CFLib.org – Common Function Library Project

BlackScholes(call_put_flag, S, X, T, r, v)

Last updated May 9, 2003

Version: 1 | Requires: ColdFusion 5 | Library: FinancialLib

 
Rated 2 time(s). Average Rating: 3.5

Description:
Returns the value of call and put options using the Black-Scholes pricing formula. S is the current asset price, X is the exercise price, r is the risk-free interest rate, T is the time to maturity of the option in years, v is annualized volatility. This code requires the cumulative normal distribution function CND().

Return Values:
Returns a number.

Example:

view plain print about
<CFSET CallPutFlag = 'c'>
<CFSET S='49.25'>
<CFSET X='50.00'>
<CFSET T='0.1'>
<CFSET r='0.35'>
<CFSET v='0.30'>
<cfoutput>
#BlackScholes(CallPutFlag,S,X,T,r,v)#
</cfoutput>

Parameters:

Name Description Required
call_put_flag The Call Put Flag. Yes
S The current asset price. Yes
X Exercise price. Yes
T Time to maturity. Yes
r Risk-free Interest rate. Yes
v Annualized volatility. Yes

Full UDF Source:

view plain print about
<cfscript>
/**
 * Computes the theoretical price of an equity option.
 * 
 * @param call_put_flag      The Call Put Flag. (Required)
 * @param S      The current asset price. (Required)
 * @param X      Exercise price. (Required)
 * @param T      Time to maturity. (Required)
 * @param r      Risk-free Interest rate. (Required)
 * @param v      Annualized volatility. (Required)
 * @return Returns a number. 
 * @author Alex (axs@arbornet.org) 
 * @version 1, May 9, 2003 
 */

function BlackScholes (call_put_flag,S,X,T,r,v) {
    var d1 = ( log(S / X) + (r + (v^2) / 2) * T ) / ( v * (T^0.5) );
    var d2 = d1 - v * (T^0.5);

    if (call_put_flag eq 'c')
        return S * CND(d1) - X * exp( -r * T ) * CND(d2);
    else
        return X * exp( -r * T ) * CND(-d2) - S * CND(-d1);
}
</cfscript>
blog comments powered by Disqus

Search CFLib.org


Latest Additions

Tayo Akinmade Tayo Akinmade added
arrayTrim
11 day(s) ago

Will Belden Will Belden added
longTime
17 day(s) ago

James Sleeman James Sleeman added
quickSort
27 day(s) ago

Ben Forta Ben Forta added
GetHostAddress
29 day(s) ago

Top Rated

Darwan Leonardo Sitepu EksporSQLData
Rated 5.0, 16 time(s)

Darwan Leonardo Sitepu backupDatabase
Rated 5.0, 13 time(s)

Barney Boisvert indentXml
Rated 5.0, 10 time(s)

Kevin Pepperman generateSsccAsn
Rated 5.0, 4 time(s)

Created by Raymond Camden / Design by Justin Johnson