function blsmaincall3(Request)
%BLSMAINCALL3 Main callback switchyard for BLSAPP3 application
%Author: C. Bassignani, 01-11-99
%Copyright (c) 1995-99 by The MathWorks, Inc.
%-----------------------------------------------------------------------------
%Run specific subroutines based on the callback request
switch(Request)
case 'radiocall'
%Make the radio buttons mutually exclusive
radioexclusive;
%Make sure the butterfly edit field and label are off
butterflyoff;
%Set the a flag in the application data structure to indicate the option
%type
DataStruct = get(gcbf, 'UserData');
DataStruct.OptionType = 1;
set(gcbf, 'UserData', DataStruct);
case 'radioput'
%Make the radio buttons mutually exclusive
radioexclusive;
%Make sure the butterfly edit field and label are off
butterflyoff;
%Set the a flag in the application data structure to indicate the option
%type
DataStruct = get(gcbf, 'UserData');
DataStruct.OptionType = 2;
set(gcbf, 'UserData', DataStruct);
case 'radiostraddle'
%Make the radio buttons mutually exclusive
radioexclusive;
%Make sure the butterfly edit field and label are off
butterflyoff;
%Set the a flag in the application data structure to indicate the option
%type
DataStruct = get(gcbf, 'UserData');
DataStruct.OptionType = 3;
set(gcbf, 'UserData', DataStruct);
case 'radiobutterfly'
%Make the radio buttons mutually exclusive
radioexclusive;
%Turn on the butterfly range edit box and label
butterflyon;
%Set the a flag in the application data structure to indicate the option
%type
DataStruct = get(gcbf, 'UserData');
DataStruct.OptionType = 4;
set(gcbf, 'UserData', DataStruct);
case 'calculate'
%Call the calculation subroutine
calcroutine;
case 'visualize'
%Call the visualization subroutine
vizroutine;
case 'closeall' % Close all GUI's
close(findobj('Tag', 'OutputFigure'));
close(gcbf);
otherwise
return
end
%end of BLSMAINCALL3 function
%-------------------------------------------------------------------------------
%
% SUBROUTINES
%
%-------------------------------------------------------------------------------
function butterflyoff()
%BUTTERFLYOFF Turn the butterfly edit field and label off
%Get the handle of the label and turn it off
TextHandle = findobj(gcbf, 'Tag', 'TextButterflyRange');
set(TextHandle, 'Enable', 'off');
%Get the handle of the edit box and turn it off
EditHandle = findobj(gcbf, 'Tag', 'EditButterflyRange');
set(EditHandle, 'Enable', 'off');
%Set the background color of the edit box to the default color
set(EditHandle, 'BackgroundColor', 'default');
%end of BUTTERFLYON subroutine
%-----------------------------------------------------------------------------
function butterflyon()
%BUTTERFLYON Turn the butterfly edit field and label on
%Get the handle of the label and turn it on
TextHandle = findobj(gcbf, 'Tag', 'TextButterflyRange');
set(TextHandle, 'Enable', 'on');
%Get the handle of the edit box and turn it on
EditHandle = findobj(gcbf, 'Tag', 'EditButterflyRange');
set(EditHandle, 'Enable', 'on');
%Set the background color of the edit box to the white
set(EditHandle, 'BackgroundColor', 'white');
%end of BUTTERFLYON subroutine
%-----------------------------------------------------------------------------
function radioexclusive()
%RADIOEXCLUSIVE Make the radio buttons mutually exclusive
%Get the handles of all radio buttons (they all have the same tag)
RadioHandle = findobj('Tag', 'RadioButton');
%Set all radio buttons to off
set(RadioHandle, 'Value', 0);
%Set the current call back object to on
set(gcbo, 'Value', 1);
%end of RADIOEXCLUSIVE subroutine
%-----------------------------------------------------------------------------
function calcroutine()
%CALCROUTINE Calculate the value of the option
%Get all the input data from the GUI
[ErrorFlag, OptionType, SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility, VizRange] = getguidata;
if (~ErrorFlag & OptionType == 1) %Call option
%Convert months to expiry to years to expiry
TimeExpiry = TimeExpiry / 12;
%Calculate the value of the option
CallValue = blsprice(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility);
%Write the output back tot the GUI
OutputHandle = findobj('Tag', 'EditAnswer');
set(OutputHandle, 'String', num2str(CallValue));
elseif (~ErrorFlag & OptionType == 2) %Put option
%Convert months to expiry to years to expiry
TimeExpiry = TimeExpiry / 12;
%Calculate the value of the put option
[Temp, PutValue] = blsprice(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility);
%Write the output back tot the GUI
OutputHandle = findobj('Tag', 'EditAnswer');
set(OutputHandle, 'String', num2str(PutValue));
elseif (~ErrorFlag & OptionType == 3) %Straddle option
%Convert months to expiry to years to expiry
TimeExpiry = TimeExpiry / 12;
%Compute the value of the straddle
StraddleValue = blsstrval(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility);
%Write the output back tot the GUI
OutputHandle = findobj('Tag', 'EditAnswer');
set(OutputHandle, 'String', num2str(StraddleValue));
elseif (~ErrorFlag & OptionType == 4) %Butterfly option
%Convert months to expiry to years to expiry
TimeExpiry = TimeExpiry / 12;
%Get the butterfly range
Handle = findobj(gcbf, 'Tag', 'EditButterflyRange');
ButterflyRange = str2num(get(Handle, 'String'));
%Compute the value of the butterfly
ButterflyValue = blsbtyval(SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility, ButterflyRange);
%Write the output back tot the GUI
OutputHandle = findobj('Tag', 'EditAnswer');
set(OutputHandle, 'String', num2str(ButterflyValue));
end
%end of CALCROUTINE subroutine
%-----------------------------------------------------------------------------
function vizroutine()
%VIZROUTINE Visualize the value of the option over a range of inputs
%Get all the input data from the GUI
[ErrorFlag, OptionType, SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility, VizRange] = getguidata;
%Create the figure window within which the value surface of the option will
%be plotted
if (~ErrorFlag)
OutHandle = findobj('Tag', 'OutputFigure');
if (isempty(OutHandle))
OutHandle = figure('Numbertitle', 'off', ...
