Pricer

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function normalcdf(X){ var T=1/(1+.2316419*Math.abs(X)); var D=.3989423*Math.exp(-X*X/2); var Prob=D*T*(.3193815+T*(-.3565638+T*(1.781478+T*(-1.821256+T*1.330274)))); if (X0) { Prob=1-Prob } return Prob } function getNcdf(Z, M, SD) { if (SD .input2 { color: currentColor; font-weight: bold; } .slider2 { width: 200px; } .button2 { color:currentColor; font-weight: bold; border: 2px solid currentColor; padding: 1px 15px; width: 49% } .button1 { color:currentColor; font-weight: thin; border: 1px solid currentColor; padding: 1px 15px; } .column { float: left; width: 33.33%; } .row:after { content: ""; display: table; clear: both; } .move { cursor: move; } .pointer { cursor: pointer; } .normalCell{ color: currentColor; font-weight: normal; } .toggle { --width: 80px; --height: calc(var(--width) / 3); position: relative; display: inline-block; width: var(--width); height: var(--height); box-shadow: 0px 1px 3px rgba(0, 0, 0, 0.3); border-radius: var(--height); cursor: pointer; } .toggle input { display: none; } .toggle .slider { position: absolute; top: 0; left: 0; width: 100%; height: 100%; border-radius: var(--height); background-color: #2ecc71; transition: all 0.4s ease-in-out; } .toggle .slider::before { content: ''; position: absolute; top: 0; left: 0; width: calc(var(--height)); height: calc(var(--height)); border-radius: calc(var(--height) / 2); background-color: #fff; box-shadow: 0px 1px 3px rgba(0, 0, 0, 0.3); transition: all 0.4s ease-in-out; } .toggle input:checked+.slider { background-color: #e74c3c; } .toggle input:checked+.slider::before { transform: translateX(calc(var(--width) - var(--height))); } .toggle .labels { position: absolute; top: 8px; left: 0; width: 100%; height: 100%; font-size: 12px; font-family: sans-serif; transition: all 0.4s ease-in-out; } .toggle .labels::after { content: attr(data-off); position: absolute; right: 5px; color: #fff; opacity: 1; text-shadow: 1px 1px 2px rgba(0, 0, 0, 0.4); transition: all 0.4s ease-in-out; } .toggle .labels::before { content: attr(data-on); position: absolute; left: 5px; color: #ffffff; opacity: 0; text-shadow: 1px 1px 2px rgba(255, 255, 255, 0.4); transition: all 0.4s ease-in-out; } .toggle input:checked~.labels::after { opacity: 0; } .toggle input:checked~.labels::before { opacity: 1; } Pricer Strike ($) Current Price ($) Time to Maturity (days) Volatility (%) Dividend Yield (%) Interest Rate (%) PRICE CALL PRICE PUT Result Strike Current Expiry Volatility Dividend Rate Format table Reset format Clear table Create chart Get URl var binsvgOptions = '' function price(callORput){ strike = parseFloat(document.getElementById('strikeText').value) currentPrice = parseFloat(document.getElementById('currentText').value) ttm = parseFloat(document.getElementById('timeText').value) rate = parseFloat(document.getElementById('rateText').value) vol = parseFloat(document.getElementById('volText').value) div = parseFloat(document.getElementById('divText').value) console.log(strike, currentPrice, ttm, rate, vol, div) if (callORput=='put'){ var option = putOption(currentPrice, strike, 1/365*ttm,rate/100,vol/100,div/100) } else{ var option = callOption(currentPrice, strike, 1/365*ttm,rate/100,vol/100,div/100) } var table = document.getElementById("optionsTable"); var row = table.insertRow(1); row.setAttribute("draggable", "true") row.setAttribute("ondragstart", "start()") row.setAttribute("ondragover", "dragover()") var cell0 = row.insertCell(0); var cell1 = row.insertCell(-1); var cell2 = row.insertCell(-1); var cell3 = row.insertCell(-1); var cell4 = row.insertCell(-1); var cell5 = row.insertCell(-1); var cell6 = row.insertCell(-1); var cell7 = row.insertCell(-1); var cell8 = row.insertCell(-1); cell0.innerHTML= option.toFixed(3) cell0.setAttribute("class", "move") cell1.innerHTML = strike; cell1.setAttribute("class", "pointer") cell1.setAttribute("onclick","clicker('strike')") cell2.innerHTML = currentPrice; cell2.setAttribute("class", "pointer") cell2.setAttribute("onclick","clicker('current')") cell3.innerHTML = ttm; cell3.setAttribute("class", "pointer") cell3.setAttribute("onclick","clicker('time')") cell4.innerHTML = vol; cell4.setAttribute("class", "pointer") cell4.setAttribute("onclick","clicker('vol')") cell5.innerHTML = div; cell5.setAttribute("class", "pointer") cell5.setAttribute("onclick","clicker('div')") cell6.innerHTML = rate; cell6.setAttribute("class", "pointer") cell6.setAttribute("onclick","clicker('rate')") cell7.innerHTML = callORput cell8.innerHTML = binsvgOptions; } function deleteRowOptions(r){ var i = r.parentNode.parentNode.rowIndex; document.getElementById("optionsTable").deleteRow(i); } var row; var tar; var tarValue; var ev; function