is( rProgrammaticName ) ) + { + const_cast< ScaFuncDataList* >( this )->aLastName = rProgrammaticName; + const_cast< ScaFuncDataList* >( this )->nLast = nIndex; + return pCurr; + } + } + return NULL; +} + + +//------------------------------------------------------------------ + +ScaFuncRes::ScaFuncRes( ResId& rResId, ResMgr& rResMgr, sal_uInt16 nIndex, OUString& rRet ) : + Resource( rResId ) +{ + rRet = String( ScaResId( nIndex, rResMgr ) ); + FreeResource(); +} + + +//------------------------------------------------------------------ +// +// entry points for service registration / instantiation +// +//------------------------------------------------------------------ + +uno::Reference< uno::XInterface > SAL_CALL ScaPricingAddIn_CreateInstance( + const uno::Reference< lang::XMultiServiceFactory >& ) +{ + static uno::Reference< uno::XInterface > xInst = (cppu::OWeakObject*) new ScaPricingAddIn(); + return xInst; +} + + +//------------------------------------------------------------------------ + +extern "C" { + +SAL_DLLPUBLIC_EXPORT void * SAL_CALL pricing_component_getFactory( + const sal_Char * pImplName, void * pServiceManager, void * /*pRegistryKey*/ ) +{ + void* pRet = 0; + + if ( pServiceManager && + OUString::createFromAscii( pImplName ) == ScaPricingAddIn::getImplementationName_Static() ) + { + uno::Reference< lang::XSingleServiceFactory > xFactory( cppu::createOneInstanceFactory( + reinterpret_cast< lang::XMultiServiceFactory* >( pServiceManager ), + ScaPricingAddIn::getImplementationName_Static(), + ScaPricingAddIn_CreateInstance, + ScaPricingAddIn::getSupportedServiceNames_Static() ) ); + + if (xFactory.is()) + { + xFactory->acquire(); + pRet = xFactory.get(); + } + } + + return pRet; +} + +} // extern C + +//------------------------------------------------------------------------ +// +// "normal" service implementation +// +//------------------------------------------------------------------------ + +ScaPricingAddIn::ScaPricingAddIn() : + pDefLocales( NULL ), + pResMgr( NULL ), + pFuncDataList( NULL ) +{ +} + +ScaPricingAddIn::~ScaPricingAddIn() +{ + if( pFuncDataList ) + delete pFuncDataList; + if( pDefLocales ) + delete[] pDefLocales; + + // pResMgr already deleted (_all_ resource managers are deleted _before_ this dtor is called) +} + +static const sal_Char* pLang[] = { "de", "en" }; +static const sal_Char* pCoun[] = { "DE", "US" }; +static const sal_uInt32 nNumOfLoc = SAL_N_ELEMENTS( pLang ); + +void ScaPricingAddIn::InitDefLocales() +{ + pDefLocales = new lang::Locale[ nNumOfLoc ]; + + for( sal_uInt32 nIndex = 0; nIndex < nNumOfLoc; nIndex++ ) + { + pDefLocales[ nIndex ].Language = OUString::createFromAscii( pLang[ nIndex ] ); + pDefLocales[ nIndex ].Country = OUString::createFromAscii( pCoun[ nIndex ] ); + } +} + +const lang::Locale& ScaPricingAddIn::GetLocale( sal_uInt32 nIndex ) +{ + if( !pDefLocales ) + InitDefLocales(); + + return (nIndex < sizeof( pLang )) ? pDefLocales[ nIndex ] : aFuncLoc; +} + +ResMgr& ScaPricingAddIn::GetResMgr() throw( uno::RuntimeException ) +{ + if( !pResMgr ) + { + InitData(); // try to get resource manager + if( !pResMgr ) + throw uno::RuntimeException(); + } + return *pResMgr; +} + +void ScaPricingAddIn::InitData() +{ + + if( pResMgr ) + delete pResMgr; + + OString aModName( "pricing" ); + pResMgr = ResMgr::CreateResMgr( aModName.getStr(), aFuncLoc ); + + if( pFuncDataList ) + delete pFuncDataList; + + pFuncDataList = pResMgr ? new ScaFuncDataList( *pResMgr ) : NULL; + + if( pDefLocales ) + { + delete pDefLocales; + pDefLocales = NULL; + } +} + +OUString ScaPricingAddIn::GetDisplFuncStr( sal_uInt16 nResId ) throw( uno::RuntimeException ) +{ + return ScaResStringLoader( RID_PRICING_FUNCTION_NAMES, nResId, GetResMgr() ).GetString(); +} + +OUString ScaPricingAddIn::GetFuncDescrStr( sal_uInt16 nResId, sal_uInt16 nStrIndex ) throw( uno::RuntimeException ) +{ + OUString aRet; + + ScaResPublisher aResPubl( ScaResId( RID_PRICING_FUNCTION_DESCRIPTIONS, GetResMgr() ) ); + ScaResId aResId( nResId, GetResMgr() ); + aResId.SetRT( RSC_RESOURCE ); + + if( aResPubl.IsAvailableRes( aResId ) ) + ScaFuncRes aSubRes( aResId, GetResMgr(), nStrIndex, aRet ); + + aResPubl.FreeResource(); + return aRet; +} + + +//------------------------------------------------------------------------ + +OUString ScaPricingAddIn::getImplementationName_Static() +{ + return OUString(RTL_CONSTASCII_USTRINGPARAM( MY_IMPLNAME )); +} + +uno::Sequence< OUString > ScaPricingAddIn::getSupportedServiceNames_Static() +{ + uno::Sequence< OUString > aRet( 2 ); + OUString* pArray = aRet.getArray(); + pArray[0] = OUString(RTL_CONSTASCII_USTRINGPARAM( ADDIN_SERVICE )); + pArray[1] = OUString(RTL_CONSTASCII_USTRINGPARAM( MY_SERVICE )); + return aRet; +} + +// XServiceName + +OUString SAL_CALL ScaPricingAddIn::getServiceName() throw( uno::RuntimeException ) +{ + // name of specific AddIn service + return OUString(RTL_CONSTASCII_USTRINGPARAM( MY_SERVICE )); +} + +// XServiceInfo + +OUString SAL_CALL ScaPricingAddIn::getImplementationName() throw( uno::RuntimeException ) +{ + return getImplementationName_Static(); +} + +sal_Bool SAL_CALL ScaPricingAddIn::supportsService( const OUString& aServiceName ) throw( uno::RuntimeException ) +{ + return aServiceName == ADDIN_SERVICE || aServiceName == MY_SERVICE; +} + +uno::Sequence< OUString > SAL_CALL ScaPricingAddIn::getSupportedServiceNames() throw( uno::RuntimeException ) +{ + return getSupportedServiceNames_Static(); +} + +// XLocalizable + +void SAL_CALL ScaPricingAddIn::setLocale( const lang::Locale& eLocale ) throw( uno::RuntimeException ) +{ + aFuncLoc = eLocale; + InitData(); // change of locale invalidates resources! +} + +lang::Locale SAL_CALL ScaPricingAddIn::getLocale() throw( uno::RuntimeException ) +{ + return aFuncLoc; +} + +//------------------------------------------------------------------ +// +// function descriptions start here +// +//------------------------------------------------------------------ + +// XAddIn +OUString SAL_CALL ScaPricingAddIn::getProgrammaticFuntionName( const OUString& ) throw( uno::RuntimeException ) +{ + // not used by calc + // (but should be implemented for other uses of the AddIn service) + return OUString(); +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayFunctionName( const OUString& aProgrammaticName ) throw( uno::RuntimeException ) +{ + OUString aRet; + + const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); + if( pFData ) + { + aRet = GetDisplFuncStr( pFData->GetUINameID() ); + if( pFData->IsDouble() ) + aRet += STR_FROM_ANSI( "_ADD" ); + } + else + { + aRet = STR_FROM_ANSI( "UNKNOWNFUNC_" ); + aRet += aProgrammaticName; + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getFunctionDescription( const OUString& aProgrammaticName ) throw( uno::RuntimeException ) +{ + OUString aRet; + + const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); + if( pFData ) + aRet = GetFuncDescrStr( pFData->GetDescrID(), 1 ); + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayArgumentName( + const OUString& aProgrammaticName, sal_Int32 nArgument ) throw( uno::RuntimeException ) +{ + OUString aRet; + + const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); + if( pFData && (nArgument <= 0xFFFF) ) + { + sal_uInt16 nStr = pFData->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); + if( nStr ) + aRet = GetFuncDescrStr( pFData->GetDescrID(), nStr ); + else + aRet = STR_FROM_ANSI( "internal" ); + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getArgumentDescription( + const OUString& aProgrammaticName, sal_Int32 nArgument ) throw( uno::RuntimeException ) +{ + OUString aRet; + + const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); + if( pFData && (nArgument <= 0xFFFF) ) + { + sal_uInt16 nStr = pFData->GetStrIndex( static_cast< sal_uInt16 >( nArgument ) ); + if( nStr ) + aRet = GetFuncDescrStr( pFData->GetDescrID(), nStr + 1 ); + else + aRet = STR_FROM_ANSI( "for internal use only" ); + } + + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getProgrammaticCategoryName( + const OUString& aProgrammaticName ) throw( uno::RuntimeException ) +{ + OUString aRet; + + const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); + if( pFData ) + { + switch( pFData->GetCategory() ) + { + case ScaCat_DateTime: aRet = STR_FROM_ANSI( "Date&Time" ); break; + case ScaCat_Text: aRet = STR_FROM_ANSI( "Text" ); break; + case ScaCat_Finance: aRet = STR_FROM_ANSI( "Financial" ); break; + case ScaCat_Inf: aRet = STR_FROM_ANSI( "Information" ); break; + case ScaCat_Math: aRet = STR_FROM_ANSI( "Mathematical" ); break; + case ScaCat_Tech: aRet = STR_FROM_ANSI( "Technical" ); break; + default: // to prevent compiler warnings + break; + } + } + + if( aRet.isEmpty() ) + aRet = STR_FROM_ANSI( "Add-In" ); + return aRet; +} + +OUString SAL_CALL ScaPricingAddIn::getDisplayCategoryName( + const OUString& aProgrammaticName ) throw( uno::RuntimeException ) +{ + return getProgrammaticCategoryName( aProgrammaticName ); +} + + +// XCompatibilityNames + +uno::Sequence< sheet::LocalizedName > SAL_CALL ScaPricingAddIn::getCompatibilityNames( + const OUString& aProgrammaticName ) throw( uno::RuntimeException ) +{ + const ScaFuncData* pFData = pFuncDataList->Get( aProgrammaticName ); + if( !pFData ) + return uno::Sequence< sheet::LocalizedName >( 0 ); + + const ScaStringList& rStrList = pFData->GetCompNameList(); + sal_uInt32 nCount = rStrList.Count(); + + uno::Sequence< sheet::LocalizedName > aRet( nCount ); + sheet::LocalizedName* pArray = aRet.getArray(); + + for( sal_uInt32 nIndex = 0; nIndex < nCount; nIndex++ ) + pArray[ nIndex ] = sheet::LocalizedName( GetLocale( nIndex ), *rStrList.Get( nIndex ) ); + + return aRet; +} + + + +// --------------------------------------------------------------------- +// --------------------------------------------------------------------- +// actual function implementation starts here +// + +// auxillary input handling functions +namespace { + +bool getinput_putcall(bs::types::PutCall& pc, const STRING& str) { + if(str.compareToAscii("c",1)==0) { + pc=bs::types::Call; + } else if(str.compareToAscii("p",1)==0) { + pc=bs::types::Put; + } else { + return false; + } + return true; +} + +bool getinput_putcall(bs::types::PutCall& pc, const ANY& anyval) { + STRING str; + if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_STRING) { + anyval >>= str; + } else if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_VOID) { + str="c"; // call as default + } else { + return false; + } + return getinput_putcall(pc, str); +} + +bool getinput_strike(double& strike, const ANY& anyval) { + if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_DOUBLE) { + anyval >>= strike; + } else if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_VOID) { + strike=-1.0; // -1 as default (means not set) + } else { + return false; + } + return true; +} + +bool getinput_inout(bs::types::BarrierKIO& kio, const STRING& str) { + if(str.compareToAscii("i",1)==0) { + kio=bs::types::KnockIn; + } else if(str.compareToAscii("o",1)==0) { + kio=bs::types::KnockOut; + } else { + return false; + } + return true; +} + +bool getinput_barrier(bs::types::BarrierActive& cont, const STRING& str) { + if(str.compareToAscii("c",1)==0) { + cont=bs::types::Continuous; + } else if(str.compareToAscii("e",1)==0) { + cont=bs::types::Maturity; + } else { + return false; + } + return true; +} + +bool getinput_fordom(bs::types::ForDom& fd, const STRING& str) { + if(str.compareToAscii("f",1)==0) { + fd=bs::types::Foreign; + } else if(str.compareToAscii("d",1)==0) { + fd=bs::types::Domestic; + } else { + return false; + } + return true; +} + +bool