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Diffstat (limited to 'scaddins/source/pricing/pricing.src')
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1 files changed, 436 insertions, 0 deletions
diff --git a/scaddins/source/pricing/pricing.src b/scaddins/source/pricing/pricing.src new file mode 100644 index 000000000000..c85a5d59aec5 --- /dev/null +++ b/scaddins/source/pricing/pricing.src @@ -0,0 +1,436 @@ +/* + * This file is part of the LibreOffice project. + * + * This Source Code Form is subject to the terms of the Mozilla Public + * License, v. 2.0. If a copy of the MPL was not distributed with this + * file, You can obtain one at http://mozilla.org/MPL/2.0/. + * + * This file incorporates work covered by the following license notice: + * + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed + * with this work for additional information regarding copyright + * ownership. The ASF licenses this file to you under the Apache + * License, Version 2.0 (the "License"); you may not use this file + * except in compliance with the License. You may obtain a copy of + * the License at http://www.apache.org/licenses/LICENSE-2.0 . + */ + + +#include "pricing.hrc" + + +// function and parameter description +Resource RID_PRICING_FUNCTION_DESCRIPTIONS +{ + Resource PRICING_FUNCDESC_Opt_barrier + { + String 1 // description + { + Text [ en-US ] = "pricing of a barrier option"; + }; + + String 2 // name of parameter 1 + { + Text [ en-US ] = "spot"; + }; + String 3 // description of parameter 1 + { + Text [ en-US ] = "price/value of the underlying asset"; + }; + + String 4 // name of parameter 2 + { + Text [ en-US ] = "vol"; + }; + String 5 // description of parameter 2 + { + Text [ en-US ] = "annual volatility of the underlying asset"; + }; + + String 6 // name of parameter 3 + { + Text [ en-US ] = "r"; + }; + String 7 // description of parameter 3 + { + Text [ en-US ] = "interest rate (continuously compounded)"; + }; + + String 8 // name of parameter 4 + { + Text [ en-US ] = "rf"; + }; + String 9 // description of parameter 4 + { + Text [ en-US ] = "foreign interest rate (continuously compounded)"; + }; + + String 10 // name of parameter 5 + { + Text [ en-US ] = "T"; + }; + String 11 // description of parameter 5 + { + Text [ en-US ] = "time to maturity of the option in years"; + }; + + String 12 // name of parameter 6 + { + Text [ en-US ] = "strike"; + }; + String 13 // description of parameter 6 + { + Text [ en-US ] = "strike level of the option"; + }; + + String 14 // name of parameter 7 + { + Text [ en-US ] = "barrier_low"; + }; + String 15 // description of parameter 7 + { + Text [ en-US ] = "lower barrier (set to 0 for no lower barrier)"; + }; + + String 16 // name of parameter 8 + { + Text [ en-US ] = "barrier_up"; + }; + String 17 // description of parameter 8 + { + Text [ en-US ] = "upper barrier (set to 0 for no upper barrier)"; + }; + + String 18 // name of parameter 8 + { + Text [ en-US ] = "rebate"; + }; + String 19 // description of parameter 8 + { + Text [ en-US ] = "amount of money paid at maturity if barrier was hit"; + }; + + String 20 // name of parameter 10 + { + Text [ en-US ] = "put/call"; + }; + String 21 // description of parameter 10 + { + Text [ en-US ] = "string to define if the option is a (p)ut or a (c)all"; + }; + + String 22 // name of parameter 11 + { + Text [ en-US ] = "knock in/out"; + }; + String 23 // description of parameter 11 + { + Text [ en-US ] = "string to define if the option is of type knock-(i)n or