{"id":"node_modules/@investflex/iflexquantjs/blackscholes.js","dependencies":[{"name":"/home/hernan/workspace/tests/test-simulador/package.json","includedInParent":true,"mtime":1597264365661},{"name":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/iflexquantjs/package.json","includedInParent":true,"mtime":1593627585935},{"name":"./common","loc":{"line":1,"column":20},"parent":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/iflexquantjs/blackscholes.js","resolved":"/home/hernan/workspace/tests/test-simulador/node_modules/@investflex/iflexquantjs/common.js"}],"generated":{"js":"\"use strict\";\n\nObject.defineProperty(exports, \"__esModule\", {\n value: true\n});\nexports.bsCallPrice = bsCallPrice;\nexports.bsPutPrice = bsPutPrice;\nexports.bsCallGreeks = bsCallGreeks;\nexports.bsPutGreeks = bsPutGreeks;\nexports.bsDelta = bsDelta;\nexports.bsCallIvol = bsCallIvol;\nexports.bsCallIvolNewton = bsCallIvolNewton;\nexports.bsCallIvolBisection = bsCallIvolBisection;\nexports.bsPutIvol = bsPutIvol;\nexports.bsPutIvolNewton = bsPutIvolNewton;\nexports.bsPutIvolBisection = bsPutIvolBisection;\nexports.EX_IVOL_NC = void 0;\n\nvar cm = _interopRequireWildcard(require(\"./common\"));\n\nfunction _getRequireWildcardCache() { if (typeof WeakMap !== \"function\") return null; var cache = new WeakMap(); _getRequireWildcardCache = function () { return cache; }; return cache; }\n\nfunction _interopRequireWildcard(obj) { if (obj && obj.__esModule) { return obj; } if (obj === null || typeof obj !== \"object\" && typeof obj !== \"function\") { return { default: obj }; } var cache = _getRequireWildcardCache(); if (cache && cache.has(obj)) { return cache.get(obj); } var newObj = {}; var hasPropertyDescriptor = Object.defineProperty && Object.getOwnPropertyDescriptor; for (var key in obj) { if (Object.prototype.hasOwnProperty.call(obj, key)) { var desc = hasPropertyDescriptor ? Object.getOwnPropertyDescriptor(obj, key) : null; if (desc && (desc.get || desc.set)) { Object.defineProperty(newObj, key, desc); } else { newObj[key] = obj[key]; } } } newObj.default = obj; if (cache) { cache.set(obj, newObj); } return newObj; }\n\nvar EX_IVOL_NC = -99e10; // Ivol exception = non converging Ivol\n\n/** \n Calculate the price of a CALL option using Black-Scholes pricing model.\n * \n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param v the underlying contract volatility to use option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date expressed in years period. \n\n @returns the calculated price of the CALL option\n*/\n\nexports.EX_IVOL_NC = EX_IVOL_NC;\n\nfunction bsCallPrice(S, K, ir, v, tte) {\n var time_sqrt = Math.sqrt(tte);\n var d1 = (Math.log(S / K) + ir * tte) / (v * time_sqrt) + 0.5 * v * time_sqrt;\n var d2 = d1 - v * time_sqrt;\n return S * cm.N(d1) - K * Math.exp(-ir * tte) * cm.N(d2);\n}\n/** \n Calculate the price of a PUT option using Black-Scholes pricing model.\n * \n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param v the underlying contract volatility to use option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date expressed in years period. \n\n @returns the calculated price of the CALL option\n*/\n\n\nfunction bsPutPrice(S, K, ir, v, tte) {\n var time_sqrt = Math.sqrt(tte);\n var d1 = (Math.log(S / K) + ir * tte) / (v * time_sqrt) + 0.5 * v * time_sqrt;\n var d2 = d1 - v * time_sqrt;\n return K * Math.exp(-ir * tte) * cm.N(-d2) - S * cm.N(-d1);\n}\n/**\nCalculate the greeks of a CALL option using Black-Scholes pricing model.\n@param S: underPrice price of the underlying contract.\n@param K: strike strike price of the option.\n@param ir: interest rate to use on option price calculation.\n@param v: the underlying contract volatility to use option price calculation.