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C++ Mathematical Expression Library (ExprTk) http://www.partow.net/programming/exprtk/index.html

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Arash Partow
2014-06-09 17:36:58 +10:00
parent 751226b946
commit 0c8cd6eb80
4 changed files with 150 additions and 24 deletions
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exprtk_simple_example_15.cpp Normal file
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/*
**************************************************************
* C++ Mathematical Expression Toolkit Library *
* *
* Simple Example 15 *
* Author: Arash Partow (1999-2014) *
* URL: http://www.partow.net/programming/exprtk/index.html *
* *
* Copyright notice: *
* Free use of the Mathematical Expression Toolkit Library is *
* permitted under the guidelines and in accordance with the *
* most current version of the Common Public License. *
* http://www.opensource.org/licenses/cpl1.0.php *
* *
**************************************************************
*/
#include <cstdio>
#include <cstdlib>
#include <ctime>
#include <string>
#include "exprtk.hpp"
template<typename T>
void black_scholes_merton_model()
{
typedef exprtk::symbol_table<T> symbol_table_t;
typedef exprtk::expression<T> expression_t;
typedef exprtk::parser<T> parser_t;
std::string bsm_model_program =
" var d1 := (log(s / x) + (r + v^2 / 2) * t) / (v * sqrt(t)); "
" var d2 := d1 - v * sqrt(t); "
" "
" if(callput_flag == 'call') "
" s * ncdf(d1) - x * e^(-r * t) * ncdf(d2); "
" else if(callput_flag == 'put') "
" x * e^(-r * t) * ncdf(-d2) - s * ncdf(-d1); "
" ";
T s = T(60.00); // Stock price
T x = T(65.00); // Strike price
T t = T( 0.25); // Years to maturity
T r = T( 0.08); // Risk free rate
T v = T( 0.30); // Volatility
std::string callput_flag;
static const T e = exprtk::details::numeric::constant::e;
symbol_table_t symbol_table;
symbol_table.add_variable("s",s);
symbol_table.add_variable("x",x);
symbol_table.add_variable("t",t);
symbol_table.add_variable("r",r);
symbol_table.add_variable("v",v);
symbol_table.add_constant("e",e);
symbol_table.add_stringvar("callput_flag",callput_flag);
expression_t expression;
expression.register_symbol_table(symbol_table);
parser_t parser;
parser.compile(bsm_model_program,expression);
{
callput_flag = "call";
T bsm = expression.value();
printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
callput_flag.c_str(),
s,x,t,r,v,
bsm);
}
{
callput_flag = "put";
T bsm = expression.value();
printf("BSM(%s,%5.3f,%5.3f,%5.3f,%5.3f,%5.3f) = %10.6f\n",
callput_flag.c_str(),
s,x,t,r,v,
bsm);
}
}
int main()
{
black_scholes_merton_model<double>();
return 0;
}