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Black and Shcoles calculator

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Black and Shcoles calculator

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17 Nov 2011 (Updated )

Graphical Black and Shcoles calculator for visualizing different sensetives

blscalculator(varargin)
function varargout = blscalculator(varargin)
% blscalculator MATLAB code for blscalculator.fig
%      blscalculator, by itself, creates a new blscalculator or raises the existing
%      singleton*.
%
%      H = blscalculator returns the handle to a new blscalculator or the handle to
%      the existing singleton*.
%
%      blscalculator('CALLBACK',hObject,eventData,handles,...) calls the local
%      function named CALLBACK in blscalculator.M with the given input arguments.
%
%      blscalculator('Property','Value',...) creates a new blscalculator or raises the
%      existing singleton*.  Starting from the left, property value pairs are
%      applied to the GUI before blscalculator_OpeningFcn gets called.  An
%      unrecognized property name or invalid value makes property application
%      stop.  All inputs are passed to blscalculator_OpeningFcn via varargin.
%
%      *See GUI Options on GUIDE's Tools menu.  Choose "GUI allows only one
%      instance to run (singleton)".
%
% See also: GUIDE, GUIDATA, GUIHANDLES

% Edit the above text to modify the response to help blscalculator

% Last Modified by GUIDE v2.5 13-Oct-2010 17:17:35

% Begin initialization code - DO NOT EDIT
gui_Singleton = 1;
gui_State = struct('gui_Name',       mfilename, ...
                   'gui_Singleton',  gui_Singleton, ...
                   'gui_OpeningFcn', @blscalculator_OpeningFcn, ...
                   'gui_OutputFcn',  @blscalculator_OutputFcn, ...
                   'gui_LayoutFcn',  [] , ...
                   'gui_Callback',   []);
if nargin && ischar(varargin{1})
    gui_State.gui_Callback = str2func(varargin{1});
end

if nargout
    [varargout{1:nargout}] = gui_mainfcn(gui_State, varargin{:});
else
    gui_mainfcn(gui_State, varargin{:});
end
% End initialization code - DO NOT EDIT


% --- Executes just before blscalculator is made visible.
function blscalculator_OpeningFcn(hObject, eventdata, handles, varargin)
% This function has no output args, see OutputFcn.
% hObject    handle to figure
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)
% varargin   command line arguments to blscalculator (see VARARGIN)

% Choose default command line output for blscalculator
handles.output = hObject;
handles.price=str2double(get(handles.edit1,'String')) ;%returns contents of edit1 as a double
handles.strike=str2double(get(handles.edit2,'String')) ;%returns contents of edit2 as a double
handles.time=str2double(get(handles.edit3,'String')) ;%returns contents of edit3 as a double
handles.volatility=str2double(get(handles.edit4,'String')) ;%returns contents of edit4 as a double
handles.rate=str2double(get(handles.edit5,'String'));% returns contents of edit5 as a double
handles.yield=str2double(get(handles.edit6,'String'));% returns contents of edit6 as a double
handles.sensative=get(handles.popupmenu2,'Value');%returns contents of popupmenu2 as a double
handles.strategy=get(handles.popupmenu1,'Value');%returns contents of popupmenu1 as a double

[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);

% Update handles structure
guidata(hObject, handles);

% UIWAIT makes blscalculator wait for user response (see UIRESUME)
% uiwait(handles.figure1);


% --- Outputs from this function are returned to the command line.
function varargout = blscalculator_OutputFcn(hObject, eventdata, handles) 
% varargout  cell array for returning output args (see VARARGOUT);
% hObject    handle to figure
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

% Get default command line output from handles structure
varargout{1} = handles.output;


% --- Executes on selection change in popupmenu1.
function popupmenu1_Callback(hObject, eventdata, handles)
% hObject    handle to popupmenu1 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.strategy = get(hObject, 'Value');
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles)
guidata(gcbo,handles)
    

% --- Executes during object creation, after setting all properties.
function popupmenu1_CreateFcn(hObject, eventdata, handles)
% hObject    handle to popupmenu1 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: popupmenu controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end


function edit1_Callback(hObject, eventdata, handles)
% hObject    handle to edit1 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.price= str2double(get(hObject,'String'));% returns contents of edit1 as a double
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles)

% --- Executes during object creation, after setting all properties.
function edit1_CreateFcn(hObject, eventdata, handles)
% hObject    handle to edit1 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end


function edit2_Callback(hObject, eventdata, handles)
% hObject    handle to edit2 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.strike=str2double(get(hObject,'String'));% returns contents of edit2 as a double
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles);

% --- Executes during object creation, after setting all properties.
function edit2_CreateFcn(hObject, eventdata, handles)
% hObject    handle to edit2 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end

function edit3_Callback(hObject, eventdata, handles)
% hObject    handle to edit3 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.time=str2double(get(hObject,'String')) ;%returns contents of edit3 as a double
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles);

% --- Executes during object creation, after setting all properties.
function edit3_CreateFcn(hObject, eventdata, handles)
% hObject    handle to edit3 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end

function edit4_Callback(hObject, eventdata, handles)
% hObject    handle to edit4 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.volatility= str2double(get(hObject,'String'));% returns contents of edit4 as a double
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles);