knock-(o)ut"; + }; + + String 24 // name of parameter 12 + { + Text [ en-US ] = "barrier_type"; + }; + String 25 // description of parameter 12 + { + Text [ en-US ] = "string to define whether the barrier is observed (c)ontinuously or only at the (e)nd/maturity"; + }; + + String 26 // name of parameter 13 + { + Text [ en-US ] = "greek"; + }; + String 27 // description of parameter 13 + { + Text [ en-US ] = "optional parameter, if left out then the function simply returns the option price; if set, the function returns price sensitivities (Greeks) to one of the input parameters; possible values are (d)elta, (g)amma, (t)heta, v(e)ga, v(o)lga, v(a)nna, (r)ho, rho(f)"; + }; + }; + + + + Resource PRICING_FUNCDESC_Opt_touch + { + String 1 // description + { + Text [ en-US ] = "pricing of a touch/no-touch option"; + }; + + String 2 // name of parameter 1 + { + Text [ en-US ] = "spot"; + }; + String 3 // description of parameter 1 + { + Text [ en-US ] = "price/value of the underlying asset"; + }; + + String 4 // name of parameter 2 + { + Text [ en-US ] = "vol"; + }; + String 5 // description of parameter 2 + { + Text [ en-US ] = "annual volatility of the underlying asset"; + }; + + String 6 // name of parameter 3 + { + Text [ en-US ] = "r"; + }; + String 7 // description of parameter 3 + { + Text [ en-US ] = "interest rate (continuously compounded)"; + }; + + String 8 // name of parameter 4 + { + Text [ en-US ] = "rf"; + }; + String 9 // description of parameter 4 + { + Text [ en-US ] = "foreign interest rate (continuously compounded)"; + }; + + String 10 // name of parameter 5 + { + Text [ en-US ] = "T"; + }; + String 11 // description of parameter 5 + { + Text [ en-US ] = "time to maturity of the option in years"; + }; + + String 12 // name of parameter 6 + { + Text [ en-US ] = "barrier_low"; + }; + String 13 // description of parameter 6 + { + Text [ en-US ] = "lower barrier (set to 0 for no lower barrier)"; + }; + + String 14 // name of parameter 7 + { + Text [ en-US ] = "barrier_up"; + }; + String 15 // description of parameter 7 + { + Text [ en-US ] = "upper barrier (set to 0 for no upper barrier)"; + }; + + String 16 // name of parameter 8 + { + Text [ en-US ] = "foreign/domestic"; + }; + String 17 // description of parameter 8 + { + Text [ en-US ] = "string to define if the option pays one unit of (d)omestic currency (cash or nothing) or (f)oreign currency (asset or nothing)"; + }; + + String 18 // name of parameter 9 + { + Text [ en-US ] = "knock in/out"; + }; + String 19 // description of parameter 9 + { + Text [ en-US ] = "string to define if the option is of type knock-(i)n (touch) or knock-(o)ut (no-touch)"; + }; + + String 20 // name of parameter 10 + { + Text [ en-US ] = "barrier_type"; + }; + String 21 // description of parameter 10 + { + Text [ en-US ] = "string to define whether the barrier is observed (c)ontinuously or only at the (e)nd/maturity"; + }; + + String 22 // name of parameter 11 + { + Text [ en-US ] = "greek"; + }; + String 23 // description of parameter 11 + { + Text [ en-US ] = "optional parameter, if left out then the function simply returns the option price; if set, the function returns price sensitivities (Greeks) to one of the input parameters; possible values are (d)elta, (g)amma, (t)heta, v(e)ga, v(o)lga, v(a)nna, (r)ho, rho(f)"; + }; + }; + + + Resource PRICING_FUNCDESC_Opt_prob_hit + { + String 1 // description + { + Text [ en-US ] = "probability that an asset hits a barrier assuming it follows dS/S = mu dt + vol