Class OptionStrike

• Defined in File option_strike.hpp

Inheritance Relationships

Base Type

• public std::enable_shared_from_this< OptionStrike >

Class Documentation

class OptionStrike : public std::enable_shared_from_this<OptionStrike>

Represents the call and put option with the same strike price within a given expiration.

Public Functions

OptionStrike(double strike, const std::shared_ptr<UnderlyingDataset> &underlying_dataset, const std::shared_ptr<OptionExpiration> &option_expiration)

Constructs an OptionStrike object.

Parameters:

• strike – The strike price of the option.

• underlying_dataset – The underlying dataset associated with the option.

• option_expiration – The expiration object associated with this strike.

std::shared_ptr<Option> create_option(OptionType type)

Creates an option of the specified type.

Parameters:

type – The type of option (call or put).

Returns:

A shared pointer to the created option.

inline double distance_to_forward(double forward) const

Computes the distance between the strike price and a given forward price.

Parameters:

forward – The forward price.

Returns:

The absolute difference between the strike and forward price.

double synthetic_forward() const

Computes the synthetic forward price.

Returns:

The synthetic forward price.

double synthetic_forward_spread() const

Computes the synthetic forward spread.

Returns:

The synthetic forward spread value.

double call_put_disparity() const

Computes the call-put parity disparity.

Returns:

The disparity value.

inline boost::posix_time::ptime get_expiration() const

Gets the expiration that it belongs to.

Returns:

The expiration.

inline double get_strike() const

Gets the strike price.

Returns:

The strike price.

inline void set_strike(double strike)

Sets the strike price.

Parameters:

strike – The new strike price.

inline bool finite_call_put_bid_ask_volatility() const

Checks if both call and put bid-ask volatilities are finite.

Returns:

True if both call and put bid-ask volatilities are finite, false otherwise.

inline Estimate get_strike_volatility() const

Gets the strike volatility estimate.

Returns:

The strike volatility estimate.

inline double get_strike_volatility_value() const

Gets the value of the strike volatility.

Returns:

The strike volatility value.

inline double get_strike_volatility_uncertainty() const

Gets the uncertainty of the strike volatility.

Returns:

The strike volatility uncertainty.

inline double get_average_volatility_value() const

Gets the value of the average volatility.

Returns:

The average volatility value.

inline double get_average_volatility_uncertainty() const

Gets the uncertainty of the average volatility.

Returns:

The average volatility uncertainty.

inline double get_fair_volatility() const

Gets the fair volatility.

Returns:

The fair volatility value.

inline double get_stochastic_process_volatility() const

Gets stochastic process implied volatility.

Returns:

The stochastic process implied volatility.

inline Estimate get_implied_forward() const

Gets the implied forward estimate.

Returns:

The implied forward estimate.

inline double get_implied_forward_value() const

Returns the value of the implied forward price.

Returns:

The implied forward price as a double.

inline double get_implied_forward_uncertainty() const

Returns the uncertainty of the implied forward price.

Returns:

The uncertainty of the implied forward price as a double.

inline double get_standard_price_value() const

Returns the value of the standard price.

Returns:

The standard price as a double.

inline double get_standard_price_uncertainty() const

Returns the uncertainty of the standard price.

Returns:

The uncertainty of the standard price as a double.

inline std::vector<std::shared_ptr<Option>> get_options() const

Returns a vector of shared pointers to the call and put options.

Returns:

A std::vector containing shared pointers to the call and put Option objects.

std::shared_ptr<Option> otm_option() const

Gets the out-of-the-money (OTM) option.

Returns:

A shared pointer to the OTM option.

inline std::shared_ptr<Option> get_call() const

Gets the call option.

Returns:

A shared pointer to the call option.

inline std::shared_ptr<Option> get_put() const

Gets the put option.

Returns:

A shared pointer to the put option.

inline double get_log_relative_strike() const

Gets the logarithm of the relative strike.

Returns:

The log-relative strike value.

inline double get_relative_strike() const

Gets the relative strike.

Returns:

The relative strike value.

void setup()

inline std::vector<double> get_volatility_model_outputs()

Estimate implied_forward(std::shared_ptr<OptionCalculator<>> oc) const

Computes the implied forward price using the given option calculator which contains pricing information, e.g. underlying price, volatility, interest and borrow estimates, dividends, etc.

Parameters:

oc – A shared pointer to an OptionCalculator used to perform the computation.

Returns:

An Estimate representing the implied forward price.

inline bool bid_above_intrinsic(double underlying_price) const

Determines whether bid prices are above intrinsic values for the given underlying price.

Parameters:

underlying_price – The underlying price.

Returns:

True if both call and put bid prices exceed intrinsic values, false otherwise.

bool put_call_volatility_crossed() const

Checks if the put-call volatilities are crossed.

Returns:

True if volatilities are crossed, false otherwise.

Friends

friend std::ostream &operator<<(std::ostream&, const OptionStrike&)

Overloaded stream insertion operator for OptionStrike.