NAME
`Finance::Options::Calc' - Option analysis based on different option pricing
models.
SYNOPSIS
use Finance::Options::Calc;
print b_s_call(90, 80, 20, 30, 4.5);
print b_s_put (90, 80, 20, 30, 4.5);
print call_delta(90, 80, 20, 30, 4.5);
print put_delta(90, 80, 20, 30, 4.5);
print call_theta(90, 80, 20, 30, 4.5);
print put_theta(90, 80, 20, 30, 4.5);
print gamma(90, 80, 20, 30, 4.5);
print vega(90, 80, 20, 30, 4.5);
print call_rho(90, 80, 20, 30, 4.5);
print put_rho(90, 80, 20, 30, 4.5);
DESCRIPTION
b_s_call() subroutines returns theorical value of the call option based on
Black_Scholes model. The arguments are current stock price, strike price, time to
expiration (calender days, note this module does NOT use business days),
volatility(%), annual interest rate(%) in order.
b_s_put() subroutines returns theorical value of the put option based on
Black_Scholes model. The arguments are current stock price, strike price, time to
expiration (calender days, note this module does NOT use business days),
volatility(%), annual interest rate(%) in order.
call_delta() returns call delta.
put_delta() returns put delta.
Other methods are similar.
TODO
more calculation models will be included.
AUTHOR
Chicheng Zhang
chichengzhang@hotmail.com