Option Compare Database Option Explicit 'use enum for column OptionType Public Enum ReturnValue ValueBS = 1 DeltaBS

= 3 GammaBS = 5 ThetaBS = 6 RhoBS = 8 VegaBS = 10 End Enum 'use enum for column OptionType Public Enum OptionCalculation Call_BlackSchole = 1 Put_BlackSchole = 2 End Enum Private Private Private Private Private Private Private Private mOptionType As Long mStrikePrice As Double mSharePrice As Double mTimeToExpiry As Double mRiskFreeInterestRate As Double mSigma As Double mDividend As Double mlngID As Long

Private Sub Class_Initialize() ' ' ' ' ' ' ' mOptionType = 0 mStrikePrice = 0 mSharePrice = 0 mTimeToExpiry = 0 mR = 0 mRiskFreeInterestRate = 0 mSigma = 0

End Sub Private Sub Class_Terminate() ''use? End Sub Public Property Get StrikePrice() As Double StrikePrice = mStrikePrice End Property Public Property Let StrikePrice(dblVal As Double) 'verifies rate is between 0 and 1 If dblVal <= 0 Then Err.Raise vbObjectError + 512, "European Option", "Strike price must be greater than 0"

End If mStrikePrice = dblVal End Property Public Property Get OptionType() As OptionCalculation OptionType = mOptionType End Property Public Property Let OptionType(lngVal As OptionCalculation) 'verifies rate is between 0 and 1 If lngVal <> Call_BlackSchole And lngVal <> Put_BlackSchole Then Err.Raise vbObjectError + 512, "European Option", "Option type not valid ." End If mOptionType = lngVal End Property Public Property Get SharePrice() As Double SharePrice = mSharePrice End Property Public Property Let SharePrice(dblVal As Double) 'verifies rate is between 0 and 1 If dblVal < 0.00001 Then Err.Raise vbObjectError + 512, "European Option", "Share price must be g reater than 0.00001" End If mSharePrice = dblVal End Property Public Property Get TimeToExpiry() As Double ''mTimeToExpiry is in years, but converts back to days based on 365 daya calenda r TimeToExpiry = mTimeToExpiry * 365 End Property Public Property Let TimeToExpiry(dblVal As Double) ''receives days, but converts to year based on 365 daya calendar ''requires value is greater than 0

'verifies rate is between 0 and 1 If dblVal <= 0 Then Err.Raise vbObjectError + 512, "European Option", "Expiry must be greate r than 0" End If mTimeToExpiry = dblVal / 365 End Property Public Property Get RiskFreeInterestRate() As Double RiskFreeInterestRate = mRiskFreeInterestRate End Property Public Property Let RiskFreeInterestRate(dblVal As Double) ''requires decimal interest rate, not percent 'verifies rate is between 0 and 1 If dblVal < 0 Or dblVal > 1 Then Err.Raise vbObjectError + 512, "European Option", "Rate must be between 0 and 1, here 1 = 100%" End If mRiskFreeInterestRate = dblVal End Property Public Property Get Sigma() As Double Sigma = mSigma End Property Public Property Let Sigma(dblVal As Double) ''requires decimal standard deviation 'verifies rate is between 0 and 1 If dblVal < 0 Or dblVal > 1 Then Err.Raise vbObjectError + 512, "European Option", "Sigma (Standard Devia tion) must be between 0 and 1" End If mSigma = dblVal End Property Public Property Get Dividend() As Double Dividend = mDividend

End Property Public Property Let Dividend(dblVal As Double) 'verifies dividend is between 0 and 1 If dblVal < 0 Or dblVal > 1 Then Err.Raise vbObjectError + 512, "European Option", "Dividend must be betw een 0 and 1" End If mDividend = dblVal End Property Private Sub Verify() If mOptionType = 0 Then Err.Raise vbObjectError + 512, "European Option", "Option type must be defined." ElseIf mStrikePrice = 0 Then Err.Raise vbObjectError + 512, "European Option", "Strike Price must be defined." ElseIf mSharePrice = 0 Then Err.Raise vbObjectError + 512, "European Option", "Share Price must be defined." ElseIf mTimeToExpiry = 0 Then Err.Raise vbObjectError + 512, "European Option", "Time to Expiry mu st be defined." ElseIf mRiskFreeInterestRate = 0 Then Err.Raise vbObjectError + 512, "European Option", "Risk Free Interes t Rate must be defined." ElseIf mSigma = 0 Then Err.Raise vbObjectError + 512, "European Option", "Sigma (Standard D eviation) must be defined." End If End Sub Public Function Calculate(ByVal Command As ReturnValue) As Double ' Calculates the value of an European Option (Black-Scholes) ' Typ -> Call or Put ' Command -> Price, Delta, Gamma, Theta, Vega, Rho Verify

