WebCab Options and Futures Demo v2.5 (J2SE Edition)

## Package webcab.lib.finance.options

This module performs pricing and risk analysis (via greeks) of European and Binary Options.

See:
Description

Class Summary
BinaryOptions: This class evaluates the pay-off from a Binary option at expiry.
EuropeanDelta: Within this class we consider the evaluation of the Delta of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanEvaluation: Within this class we consider the evaluation of the present value of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanGamma: Within this class we consider the evaluation of the Gamma of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanRho: Within this class we consider the evaluation of the Rho of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
EuropeanTheta: Within this class we consider the evaluation of the Theta of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
EuropeanVega: Within this class we consider the evaluation of the Vega of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
ImpliedVolatility: This class calculates the implied volatility for a given European (call or put) option.
OptionsConstants: This class defines constants used by the Options class methods.
OptionStrategies: This class evaluates the payoff functions of a number of different option trading strategies.
PutCallParity: Within this class we implement put-call parity relations for: Vanilla Options where the underlying asset does not pay dividends Binary Options where the underlying asset does not pay dividends Vanilla options where the underlying asset pays a continuous dividend
Volatility: This class consists of a collection of methods for estimating and rescaling the volatility.

Exception Summary
BinaryOptionsDemoException: This exception is thrown by the demo version of the BinaryOptions class after the number of maximum method calls has been reached.
EuropeanDeltaDemoException: This exception is thrown by the demo version of the EuropeanDelta class after the number of maximum method calls has been reached.
EuropeanEvaluationDemoException: This exception is thrown by the demo version of the EuropeanEvaluation class after the number of maximum method calls has been reached.
EuropeanGammaDemoException: This exception is thrown by the demo version of the EuropeanGamma class after the number of maximum method calls has been reached.
EuropeanRhoDemoException: This exception is thrown by the demo version of the EuropeanRho class after the number of maximum method calls has been reached.
EuropeanThetaDemoException: This exception is thrown by the demo version of the EuropeanTheta class after the number of maximum method calls has been reached.
EuropeanVegaDemoException: This exception is thrown by the demo version of the EuropeanVega class after the number of maximum method calls has been reached.
ImpliedVolatilityDemoException: This exception is thrown by the demo version of the ImpliedVolatility class after the number of maximum method calls has been reached.
OptionsException: Exception usually thrown to indicate error in input values for any of the classes within this package.
OptionStrategiesDemoException: This exception is thrown by the demo version of the OptionStrategies class after the number of maximum method calls has been reached.
PutCallParityDemoException: This exception is thrown by the demo version of the PutCallParity class after the number of maximum method calls has been reached.
VolatilityDemoException: This exception is thrown by the demo version of the Volatility class after the number of maximum method calls has been reached.

## Package webcab.lib.finance.options Description

This module performs pricing and risk analysis (via greeks) of European and Binary Options. We also include volatility estiamtes (ARCH, EWMA, GARCH(1,1)), Implied volatility, put-call parity and procedures for standard options trading strategies (i.e. Bull Spreads, Bear Spreads and Butterfly Spreads, Straddles and Strangles).

### Detailed Description of the Functionality Offered

The Options module offers the following functionality:

- European and Binary Options - The (Analytic) Black-Scholes model is fully implemented for European and Binary Options on stocks, currencies and indexes.
- `The Greeks' - We offer methods for the evaluation of `The Greeks' (delta, gamma, rho, theta, vega) for European options on stocks, indexes and currencies according to the Black-Scholes model.
- Volatility Estimates - the volatility may to estimated directly from historical values or from one of the following models:

- ARCH - Autoregressive Conditional Heteroscedasticity model
- EWMA - Exponentially Weighted Moving Average model
- GARCH(1,1) - Generalized Autoregressive Heteroscedasticity model

- Implied Volatility - Calculates the implied volatility for dividend and non-dividend paying stocks from the Black-Scholes formulae
- Payoff Functions - Pay off functions at expiry for European and Binary Options are implemented.
- Put - Call Parity relations

- Put - call parity relations for European options on an asset with no yield or a continuous yield.
- Put - call parity relations for Binary options on an asset with no yield.
- Implied risk-free interest - the implied risk free interest rate is calculated when either the prices of put/call European or put/pull Binary option is known.

- Trading Strategies - the following pay-off functions for the following option trading strategies are implemented.

- Spread Option Strategies - Bull Spreads, Bear Spreads and Butterfly Spreads.
- Combination Option Strategies - Straddles and Strangles.

### Classes contained within the Options module

- BinaryOptions - Evaluates the pay-off from a Binary option at expiry.
- EuropeanEvaluation - Evaluation of the present value of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
- EuropeanDelta - Evaluation of the Delta of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
- EuropeanGamma - Evaluation of the Gamma of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
- EuropeanRho - evaluation of the Rho of European options on equities, equity indexes, currencies and futures contracts in accordance with the classical Black-Scholes model.
- EuropeanTheta - Evaluation of the Theta of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
- EuropeanTheta - Evaluation of the Theta of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
- EuropeanVega - Evaluation of the Vega of a European option on equities, equity indexes, currencies and future contracts in accordance with the classical Black-Scholes model.
- ImpliedVolatility - Calculates the implied volatility for a given European (call or put) option.
- OptionStrategies - Evaluates the payoff functions of a number of different option trading strategies.
- PutCallParity - Implement put-call parity relations for Vanilla options (with or without continuous dividends) and Binary options without dividends.
- Volatility - Consists of a collection of methods for estimating and rescaling the volatility.

WebCab Options and Futures Demo v2.5 (J2SE Edition)