//
// bs.cc Black-Scholes Pricing Engine
//
#include <math.h>
#include "bs.h"

bs::bs(double ttm,double r,double sigma) {
  sigsqttm = sigma * sigma * ttm;
  disc = exp(-r * ttm);}

void bs::newpars(double ttm,double r,double sigma) {
  sigsqttm = sigma * sigma * ttm;
  disc = exp(-r * ttm);}

valhedge bs::ezcall(double stock,double bond,double vol) {
  distdens Nn1,Nn2;
  valhedge toreturn;
  Nn1 = Gaussian(log(stock/bond)/vol+vol/2.0);
  Nn2 = Gaussian(log(stock/bond)/vol-vol/2.0);
  toreturn.value = stock * Nn1.dist - bond * Nn2.dist;
  toreturn.delta = Nn1.dist;
  return(toreturn);}

valhedge bs::call(double S0,double X) {
  return(ezcall(S0,X*disc,sqrt(sigsqttm)));}