mTimeToExpiry = Excel.WorksheetFunction.Max(0.00001, mTimeToExpiry) Dim d1 As Double Dim d2 As Double Dim dblTempHolder As Double dblTempHolder = 0 If (mSigma * mStrikePrice * mTimeToExpiry > 0) Then d1 = Log(mSharePrice / mStrikePrice) + ((mRiskFreeInterestRate - mDivide nd) + 0.5 * mSigma * mSigma) * mTimeToExpiry d1 = d1 / (mSigma * Sqr(mTimeToExpiry)) d2 = d1 - mSigma * Sqr(mTimeToExpiry) End If Select Case Command Case ValueBS If mOptionType = Call_BlackSchole Then Calculate = (mSharePrice * Exp(-mDividend * mTimeToExpiry) * Cum ulativeDistributionFunction(d1)) - (Exp(-mRiskFreeInterestRate * mTimeToExpiry) * mStrikePrice * CumulativeDistributionFunction(d2)) ElseIf mOptionType = Put_BlackSchole Then Calculate = Exp(-mRiskFreeInterestRate * mTimeToExpiry) * mStrik ePrice * CumulativeDistributionFunction(-d2) - mSharePrice * Exp(-mDividend * mT imeToExpiry) * CumulativeDistributionFunction(-d1) End If Case DeltaBS If mOptionType = Call_BlackSchole Then Calculate = Exp(-mDividend * mTimeToExpiry) * CumulativeDistribu tionFunction(d1) ElseIf mOptionType = Put_BlackSchole Then Calculate = Exp(-mDividend * mTimeToExpiry) * (CumulativeDistrib utionFunction(d1) - 1) End If Case GammaBS Calculate = nprime(d1) * Exp(-mDividend * mTimeToExpiry) / (mSharePr ice * mSigma * Sqr(mTimeToExpiry)) Case ThetaBS If mOptionType = Call_BlackSchole Then

dblTempHolder = -(mSharePrice * nprime(d1) * mSigma * Exp(-mDivi dend * mTimeToExpiry) / 2 / Sqr(mTimeToExpiry)) dblTempHolder = dblTempHolder + (mDividend * mSharePrice * Cumul ativeDistributionFunction(d1) * Exp(-mDividend * mTimeToExpiry)) dblTempHolder = dblTempHolder - (mRiskFreeInterestRate * mStrike Price * Exp(-mRiskFreeInterestRate * mTimeToExpiry) * CumulativeDistributionFunc tion(d2)) Calculate = dblTempHolder / 100 ElseIf mOptionType = Put_BlackSchole Then dblTempHolder = -(mSharePrice * nprime(d1) * mSigma * Exp(-mDivi dend * mTimeToExpiry) / 2 / Sqr(mTimeToExpiry)) dblTempHolder = dblTempHolder - (mDividend * mSharePrice * Cumul ativeDistributionFunction(-d1) * Exp(-mDividend * mTimeToExpiry)) dblTempHolder = dblTempHolder + (mRiskFreeInterestRate * mStrike Price * Exp(-mRiskFreeInterestRate * mTimeToExpiry) * CumulativeDistributionFunc tion(-d2)) Calculate = dblTempHolder / 100 End If dblTempHolder = 0 Case RhoBS If mOptionType = Call_BlackSchole Then Calculate = (mStrikePrice * mTimeToExpiry * Exp(-mRiskFreeIntere stRate * mTimeToExpiry) * CumulativeDistributionFunction(d2)) / 100 ElseIf mOptionType = Put_BlackSchole Then Calculate = (-mStrikePrice * mTimeToExpiry * Exp(-mRiskFreeInter estRate * mTimeToExpiry) * CumulativeDistributionFunction(-d2)) / 100 End If Case VegaBS Calculate = (mSharePrice * Sqr(mTimeToExpiry / 3.1415926 / 2) * Exp( -0.5 * d1 * d1) * Exp(-mDividend * mTimeToExpiry)) / 100 Case Else Err.Raise vbObjectError + 512, "European Option", "Return value not valid." End Select End Function Public Function ValueArray() As Variant ValueArray = Array(OptionType, SharePrice, StrikePrice, Sigma, TimeToExpiry, RiskFreeInterestRate, Dividend, Calculate(ValueBS), Calculate(DeltaBS), Calcula te(GammaBS), Calculate(ThetaBS), Calculate(VegaBS), Calculate(RhoBS)) End Function

Private Function CumulativeDistributionFunction(x As Double) As Double Dim Dim Dim Dim d a b c d a b c As As As As = = = = Double Double Double Double 1 / (1 + 0.33267 * Abs(x)) 0.4361836 -0.1201676 0.937298

CumulativeDistributionFunction = 1 - 1 / Sqr(2 * 3.1415926) * Exp(-0.5 * x * x) * (a * d + b * d * d + c * d * d * d) If x < 0 Then CumulativeDistributionFunction = 1 - CumulativeDistributionFun ction End Function Private Function nprime(x As Double) As Double nprime = Exp(-0.5 * x * x) / Sqr(2 * 3.1415926) End Function