'Menubar', 'none', 'Name', 'Option Pricing Tool', ...
'Tag', 'OutputFigure');
%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');
end
end
if (~ErrorFlag & OptionType == 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');
elseif (~ErrorFlag & OptionType == 2) %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');
elseif (~ErrorFlag & OptionType == 3) %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('Put Option');
elseif (~ErrorFlag & OptionType == 4) %Butterfly option
%Compute ranges for the spot price and time to expiry based on the
%specified visualization range
[SpotMat, TimeMat] = calcrange(SpotPrice, TimeExpiry, VizRange);
%Get the butterfly range
Handle = findobj(gcbf, 'Tag', 'EditButterflyRange');
ButterflyRange = str2num(get(Handle, 'String'));
%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('Put Option');
end
%end of VIZROUTINE subroutine
%-----------------------------------------------------------------------------
function [ErrorFlag, OptionType, SpotPrice, StrikePrice, RiskFreeRate, ...
TimeExpiry, Volatility, VizRange] = getguidata()
%GETGUIDATA Get all data from GUI and perform error checking
%Get the input arguments
%Get the spot price
SpotHandle = findobj(gcbf, 'Tag', 'EditSpotPrice');
SpotPrice = str2num(get(SpotHandle, 'String'));
%Get the strike price
StrikeHandle = findobj(gcbf, 'Tag', 'EditStrikePrice');
StrikePrice = str2num(get(StrikeHandle, 'String'));
%Get the risk free rate of return
RateHandle = findobj(gcbf, 'Tag', 'EditRiskFreeRate');
RiskFreeRate = str2num(get(RateHandle, 'String'));
%Get the time to expiry
TimeHandle = findobj(gcbf, 'Tag', 'EditTimeExpiry');
TimeExpiry = str2num(get(TimeHandle, 'String'));
%Get the volatility
VolatilityHandle = findobj(gcbf, 'Tag', 'EditVolatility');
Volatility = str2num(get(VolatilityHandle, 'String'));
%Get the visualization range
VizRangeHandle = findobj(gcbf, 'Tag', 'EditVisualizationRange');
VizRange = str2num(get(VizRangeHandle, 'String'));
%Get the type of option being priced
DataStruct = get(gcbf, 'UserData');
OptionType = DataStruct.OptionType;
%Check input arguments and report errors
ErrorFlag = 0;
if (isempty(SpotPrice) | SpotPrice <= 0)
ErrorFlag = 1;
errordlg('Spot price cannot be empty, zero or negative!')
end
if (isempty(StrikePrice) | StrikePrice <= 0)
ErrorFlag = 1;
errordlg('Strike price cannot be empty, zero or negative!')
end
if (isempty(RiskFreeRate) | RiskFreeRate < 0)
ErrorFlag = 1;
errordlg('Risk free rate cannot be empty or negative!')
end
if (isempty(TimeExpiry) | TimeExpiry < 0)
ErrorFlag = 1;
errordlg('Time to expiry cannot be empty or negative!')
end
if (isempty(Volatility) | Volatility < 0)
ErrorFlag = 1;
errordlg('Volatility cannot be empty or negative!')
end
if (isempty(OptionType))
ErrorFlag = 1;
errordlg('You must specify an option type!')
end
if (isempty(VizRange) | VizRange <= 0)
ErrorFlag = 1;
errordlg('You must specify a visualization range!')
end
%end of GETGUIDATA subroutine
%-----------------------------------------------------------------------------
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
