oprice

function oprice

close all
ir = 0.03;
sp = linspace(660, 780, 15);
up = linspace(670, 740, 15);
[upm, spm] = meshgrid(up, sp);
tm = linspace(50/252, 10/252, 50);
tml = linspace(50, 10, 50);

% [upm, tmm] = meshgrid(up, tm);
% 
% cpm = blsgamma(upm, 700, ir, tmm, 0.3);
% surf(up, tm, cpm)
% 
% return

figure('doublebuffer','on','numbertitle','off',...
    'name', 'Call Option Price');

for k=1:length(tm)
    ops = blsprice(upm, spm, ir, tm(k), 0.3);
    surf(up, sp, ops)
    view(-110,30)
    makelabels(tml,k)
    if k==1, pause; end
end

pause;
set(gcf, 'name', 'Call Option Gamma');
for k=1:length(tm)
    ops = blsgamma(upm, spm, ir, tm(k), 0.3);
    surf(up, sp, ops)
    set(gca, 'zlim', [0 0.01])
    makelabels(tml,k)
end



pause;
set(gcf, 'name', 'Volatility Surface');
for k=1:length(tm)
    ops = blsimpv1(upm, spm , ir, tm(k), 90);
    surf(up, sp, ops)
    set(gca, 'zlim', [0 2.5])
    makelabels(tml,k)
end


function makelabels(tml,k)

h = title(['Time to maturity: ', num2str(round(tml(k))), ' days']);
set(h, 'fontsize', 12, 'fontweight', 'demi');
xlabel('Underlying Price');
ylabel('Strike Price');
drawnow