getinput_greek(bs::types::Greeks& greek, const ANY& anyval) { + STRING str; + if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_STRING) { + anyval >>= str; + } else if(anyval.getValueTypeClass() == ::com::sun::star::uno::TypeClass_VOID) { + str="value"; + } else { + return false; + } + + if(str.compareToAscii("value")==0 || str.compareToAscii("price")==0 || + str.compareToAscii("v")==0 || str.compareToAscii("p")==0 ) { + greek=bs::types::Value; + } else if(str.compareToAscii("delta")==0||str.compareToAscii("d")==0) { + greek=bs::types::Delta; + } else if(str.compareToAscii("gamma")==0||str.compareToAscii("g")==0) { + greek=bs::types::Gamma; + } else if(str.compareToAscii("theta")==0||str.compareToAscii("t")==0) { + greek=bs::types::Theta; + } else if(str.compareToAscii("vega")==0||str.compareToAscii("e")==0) { + greek=bs::types::Vega; + } else if(str.compareToAscii("volga")==0||str.compareToAscii("o")==0) { + greek=bs::types::Volga; + } else if(str.compareToAscii("vanna")==0||str.compareToAscii("a")==0) { + greek=bs::types::Vanna; + } else if(str.compareToAscii("rho")==0||str.compareToAscii("r")==0) { + greek=bs::types::Rho_d; + } else if(str.compareToAscii("rhof")==0||str.compareToAscii("f")==0) { + greek=bs::types::Rho_f; + } else { + return false; + } + return true; +} + +} // namespace for auxillary functions + + +// OPT_BARRIER(...) +double SAL_CALL ScaPricingAddIn::getOpt_barrier( double spot, double vol, + double r, double rf, double T, double strike, + double barrier_low, double barrier_up, double rebate, + const STRING& put_call, const STRING& in_out, + const STRING& barriercont, const ANY& greekstr ) THROWDEF_RTE_IAE +{ + bs::types::PutCall pc; + bs::types::BarrierKIO kio; + bs::types::BarrierActive bcont; + bs::types::Greeks greek; + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || strike<0.0 || + !getinput_putcall(pc,put_call) || + !getinput_inout(kio,in_out) || + !getinput_barrier(bcont,barriercont) || + !getinput_greek(greek,greekstr) ){ + THROW_IAE; + } + + double fRet=bs::barrier(spot,vol,r,rf,T,strike, barrier_low,barrier_up, + rebate,pc,kio,bcont,greek); + + RETURN_FINITE( fRet ); +} + +// OPT_TOUCH(...) +double SAL_CALL ScaPricingAddIn::getOpt_touch( double spot, double vol, + double r, double rf, double T, + double barrier_low, double barrier_up, + const STRING& for_dom, const STRING& in_out, + const STRING& barriercont, const ANY& greekstr ) THROWDEF_RTE_IAE +{ + bs::types::ForDom fd; + bs::types::BarrierKIO kio; + bs::types::BarrierActive bcont; + bs::types::Greeks greek; + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || + !getinput_fordom(fd,for_dom) || + !getinput_inout(kio,in_out) || + !getinput_barrier(bcont,barriercont) || + !getinput_greek(greek,greekstr) ){ + THROW_IAE; + } + + double fRet=bs::touch(spot,vol,r,rf,T,barrier_low,barrier_up, + fd,kio,bcont,greek); + + RETURN_FINITE( fRet ); +} + +// OPT_PRB_HIT(...) +double SAL_CALL ScaPricingAddIn::getOpt_prob_hit( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up ) THROWDEF_RTE_IAE +{ + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 ) { + THROW_IAE; + } + + double fRet=bs::prob_hit(spot,vol,mu,T,barrier_low,barrier_up); + + RETURN_FINITE( fRet ); +} + +// OPT_PRB_INMONEY(...) +double SAL_CALL ScaPricingAddIn::getOpt_prob_inmoney( double spot, double vol, + double mu, double T, + double barrier_low, double barrier_up, + const ANY& strikeval, const ANY& put_call ) THROWDEF_RTE_IAE +{ + bs::types::PutCall pc; + double K; + + // read and check input values + if( spot<=0.0 || vol<=0.0 || T<0.0 || + !getinput_putcall(pc,put_call) || + !getinput_strike(K,strikeval) ) { + THROW_IAE; + } + + double fRet=bs::prob_in_money(spot,vol,mu,T,K,barrier_low,barrier_up,pc); + + RETURN_FINITE( fRet ); +} + + + +//------------------------------------------------------------------ + +/* vim:set shiftwidth=4 softtabstop=4 expandtab: */ |