@uzh-bf/react-option-charts
Version:
Option pricing and payoff charts in React
42 lines • 2.12 kB
TypeScript
declare module 'black-scholes' {
/**
* Black-Scholes option pricing formula.
* See {@link http://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model#Black-Scholes_formula|Wikipedia page}
* for pricing puts in addition to calls.
*
* @param {Number} s Current price of the underlying
* @param {Number} k Strike price
* @param {Number} t Time to experiation in years
* @param {Number} v Volatility as a decimal
* @param {Number} r Anual risk-free interest rate as a decimal
* @param {String} callPut The type of option to be priced - "call" or "put"
* @returns {Number} Price of the option
*/
export function blackScholes(s: number, k: number, t: number, v: number, r: number, callPut: "call" | "put"): number;
/**
* Black-Scholes option pricing formula and supporting statistical functions.
* @module black-scholes
* @author Matt Loppatto <mattloppatto@gmail.com>
* @copyright 2014 Matt Loppatto
*/
/**
* Standard normal cumulative distribution function. The probability is estimated
* by expanding the CDF into a series using the first 100 terms.
* See {@link http://en.wikipedia.org/wiki/Normal_distribution#Cumulative_distribution_function|Wikipedia page}.
*
* @param {Number} x The upper bound to integrate over. This is P{Z <= x} where Z is a standard normal random variable.
* @returns {Number} The probability that a standard normal random variable will be less than or equal to x
*/
export function stdNormCDF(x: number): number;
/**
* Calcuate omega as defined in the Black-Scholes formula.
*
* @param {Number} s Current price of the underlying
* @param {Number} k Strike price
* @param {Number} t Time to experiation in years
* @param {Number} v Volatility as a decimal
* @param {Number} r Anual risk-free interest rate as a decimal
* @returns {Number} The value of omega
*/
export function getW(s: number, k: number, t: number, v: number, r: number): number;
}