Class: Rupee::Benchmark

Inherits:
Object
  • Object
show all
Defined in:
lib/rupee/benchmark.rb

Overview

Just for use in benchmarking the performance of Rupee code

Class Method Summary collapse

Class Method Details

.black_scholes(call_put_flag, s, x, t, r, v) ⇒ Object

Black-Scholes option price valuation

by Michael Neumann (with some revisions)

www.espenhaug.com/black_scholes.html



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# File 'lib/rupee/benchmark.rb', line 10

def black_scholes(call_put_flag, s, x, t, r, v)
  d1 = (Math.log(s / x) + (r + v * v / 2.0) * t) / (v * Math.sqrt(t))
  d2 = d1 - v * Math.sqrt(t)
  if call_put_flag == 'c'
    s * cnd(d1) - x * Math.exp(-r * t) * cnd(d2)
  else
    x * Math.exp(-r * t) * cnd(-d2) - s * cnd(-d1)
  end
end