| webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeExpiry, Volatility,VizRange,optionType,ButterflyRange)
|
function filename = webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeExpiry, Volatility,VizRange,optionType,ButterflyRange)
%VIZROUTINE Visualize the value of the option over a range of inputs
%Create the figure window within which the value surface of the option will
%be plotted
filename = 'D:\Applications\tomcat\Tomcat 5.5\webapps\BlackScholes\images\vizoption';
OptionType = lower(optionType);
%Convert months to expiry to years to expiry
TimeExpiry = TimeExpiry / 12;
OutHandle = figure('Numbertitle', 'off', 'visible','off',...
'Menubar', 'none', 'Name', 'Option Pricing Tool', ...
'Tag', 'OutputFigure','PaperPositionMode','auto');
% %Add a button to the figure window to turn ROTATE3D on
% PosVec = get(gcf, 'Position');
% uicontrol('Style', 'checkbox', ...
% 'Position', [PosVec(3)-105 20 90 25], ...
% 'String', 'Rotate 3D', ...
% 'FontSize', 10, ...
% 'FontWeight', 'bold', ...
% 'Tag', 'ButtonRotate3D', ...
% 'Callback', 'rotate3d');
%
% %Normalize the units of all the controls
% AllUICtrlHandles = findobj(gcf, 'Type', 'uicontrol');
% set(AllUICtrlHandles, 'Units', 'normal');
if (strcmpi(OptionType,'call') == 1) %Call option
%Compute ranges for the spot price and time to expiry based on the
%specified visualization range
[SpotMat, TimeMat] = calcrange(SpotPrice, TimeExpiry, VizRange);
%Call the BLSPRICE function to value the call option
CallValue = blsprice(SpotMat, StrikePrice, RiskFreeRate, TimeMat,...
Volatility);
%Plot the resulting value surface
%figure(OutHandle);
surf(SpotMat, TimeMat, CallValue);
xlabel('Spot Price');
ylabel('Time to Expiry');
zlabel('Option Value');
title('Call Option');
print(OutHandle,'-djpeg',filename);
close all;
elseif (strcmpi(OptionType,'put') == 1) %Put option
%Compute ranges for the spot price and time to expiry based on the
%specified visualization range
[SpotMat, TimeMat] = calcrange(SpotPrice, TimeExpiry, VizRange);
%Price the option over the ranges
[Temp, PutValue] = blsprice(SpotMat, StrikePrice, ...
RiskFreeRate, TimeMat, Volatility);
%Plot the resulting value surface
%figure(OutHandle);
surf(SpotMat, TimeMat, PutValue);
xlabel('Spot Price');
ylabel('Time to Expiry');
zlabel('Option Value');
title('Put Option');
print(OutHandle,'-djpeg',filename);
close all;
elseif (strcmpi(OptionType,'straddle') == 1) %Straddle option
%Compute ranges for the spot price and time to expiry based on the
%specified visualization range
[SpotMat, TimeMat] = calcrange(SpotPrice, TimeExpiry, VizRange);
%Price the option over the ranges
StraddleValue = blsstrval(SpotMat, StrikePrice, ...
RiskFreeRate, TimeMat, Volatility);
%Plot the resulting value surface
%figure(OutHandle);
surf(SpotMat, TimeMat, StraddleValue);
xlabel('Spot Price');
ylabel('Time to Expiry');
zlabel('Option Value');
title('Straddle Option')
print(OutHandle,'-djpeg',filename);
close all;
elseif (strcmpi(OptionType,'butterfly') == 1) %Butterfly option
%Compute ranges for the spot price and time to expiry based on the
%specified visualization range
[SpotMat, TimeMat] = calcrange(SpotPrice, TimeExpiry, VizRange);
%Price the option over the ranges
ButterflyValue = blsbtyval(SpotMat, StrikePrice, RiskFreeRate, ...
TimeMat, Volatility, ButterflyRange);
%Plot the resulting value surface
%figure(OutHandle);
surf(SpotMat, TimeMat, ButterflyValue);
xlabel('Spot Price');
ylabel('Time to Expiry');
zlabel('Option Value');
title('Butterfly Option');
print(OutHandle,'-djpeg',filename);
close all;
end
%-----------------------------------------------------------------------------
function [SpotMat, TimeMat] = calcrange(SpotPrice, TimeExpiry, VizRange)
%CALCRANGE Compute spot price and time to expiry range based on visualization
%range
%Compute a step for the spot price range which scales based on the magnitude
%of the spot price and the visualization range
SpotStep = (SpotPrice - SpotPrice * (1 - VizRange / 2)) / 10;
%Compute the range of spot prices based on the visualization range
SpotRange = SpotPrice * (1 - VizRange / 2) : ...
SpotStep : SpotPrice * ((1 + VizRange / 2));
%Compute a step for the time to expiry range which scales based on the
%magnitude of the time to expiry and the visualization range
TimeStep = (TimeExpiry / 12) / 30;
%Compute the range of times to expiry
TimeRange = 0 : TimeStep : TimeExpiry / 12;
%Generate matrix spot prices and times to expiry based on the size of the
%spot price and time to expiry ranges
[SpotMat, TimeMat] = meshgrid(SpotRange, TimeRange);
%end of CALCRANGE subroutine
%-----------------------------------------------------------------------------
function StraddleValue = blsstrval(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility)
%BLSSTRVAL Black Scholes value of a straddle option
%Calculate the value of both the call and put option
[CallValue, PutValue] = blsprice(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility);
%Compute the value of the straddle
StraddleValue = CallValue + PutValue;
%end of BLSSTRVAL subroutine
%-----------------------------------------------------------------------------
function ButterflyValue = blsbtyval(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility, ButterflyRange)
%BLSBTYVAL Black Scholes value of a butterfly option
%Set the different strike prices
LowStrike = StrikePrice .* (1 - ButterflyRange);
HighStrike = StrikePrice .* (1 + ButterflyRange);
%Value the long positions in the low and high struck calls
LowValue = blsprice(SpotPrice, LowStrike, RiskFreeRate, ...
TimeExpiry, Volatility);
HighValue = blsprice(SpotPrice, HighStrike, RiskFreeRate, ...
TimeExpiry, Volatility);
%Value the short position in the calls struck at the initial strike
%price
ShortValue = 2 .* -(blsprice(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility));
%Calculate the total value of the butterfly
ButterflyValue = LowValue + HighValue + ShortValue;
%end of BLSBTYVAL subroutine
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