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- #import std
- #import nat
- #import flo
- #import crt
- #import cop
- usage =
- :/'usage: call [-parameter value]* [--greeks]' ~&t -[
- -s <initial stock price>
- -t <time to expiration>
- -v <volatility>
- -r <interest rate>
- -k <strike price>]-
- #optimize+
- price =
- <"s","t","v","r","k">. levin_limit amer* *- (
- crr$[s: "s"!,t: "t"!,v: "v"!,r: "r"!,n: ~&]* ~&NiC|\ 8!* iota4,
- max/0.+ minus\"k")
- greeks =
- ^|T(~&,printf/':%10.3f')*+ -+
- //~&p <'delta','theta','vega ','rho ','dc/dk','gamma'>,
- ^lrNCT(
- ~&h+ jacobian(1,5) ~&iNC+ price,
- ("h","t"). (derivative derivative price\"t") "h")+-
- #comment usage--<'','last modified: '--__source_time_stamp>
- #executable (<'par'>,<>)
- call =
- ~&iNC+ file$[contents: ~&]+ -+
- ^CNNCT/-+printf/'price:%10.2f',price+~&r+- ~&l&& greeks+ ~&r,
- ~command.options; ^/(any ~keyword[='greeks') -+
- -&~&itZBg,eql/16,all ~&jZ\'0123456789.-'+ ~&h&-?/%ep* usage!%,
- ~parameters*+ ~&itZBFL+ gang *~* ~keyword==* ~&iNCS 'stvrk'+-+-
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