dW"; + }; + + String 2 // name of parameter 1 + { + Text [ en-US ] = "spot"; + }; + String 3 // description of parameter 1 + { + Text [ en-US ] = "price/value S of the underlying asset"; + }; + + String 4 // name of parameter 2 + { + Text [ en-US ] = "vol"; + }; + String 5 // description of parameter 2 + { + Text [ en-US ] = "annual volatility of the underlying asset"; + }; + + String 6 // name of parameter 3 + { + Text [ en-US ] = "drift"; + }; + String 7 // description of parameter 3 + { + Text [ en-US ] = "parameter mu in dS/S = mu dt + vol dW"; + }; + + String 8 // name of parameter 4 + { + Text [ en-US ] = "T"; + }; + String 9 // description of parameter 4 + { + Text [ en-US ] = "time to maturity"; + }; + + String 10 // name of parameter 5 + { + Text [ en-US ] = "barrier_low"; + }; + String 11 // description of parameter 5 + { + Text [ en-US ] = "lower barrier (set to 0 for no lower barrier)"; + }; + + String 12 // name of parameter 6 + { + Text [ en-US ] = "barrier_up"; + }; + String 13 // description of parameter 6 + { + Text [ en-US ] = "upper barrier (set to 0 for no upper barrier)"; + }; + }; + + + Resource PRICING_FUNCDESC_Opt_prob_inmoney + { + String 1 // description + { + Text [ en-US ] = "probability that an asset will at maturity end up between two barrier levels, assuming it follows dS/S = mu dt + vol dW (if the last two optional parameters (strike, put/call) are specified, the probability of S_T in [strike, upper barrier] for a call and S_T in [lower barrier, strike] for a put will be returned)"; + }; + + String 2 // name of parameter 1 + { + Text [ en-US ] = "spot"; + }; + String 3 // description of parameter 1 + { + Text [ en-US ] = "price/value of the asset"; + }; + + String 4 // name of parameter 2 + { + Text [ en-US ] = "vol"; + }; + String 5 // description of parameter 2 + { + Text [ en-US ] = "annual volatility of the asset"; + }; + + String 6 // name of parameter 3 + { + Text [ en-US ] = "drift"; + }; + String 7 // description of parameter 3 + { + Text [ en-US ] = "parameter mu from dS/S = mu dt + vol dW"; + }; + + String 8 // name of parameter 4 + { + Text [ en-US ] = "T"; + }; + String 9 // description of parameter 4 + { + Text [ en-US ] = "time to maturity in years"; + }; + + String 10 // name of parameter 5 + { + Text [ en-US ] = "barrier_low"; + }; + String 11 // description of parameter 5 + { + Text [ en-US ] = "lower barrier (set to 0 for no lower barrier)"; + }; + + String 12 // name of parameter 6 + { + Text [ en-US ] = "barrier_up"; + }; + String 13 // description of parameter 6 + { + Text [ en-US ] = "upper barrier (set to 0 for no upper barrier)"; + }; + + String 14 // name of parameter 7 + { + Text [ en-US ] = "put/call"; + }; + String 15 // description of parameter 7 + { + Text [ en-US ] = "optional (p)ut/(c)all indicator"; + }; + + String 16 // name of parameter 8 + { + Text [ en-US ] = "strike"; + }; + String 17 // description of parameter 8 + { + Text [ en-US ] = "optional strike level"; + }; + }; + + + + +}; + + +// function names as accessible from cells +Resource RID_PRICING_FUNCTION_NAMES +{ + String PRICING_FUNCNAME_Opt_barrier + { + Text [ en-US ] = "OPT_BARRIER"; + }; + String PRICING_FUNCNAME_Opt_touch + { + Text [ en-US ] = "OPT_TOUCH"; + }; + String PRICING_FUNCNAME_Opt_prob_hit + { + Text [ en-US ] = "OPT_PROB_HIT"; + }; + String PRICING_FUNCNAME_Opt_prob_inmoney + { + Text [ en-US ] = "OPT_PROB_INMONEY"; + }; + +}; + +// for translating function names +Resource RID_PRICING_DEFFUNCTION_NAMES +{ + +}; |