\n@param tte: number indicating the quantity of days remaining until the option expiration date expressed in year periods. \n\n@returns greeks: dictionary with calculated greeks\n*/\n\n\nfunction bsCallGreeks(S, K, v, tte, ir) {\n var greeks = {};\n\n if (null == v || EX_IVOL_NC == v || 0.0 == v) {\n greeks.delta = null;\n greeks.gamma = null;\n greeks.theta = null;\n greeks.vega = null;\n greeks.rho = null;\n } else {\n //if ir received as paramater, use it, if not, use the option param ir\n var time_sqrt = Math.sqrt(tte);\n var d1 = (Math.log(S / K) + ir * tte) / (v * time_sqrt) + 0.5 * v * time_sqrt;\n var d2 = d1 - v * time_sqrt;\n greeks.delta = cm.N(d1);\n greeks.gamma = cm.ndist(d1) / (S * v * time_sqrt);\n greeks.theta = (-(S * v * cm.ndist(d1)) / (2 * time_sqrt) - ir * K * Math.exp(-ir * tte) * cm.N(d2)) / cm.YEARDAYS;\n greeks.vega = 0.01 * (S * time_sqrt * cm.ndist(d1));\n greeks.rho = 0.01 * (K * tte * Math.exp(-ir * tte) * cm.N(d2));\n }\n\n return greeks;\n}\n/**\nCalculate the greeks of a PUT option using Black-Scholes pricing model.\n@param K: underPrice price of the underlying contract.\n@param S: strike strike price of the option.\n@param ir: interest rate to use on option price calculation.\n@param v: the underlying contract volatility to use option price calculation.\n@param tte: number indicating the quantity of days remaining until the option expiration date expressed in year periods. \n\n@returns greeks: dictionary with calculated greeks\n*/\n\n\nfunction bsPutGreeks(S, K, v, tte, ir) {\n var greeks = {};\n\n if (null == v || EX_IVOL_NC == v || 0.0 == v) {\n greeks.delta = null;\n greeks.gamma = null;\n greeks.theta = null;\n greeks.vega = null;\n greeks.rho = null;\n } else {\n //if ir received as paramater, use it, if not, use the option param ir\n var time_sqrt = Math.sqrt(tte);\n var d1 = (Math.log(S / K) + ir * tte) / (v * time_sqrt) + 0.5 * v * time_sqrt;\n var d2 = d1 - v * time_sqrt;\n greeks.delta = -cm.N(-d1);\n greeks.gamma = cm.ndist(d1) / (S * v * time_sqrt);\n greeks.theta = (-(S * v * cm.ndist(d1)) / (2 * time_sqrt) + ir * K * Math.exp(-ir * tte) * cm.N(-d2)) / cm.YEARDAYS;\n greeks.vega = 0.01 * (S * time_sqrt * cm.ndist(d1));\n greeks.rho = 0.01 * (-K * tte * Math.exp(-ir * tte) * cm.N(-d2));\n }\n\n return greeks;\n}\n/** \n Calculate the delta of a CALL or PUT option using Black-Scholes pricing model.\n\n @param S: price of the underlying contract.\n @param K: strike price of the option.\n @param ir: interest rate to use on option price calculation.\n @param v: the underlying contract volatility to use option price calculation.\n @param dte: number indicating the quantity of days remaining until the option expiration date expressed in year periods.\n @param optionType: 'C'all or 'P'ut\n\n @returns delta\n */\n\n\nfunction bsDelta(S, K, v, tte, optionType, ir) {\n if (null == v || v == EX_IVOL_NC || v == 0.0) {\n return null;\n } else {\n var time_sqrt = Math.sqrt(tte);\n var d1;\n var delta;\n\n if (\"C\" == optionType) {\n d1 = (Math.log(S / K) + ir * tte) / (v * time_sqrt) + 0.5 * v * time_sqrt;\n delta = cm.N(d1);\n } else {\n d1 = (Math.log(S / K) + ir * tte) / (v * time_sqrt) + 0.5 * v * time_sqrt;\n delta = -cm.N(-d1);\n }\n\n return delta;\n }\n}\n/**\n Calculate the implied volatility of a CALL option using Newton algotihm or Bisection algorithm if Newton does not converge.\n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date.\n @param optionPrice the price of the option.\n @returns the calculated implied volatility of the CALL option\n*/\n\n\nfunction bsCallIvol(S, K, ir, tte, option_price) {\n var res; //trying newton-raphson\n\n res = bsCallIvolNewton(S, K, ir, tte, option_price);\n\n if (res == EX_IVOL_NC) {\n //trying bisection\n res = bsCallIvolBisection(S, K, ir, tte, option_price);\n }\n\n return res;\n}\n/**\n Calculate the implied volatility of a CALL option using Newton algorithm.