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Update optionGreeksModel.h
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@lyndskg
lyndskg authored Jan 7, 2024
1 parent 438be88 commit 3b0e4fb
Showing 1 changed file with 54 additions and 48 deletions.
102 changes: 54 additions & 48 deletions include/black-scholes-cpp/optionGreeksModel.h
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Original file line number Diff line number Diff line change
Expand Up @@ -15,12 +15,13 @@

using namespace std;


class optionGreeksModel : public virtual blackScholesModel, public optionGreeks {
public:
// ----------------------------------------------------------------------------
// "optionGreeksModel" Class Declarations
// ----------------------------------------------------------------------------
/*------------------------------ CONSTRUCTORS ------------------------------*/
// --------------------------------------------------------------------------------------
// "optionGreeksModel" Class Declarations
// --------------------------------------------------------------------------------------
/*----------------------------------- CONSTRUCTORS ----------------------------------*/

// Default constructor.
optionGreeksModel();
Expand All @@ -30,19 +31,20 @@ class optionGreeksModel : public virtual blackScholesModel, public optionGreeks
double riskFreeRate, double volatility);


/*------------------------------- KEY MEMBER FUNCTIONS -----------------------------*/
/*---------------------------------- KEY MEMBER FUNCTIONS ------------------------------*/

// Calculates the number of shares needed to maintain a delta-neutral position -- determining
// the appropriate action (i.e. buy or sell) and executing the corresponding order.
//
// Calculates the number of shares needed to maintain a delta-neutral position --
// determining the appropriate action (i.e. buy or sell) and executing the corresponding
// order.

// Time complexity: O(1)
// Space complexity: O(1)
void performDeltaNeutralHedging(double hedgeRatio);


// Calculates the option price taking implied volatility (IV) as an additional input
// parameter used to re-calculate the Delta value.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateOptionPriceWithIV(double underlyingPrice, double strikePrice,
Expand All @@ -52,7 +54,7 @@ class optionGreeksModel : public virtual blackScholesModel, public optionGreeks

// Calculates the option price with Gamma adjustments, incorporating Delta and Gamma values
// as well as the adjusted Delta.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateOptionPriceWithGamma(double underlyingPrice, double strikePrice,
Expand All @@ -61,7 +63,7 @@ class optionGreeksModel : public virtual blackScholesModel, public optionGreeks

// Calculates the option price with Vega adjustments, incorporating Delta and Gamma values
// as well as the adjusted Delta.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateOptionPriceWithVega(double underlyingPrice, double strikePrice,
Expand All @@ -70,212 +72,216 @@ class optionGreeksModel : public virtual blackScholesModel, public optionGreeks

// Calculates the option price with Theta adjustments, incorporating Delta and Theta values
// as well as the adjusted Delta.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateOptionPriceWithTheta(double underlyingPrice, double strikePrice,
double timeToMaturity, double riskFreeRate) const;


// Calculates the option price with both Gamma and Vega adjustments, incorporating Delta and Gamma values as well as the adjusted Delta.
//
// Calculates the option price with both Gamma and Vega adjustments, incorporating Delta
// and Gamma values as well as the adjusted Delta.

// Time complexity: O(1)
// Space complexity: O(1)
double calculateOptionPriceWithGammaVega(double underlyingPrice, double strikePrice,
double timeToMaturity, double riskFreeRate) const;


/*-------------------------- INTERMEDIATE MEMBER FUNCTIONS -------------------------*/

/*------------------------------- INTERMEDIATE MEMBER FUNCTIONS ------------------------------*/


// Calculates a new Delta value based on 'd1' using implied volatility as an additional
// input parameter.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateDeltaAdjWithIV(double impliedVolatility) const;


// Calculates the adjusted Delta value, which is the Delta value adjusted by its Gamma value.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateDeltaAdjWithGamma() const;

// Calculates the adjusted Delta value, which is the Delta value adjusted by its Vega value.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateDeltaAdjWithVega() const;


// Calculates the adjusted Delta value, which is the Delta value adjusted by the Theta value.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateDeltaAdjWithTheta() const;


// Calculates the adjusted Delta value, which is the Delta value adjusted by both
// its Gamma and Vega values.
//

// Time complexity: O(1)
// Space complexity: O(1)
double calculateDeltaAdjWithGammaVega() const;


/*-------------------------- SETTER METHODS --------------------------*/
/*----------------------------------- SETTER METHODS -------------------------------------*/

// Setter method for the IV-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setOptionPriceIv(double optionPriceIv) const;

// Setter method for the Gamma-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setOptionPriceGamma(double optionPriceGamma) const;


// Setter method for the Vega-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setOptionPriceVega(double optionPriceVega) const;


// Setter method for the Theta-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setOptionPriceTheta(double optionPriceTheta) const;


// Setter method for the Theta-adjusted Delta value of the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setThetaAdjustedDelta(double thetaAdjustedDelta) const;


// Setter method for the Gamma- and Vega-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setOptionPriceGammaVega(double optionPriceGammaVega) const;


// Setter method for the IV-adjusted Delta value of the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setIvAdjustedDelta(double ivAdjustedDelta) const;


// Setter method for the Gamma-adjusted Delta value of the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setGammaAdjustedDelta(double gammaAdjustedDelta) const;


// Setter method for the Vega-adjusted Delta value of the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setVegaAdjustedDelta(double vegaAdjustedDelta) const;


// Setter method for the Gamma- and Vega-adjusted Delta value of the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
void setGammaVegaAdjustedDelta(double gammaVegaAdjustedDelta) const;



/*-------------------------- GETTER METHODS --------------------------*/
/*---------------------------------- GETTER METHODS ----------------------------------*/

// Getter method for the IV-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getOptionPriceIv() const;

// Getter method for the Gamma-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getOptionPriceGamma() const;


// Getter method for the Vega-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getOptionPriceVega() const;


// Getter method for the Theta-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getOptionPriceTheta() const;


// Getter method for the Gamma- and Vega-adjusted option price using the Black-Scholes model.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getOptionPriceGammaVega() const;


// Getter method for the IV-adjusted Delta value of option Greeks.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getIvAdjustedDelta() const;


// Getter method for the Gamma-adjusted Delta value of option Greeks.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getGammaAdjustedDelta() const;


// Getter method for the Vega-adjusted Delta value of option Greeks.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getVegaAdjustedDelta() const;


// Getter method for the Theta-adjusted delta value of option Greeks.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getThetaAdjustedDelta() const;



// Getter method for the Gamma- and Vega-adjusted Delta value of option Greeks.
//

// Time complexity: O(1)
// Space complexity: O(1)
const double& getGammaVegaAdjustedDelta() const;




protected:
// TODO: Implement protected class member variables.



private:
// ----------------------------------------------------------------------------
// "optionGreeks" Member Variables
// ----------------------------------------------------------------------------
//*------------------ adjusted option Greeks variables --------------------*//
// ----------------------------------------------------------------------------------------
// "optionGreeks" Member Variables
// ----------------------------------------------------------------------------------------
//*------------------------- adjusted option Greeks variables --------------------------*//
mutable double ivAdjustedDelta_;
mutable double gammaAdjustedDelta_;
mutable double vegaAdjustedDelta_;
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