Skip to content

Instantly share code, notes, and snippets.

@ShabbirHasan1

ShabbirHasan1/bns.js

Forked from vishnus/bns.js
Created April 21, 2021 07:59
Show Gist options

  • Select an option

    Learn more about clone URLs
  • Save ShabbirHasan1/1ab06562922689e8803d121a83e4e152 to your computer and use it in GitHub Desktop.

Select an option

Learn more about clone URLs
Save ShabbirHasan1/1ab06562922689e8803d121a83e4e152 to your computer and use it in GitHub Desktop.
Download ZIP

Revisions

  1. @vishnus vishnus created this gist Nov 30, 2016.
    96 changes: 96 additions & 0 deletions bns.js
    View file
    Original file line number Diff line number Diff line change
    @@ -0,0 +1,96 @@
    function bns() {
    // Sample input
    spot = 8400;
    strike = 8600;
    expiry = "2016-12-01 23:59:00";
    volt = 18;
    int_rate = 7;
    div_yld = 0;

    //Validation
    var error=null;
    if(isNaN(spot) || isNaN(strike) || isNaN(volt) || isNaN(int_rate)) {
    error = "Invalid Values";
    alert(error);
    }
    else if(spot < 0 || strike < 0) {
    error = "Spot and Strike should be positive values";
    alert(error);
    }
    else if(volt <0 || volt >100) {
    error = "Voltality should be between 0 - 100";
    alert(error);
    }
    else if(int_rate <0 || int_rate >100) {
    error = "Interest rate should be between 0 - 100";
    alert(error);
    }
    else {

    expiry = expiry.replace(" ", "T");

    var date_expiry = new Date(expiry),
    date_now = new Date();

    var seconds = Math.floor((date_expiry - (date_now))/1000),
    minutes = Math.floor(seconds/60),
    hours = Math.floor(minutes/60),
    delta_t = (Math.floor(hours/24))/365.0;

    volt = volt/100;
    int_rate = int_rate/100;

    if(hours < 24) {
    error = "Please select a later date and time <br> Expiry should be minimum 24 hours from now";
    alert(error);
    }
    else {


    var d1 = (Math.log(spot/strike) + (int_rate + Math.pow(volt,2)/2) * delta_t) / (volt*Math.sqrt(delta_t)),
    d2 = (Math.log(spot/strike) + (int_rate - Math.pow(volt,2)/2) * delta_t) / (volt*Math.sqrt(delta_t));

    var fv_strike = (strike)*Math.exp(-1*int_rate*delta_t);

    //For calculating CDF and PDF using gaussian library. You need gaussian.js library for this.
    var distribution = gaussian(0, 1);

    //Premium Price
    var call_premium = spot * distribution.cdf(d1) - fv_strike * distribution.cdf(d2),
    put_premium = fv_strike * distribution.cdf(-1*d2) - spot * distribution.cdf(-1*d1);

    //Option greeks
    var call_delta = distribution.cdf(d1),
    put_delta = call_delta-1;

    var call_gamma = distribution.pdf(d1)/(spot*volt*Math.sqrt(delta_t)),
    put_gamma = call_gamma;

    var call_vega = spot*distribution.pdf(d1)*Math.sqrt(delta_t)/100,
    put_vega = call_vega;

    var call_theta = (-1*spot*distribution.pdf(d1)*volt/(2*Math.sqrt(delta_t)) - int_rate*fv_strike*distribution.cdf(d2))/365,
    put_theta = (-1*spot*distribution.pdf(d1)*volt/(2*Math.sqrt(delta_t)) + int_rate*fv_strike*distribution.cdf(-1*d2))/365;

    var call_rho = fv_strike*delta_t*distribution.cdf(d2)/100,
    put_rho = -1*fv_strike*delta_t*distribution.cdf(-1*d2)/100;

    bns_results = {
    "call_option_prem_value": call_premium.toFixed(2),
    "put_option_prem_value": put_premium.toFixed(2),
    "call_option_delta_value": call_delta.toFixed(3),
    "put_option_delta_value": put_delta.toFixed(3),
    "option_gamma_value": call_gamma.toFixed(4),
    "call_option_theta_value": call_theta.toFixed(3),
    "put_option_theta_value": put_theta.toFixed(3),
    "call_option_rho_value": call_rho.toFixed(3),
    "put_option_rho_value": put_rho.toFixed(3),
    "option_vega_value": call_vega.toFixed(3)
    }
    }
    }
    console.log(bns_results);
    return false;
    }

    bns();