\n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date.\n @param optionPrice the price of the option.\n @returns the calculated implied volatility of the CALL option\n*/\n\n\nfunction bsCallIvolNewton(S, K, ir, tte, optionPrice) {\n var i;\n\n if (optionPrice < 0.99 * (S - K * Math.exp(-tte * ir))) {\n // check for arbitrage violations. Option price is too low if this happens\n return 0.0;\n }\n\n ;\n var MAX_ITERATIONS = 100;\n var ACCURACY = 1.0e-5;\n var t_sqrt = Math.sqrt(tte);\n var sigma = optionPrice / S / (0.398 * t_sqrt); // find initial value\n\n for (i = 0; i < MAX_ITERATIONS; i++) {\n var price = bsCallPrice(S, K, ir, sigma, tte);\n var diff = optionPrice - price;\n\n if (Math.abs(diff) < ACCURACY) {\n return sigma;\n }\n\n var d1 = (Math.log(S / K) + ir * tte) / (sigma * t_sqrt) + 0.5 * sigma * t_sqrt;\n var vega = S * t_sqrt * cm.ndist(d1);\n sigma = sigma + diff / vega;\n }\n\n return EX_IVOL_NC; // something screwy happened, should throw exception\n}\n\n;\n/**\n Calculate the implied volatility of a CALL option using Bisection algorithm.\n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date.\n @param optionPrice the price of the option.\n @returns the calculated implied volatility of the CALL option\n*/\n\nfunction bsCallIvolBisection(S, K, ir, tte, option_price) {\n var i;\n\n if (option_price < 0.99 * (S - K * Math.exp(-tte * ir))) {\n // check for arbitrage violations.\n return 0.0; // Option price is too low if this happens\n }\n\n ; // simple binomial search for the implied volatility.\n // relies on the value of the option increasing in volatility\n\n var ACCURACY = 1.0e-5; // make this smaller for higher accuracy\n\n var MAX_ITERATIONS = 100;\n var HIGH_VALUE = 1e10; // want to bracket sigma. first find a maximum sigma by finding a sigma\n // with a estimated price higher than the actual price.\n\n var sigma_low = 1e-5;\n var sigma_high = 0.3;\n var price = bsCallPrice(S, K, ir, sigma_high, tte);\n\n while (price < option_price) {\n sigma_high = 2.0 * sigma_high; // keep doubling.\n\n price = bsCallPrice(S, K, ir, sigma_high, tte);\n if (sigma_high > HIGH_VALUE) return EX_IVOL_NC; // panic, something wrong.\n }\n\n ;\n\n for (i = 0; i < MAX_ITERATIONS; i++) {\n var sigma = (sigma_low + sigma_high) * 0.5;\n price = bsCallPrice(S, K, ir, sigma, tte);\n var test = price - option_price;\n\n if (Math.abs(test) < ACCURACY) {\n return sigma;\n }\n\n ;\n\n if (test < 0.0) {\n sigma_low = sigma;\n } else {\n sigma_high = sigma;\n }\n }\n\n ;\n return EX_IVOL_NC;\n}\n\n;\n/**\n Calculate the implied volatility of a PUT option using Newton algotihm or Bisection algorithm if Newton does not converge.\n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date.\n @param optionPrice the price of the option.\n @returns the calculated implied volatility of the CALL option\n*/\n\nfunction bsPutIvol(S, K, ir, tte, option_price) {\n var res; //trying newton-raphson\n\n res = bsPutIvolNewton(S, K, ir, tte, option_price);\n\n if (res == EX_IVOL_NC) {\n //trying bisection\n res = bsPutIvolBisection(S, K, ir, tte, option_price);\n }\n\n return res;\n}\n/**\n Calculate the implied volatility of a PUT option using Newton algorithm.\n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date.\n @param optionPrice the price of the option.