|
From: Eric E. <eri...@us...> - 2006-10-07 15:47:49
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11421/Clients/Guile Modified Files: Makefile.am Added Files: options.scm Log Message: linux catching up --- NEW FILE: options.scm --- ; Copyright (C) 2006 Eric Ehlers ; ; This file is part of QuantLib, a free-software/open-source library ; for financial quantitative analysts and developers - http://quantlib.org/ ; ; QuantLib is free software: you can redistribute it and/or modify it under the ; terms of the QuantLib license. You should have received a copy of the ; license along with this program; if not, please email qua...@li... ; The license is also available online at http://quantlib.org/html/license.html ; ; This program is distributed in the hope that it will be useful, but WITHOUT ; ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS ; FOR A PARTICULAR PURPOSE. See the license for more details. (dynamic-call "init_qladdin" (dynamic-link "libQuantLibAddinGuile")) (define false #f) (define (print . args) (for-each (lambda (item) (display item)) args)) (define (call-func func . args) (func args)) (define (date day month year) (qlDate (list day month year))) (call-func ohSetConsole 1 5) ; -- qlSetEvaluationDate (define evaluationDate (date 15 "May" 1998)) (call-func qlSetEvaluationDate evaluationDate) ; -- qlBlackConstantVol (define settlementDate (date 17 "May" 1998)) (call-func qlBlackConstantVol ; constructor "my_blackconstantvol"; object ID settlementDate ; settlement date 0.20 ; volatility "Actual/365 (Fixed)"); day counter ; -- qlGeneralizedBlackScholesProcess (call-func qlGeneralizedBlackScholesProcess ; constructor "my_stochastic" ; object ID "my_blackconstantvol"; black constant vol 36 ; underlying "Actual/365 (Fixed)" ; day counter settlementDate ; settlement date 0.06 ; risk free rate 0.00) ; dividend yield ; -- qlEuropeanExercise (define exerciseDate (date 17 "May" 1999)) (call-func qlEuropeanExercise ; constructor "my_exercise" ; object ID exerciseDate) ; exercise date ; -- qlStrikedTypePayoff (call-func qlStrikedTypePayoff ; constructor "my_payoff" ; object ID "vanilla" ; payoff "put" ; call/put 40.0) ; strike ; -- qlPricingEngine (call-func qlPricingEngine ; constructor "my_engine" ; object ID "AE") ; analytic european ; -- qlVanillaOption (call-func qlVanillaOption ; constructor "my_option" ; object ID "my_stochastic" ; stochastic object "my_payoff" ; payoff object "my_exercise" ; exercise object "my_engine") ; engine object ; -- NPV (print "npv : " (call-func qlNPV "my_option") "\n") Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Clients/Guile/Makefile.am,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Makefile.am 19 May 2006 16:56:16 -0000 1.1 --- Makefile.am 7 Oct 2006 15:47:44 -0000 1.2 *************** *** 2,5 **** --- 2,6 ---- EXTRA_DIST = \ capfloor.scm \ + options.scm \ yc_swapdemo.scm |