% --- Executes during object creation, after setting all properties.
function edit4_CreateFcn(hObject, eventdata, handles)
% hObject    handle to edit4 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end

function edit5_Callback(hObject, eventdata, handles)
% hObject    handle to edit5 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.rate=str2double(get(hObject,'String'));% returns contents of edit5 as a double
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles);

% --- Executes during object creation, after setting all properties.
function edit5_CreateFcn(hObject, eventdata, handles)
% hObject    handle to edit5 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end

% --- Executes on selection change in popupmenu2.
function popupmenu2_Callback(hObject, eventdata, handles)
% hObject    handle to popupmenu2 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

% Hints: contents = cellstr(get(hObject,'String')) returns popupmenu2 contents as cell array
%        contents{get(hObject,'Value')} returns selected item from popupmenu2
handles.sensative = get(hObject, 'Value');
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles);

% --- Executes during object creation, after setting all properties.
function popupmenu2_CreateFcn(hObject, eventdata, handles)
% hObject    handle to popupmenu2 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: popupmenu controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end

function edit6_Callback(hObject, eventdata, handles)
% hObject    handle to edit6 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    structure with handles and user data (see GUIDATA)

handles.yield=str2double(get(hObject,'String'));% returns contents of edit6 as a double
[handles.Call,handles.Put]=pricing(handles);
plot_fcn(handles);
guidata(gcbo,handles);

% --- Executes during object creation, after setting all properties.
function edit6_CreateFcn(hObject, eventdata, handles)
% hObject    handle to edit6 (see GCBO)
% eventdata  reserved - to be defined in a future version of MATLAB
% handles    empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows.
%       See ISPC and COMPUTER.
if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor'))
    set(hObject,'BackgroundColor','white');
end

function [Call,Put]=pricing(handles)

[pr1,t1]=meshgrid(linspace(0.9*handles.price,1.1*handles.price,30),handles.time:-1/365:0);

switch handles.sensative
    case 1
        [Call,Put]=blsprice(pr1,handles.strike...
            ,handles.rate,t1,handles.volatility,handles.yield);
        zlabel(handles.axes1,'Price');
    case 2
        [Call,Put]=blsdelta(pr1,handles.strike...
            ,handles.rate,t1,handles.volatility,handles.yield);
        zlabel(handles.axes1,'Delta');
    case 3
        Call=blsgamma(pr1,handles.strike...
            ,handles.rate,t1,handles.volatility,handles.yield);
        Put=Call;
        zlabel(handles.axes1,'Gamma');
    case 4
        [Call,Put]=blstheta(pr1,handles.strike...
            ,handles.rate,t1,handles.volatility,handles.yield);
        zlabel(handles.axes1,'Volatility');
    case 5
        Call=blsvega(pr1,handles.strike...
            ,handles.rate,t1,handles.volatility,handles.yield);
        Put=Call;
        zlabel(handles.axes1,'Vega');
end

function plot_fcn(handles)
pr=linspace(0.9*handles.price,1.1*handles.price,30);
t=handles.time:-1/365:0;

switch handles.strategy;
    case 1 % User selects Call.
        handles.sh1=surf(handles.axes1,pr,t',handles.Call);
        title(handles.axes1,'Call');
        view(handles.axes1,[-37.5 -30]);
        axis([min(pr) max(pr) min(t) max(t)]);
        xlabel(handles.axes1,'Underlying Price');
        ylabel(handles.axes1,'time');
        rotate3d on
    
    case 2 % User selects Put.
        handles.sh1=surf(handles.axes1,pr,t',handles.Put);
        title(handles.axes1,'Put');
        view(handles.axes1,[-37.5 -30]);
        axis([min(pr) max(pr) min(t) max(t)]);
        xlabel(handles.axes1,'Underlying Price');
        ylabel(handles.axes1,'time');
        rotate3d on
   
    case 3 % User selects Butterfly.
        [Call,~]=butterfly(handles);
        handles.sh1=surf(handles.axes1,pr,t',Call);
        axis([min(pr) max(pr) min(t) max(t)]);
        xlabel(handles.axes1,'Underlying Price');
        ylabel(handles.axes1,'time');
        title(handles.axes1,'Butterfly');
        rotate3d on
        
    case 4 % User selected Stradle
        handles.sh1=surf(handles.axes1,pr,t',handles.Call+handles.Put);
        title(handles.axes1,'Stradle');
        view(handles.axes1,[-37.5 -30]);
        axis([min(pr) max(pr) min(t) max(t)]);
        xlabel(handles.axes1,'Underlying Price');
        ylabel(handles.axes1,'time');
        rotate3d on
    
end


    function [Call,Put]=butterfly(handles)
        
        [handles.Call,handles.Put] = pricing(handles);
        a=handles.price;
        handles.price=a*0.98;
        [Call1,Put1]=pricing(handles);
        handles.price=a*1.02;
        [Call2,Put2]=pricing(handles);
        Call=Call1-2*handles.Call+Call2;
        Put=Put1-2*handles.Put+Put2;
        handles.price=a;

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