\n @returns the calculated implied volatility of the CALL option\n*/\n\n\nfunction bsPutIvolNewton(S, K, ir, tte, optionPrice) {\n var i;\n\n if (optionPrice < 0.99 * (S - K * Math.exp(-tte * ir))) {\n // check for arbitrage violations. Option price is too low if this happens\n return 0.0;\n }\n\n ;\n var MAX_ITERATIONS = 100;\n var ACCURACY = 1.0e-5;\n var t_sqrt = Math.sqrt(tte);\n var sigma = optionPrice / S / (0.398 * t_sqrt); // find initial value\n\n for (i = 0; i < MAX_ITERATIONS; i++) {\n var price = bsPutPrice(S, K, ir, sigma, tte);\n var diff = optionPrice - price;\n\n if (Math.abs(diff) < ACCURACY) {\n return sigma;\n }\n\n var d1 = (Math.log(S / K) + ir * tte) / (sigma * t_sqrt) + 0.5 * sigma * t_sqrt;\n var vega = S * t_sqrt * cm.ndist(d1);\n sigma = sigma + diff / vega;\n }\n\n return EX_IVOL_NC; // something screwy happened, should throw exception\n}\n\n;\n/**\n Calculate the implied volatility of a CALL option using Bisection algorithm.\n @param S price of the underlying contract.\n @param K strike price of the option.\n @param ir interest rate to use on option price calculation.\n @param tte number indicating the quantity of days remaining until the option expiration date.\n @param optionPrice the price of the option.\n @returns the calculated implied volatility of the CALL option\n*/\n\nfunction bsPutIvolBisection(S, K, ir, tte, option_price) {\n var i;\n\n if (option_price < 0.99 * (S - K * Math.exp(-tte * ir))) {\n // check for arbitrage violations.\n return 0.0; // Option price is too low if this happens\n }\n\n ; // simple binomial search for the implied volatility.\n // relies on the value of the option increasing in volatility\n\n var ACCURACY = 1.0e-5; // make this smaller for higher accuracy\n\n var MAX_ITERATIONS = 100;\n var HIGH_VALUE = 1e10; // want to bracket sigma. first find a maximum sigma by finding a sigma\n // with a estimated price higher than the actual price.\n\n var sigma_low = 1e-5;\n var sigma_high = 0.3;\n var price = bsPutPrice(S, K, ir, sigma_high, tte);\n\n while (price < option_price) {\n sigma_high = 2.0 * sigma_high; // keep doubling.\n\n price = bsPutPrice(S, K, ir, sigma_high, tte);\n if (sigma_high > HIGH_VALUE) return EX_IVOL_NC; // panic, something wrong.\n }\n\n ;\n\n for (i = 0; i < MAX_ITERATIONS; i++) {\n var sigma = (sigma_low + sigma_high) * 0.5;\n price = bsPutPrice(S, K, ir, sigma, tte);\n var test = price - option_price;\n\n if (Math.abs(test) < ACCURACY) {\n return sigma;\n }\n\n ;\n\n if (test < 0.0) {\n sigma_low = sigma;\n } else {\n sigma_high = sigma;\n }\n }\n\n ;\n return EX_IVOL_NC;\n}\n\n;\n/* Returns probability of occuring below and above target price. */\n\nfunction probability(price, target, days, volatility) {\n var p = price;\n var q = target;\n var t = days / cm.YEARDAYS;\n var v = volatility;\n var vt = v * Math.sqrt(t);\n var lnpq = Math.log(q / p);\n var d1 = lnpq / vt;\n var y = Math.floor(1 / (1 + .2316419 * Math.abs(d1)) * 100000) / 100000;\n var z = Math.floor(.3989423 * Math.exp(-(d1 * d1 / 2)) * 100000) / 100000;\n var y5 = 1.330274 * Math.pow(y, 5);\n var y4 = 1.821256 * Math.pow(y, 4);\n var y3 = 1.781478 * Math.pow(y, 3);\n var y2 = 0.356538 * Math.pow(y, 2);\n var y1 = 0.3193815 * y;\n var x = 1 - z * (y5 - y4 + y3 - y2 + y1);\n x = Math.floor(x * 100000) / 100000;\n\n if (d1 < 0) {\n x = 1 - x;\n }\n\n ;\n var pabove = Math.floor(x * 1000) / 10;\n var pbelow = Math.floor((1 - x) * 1000) / 10;\n return [[pbelow], [pabove]];\n} // function option_implied_volatility(call,S,X,r,t,o) { \n// // call = Boolean (to calc call, call=True, put: call=false)\n// // S = stock prics, X = strike price, r = no-risk interest rate\n// // t = time to maturity\n// // o = option price\n// // define some temp vars, to minimize function calls\n// sqt = Math.sqrt(t);\n// MAX_ITER = 100;\n// ACC = 0.0001;\n// sigma = (o/S)/(0.398*sqt);\n// for (i=0;iHIGH_VALUE)\n return EX_IVOL_NC; // panic, something wrong.\n };\n\n for ( i=0;iHIGH_VALUE)\n return EX_IVOL_NC; // panic, something wrong.\n };\n\n for ( i=0;i