start(){ row = event.target; } function dragover(){ var e = event; e.preventDefault(); let children= Array.from(e.target.parentNode.parentNode.children); if(children.indexOf(e.target.parentNode)children.indexOf(row)) e.target.parentNode.after(row); else e.target.parentNode.before(row); } function clicker(col){ tar=event.target; tarValue=tar.textContent; document.getElementById(col+"Text").value=tarValue try { document.getElementById(col+"Range").value=tarValue; } catch(error){} } function changeFormat(tableId){ var table= document.getElementById(tableId) rowIndex=0 columnIndex=0 for (var i = 1, row; row = table.rows[i]; i++) { for (var j = 0, col; col = row.cells[j]; j++) { try{ if (table.rows[i].cells[j].innerHTML != table.rows[i+1].cells[j].innerHTML){ table.rows[i].cells[j].style.fontWeight = "bold" if(table.rows[i].cells[j].innerHTML table.rows[i+1].cells[j].innerHTML){ table.rows[i].cells[j].style.color = "red" } else{ table.rows[i].cells[j].style.color = "green" } } else{ table.rows[i].cells[j].removeAttribute("style"); } } catch(error) { table.rows[i].cells[j].removeAttribute("style"); } } } } function resetFormat(tableId){ var table= document.getElementById(tableId) for (var i = 1, row; row = table.rows[i]; i++) { for (var j = 0, col; col = row.cells[j]; j++) { table.rows[i].cells[j].removeAttribute("style"); } } } function resetTable(tableId){ var table = document.getElementById(tableId); for(var i = 1;iScenario Strike is contant Constant parameters Strike ($) Dividend Yield (%) Interest Rate (%) Variables Current price ($) Range (absolute $) Step (absolute $) Time to Maturity, Min (days) Max Step Volatility (%) Range (absolute %) Step (absolute %) Simulate scenarii function simulation(){ const data=[]; const dataChart=[]; dataChart.push({name: 'Show/Hide all',visible: false, color: 'rgb(204, 204, 204)'}); strike = parseFloat(document.getElementById('strike2Text').value) div = parseFloat(document.getElementById('divText').value) rate = parseFloat(document.getElementById('rateText').value) currentPrices = [] currentPrice = parseFloat(document.getElementById('current2Text').value) range = parseFloat(document.getElementById('current2Range').value) step = parseFloat(document.getElementById('current2Step').value) for(i=currentPrice-range;i{ series.hide() }) } else { series.forEach(series = { series.show() }) } chart.showHideFlag = !chart.showHideFlag; } } } }, }, series:data2 }); } Price is contant Constant parameters Current price ($) Dividend Yield (%) Interest Rate (%) Variables Strike ($) Range (absolute $) Step (absolute $) Time to Maturity, Min (days) Max Step Volatility (%) Range (absolute %) Step (absolute %) Simulate scenarii function simulation2(){ const data=[]; const dataChart=[]; dataChart.push({name: 'Show/Hide all',visible: false, color: 'rgb(204, 204, 204)'}); currentPrice = parseFloat(document.getElementById('current3Text').value) div = parseFloat(document.getElementById('div3Text').value) rate = parseFloat(document.getElementById('rate3Text').value) strikes = [] strike = parseFloat(document.getElementById('strike3Text').value) range = parseFloat(document.getElementById('strike3Range').value) step = parseFloat(document.getElementById('strike3Step').value) for(i=strike-range;i{ series.hide() }) } else { series.forEach(series = { series.show() }) } chart.showHideFlag = !chart.showHideFlag; } } } }, }, series:data2 }); } Expiry is constant Constant parameters Time to Maturity (days) Dividend Yield (%) Interest Rate (%) Variables Current price ($) Range (absolute $) Step (absolute $) Strike ($) Range (absolute $) Step (absolute $) Volatility (%) Range (absolute %) Step (absolute %) Simulate scenarii function simulation3(){ const data=[]; const dataChart=[]; dataChart.push({name: 'Show/Hide all',visible: false, color: 'rgb(204, 204, 204)'}); time = parseFloat(document.getElementById('time4Text').value) div = parseFloat(document.getElementById('div4Text').value) rate = parseFloat(document.getElementById('rate4Text').value) currentPrices = [] currentPrice = parseFloat(document.getElementById('current4Text').value) range = parseFloat(document.getElementById('current4Range').value) step = parseFloat(document.getElementById('current4Step').value) for(i=currentPrice-range;i{ series.hide() }) } else { series.forEach(series = { series.show() }) } chart.showHideFlag = !chart.showHideFlag; } } } }, }, series:data2 }); }

Pricer#

Scenario#

Strike is contant#

Constant parameters

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Price is contant#

Constant parameters

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Expiry is constant#

Constant parameters

Variables

Pricer

Scenario

Strike is contant

Price is contant

Expiry is constant