path: root/scaddins/source/pricing/pricing.src

/* -*- Mode: C++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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 *
 * 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
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 *   except in compliance with the License. You may obtain a copy of
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 */

#include "pricing.hrc"

// function and parameter description
Resource RID_PRICING_FUNCTION_DESCRIPTIONS
{
    Resource PRICING_FUNCDESC_OptBarrier
    {
        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_OptTouch
    {
        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_OptProbHit
    {
        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_OptProbInMoney
    {
        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

String PRICING_FUNCNAME_OptBarrier
{
    Text [ en-US ] = "OPT_BARRIER";
};

String PRICING_FUNCNAME_OptTouch
{
    Text [ en-US ] = "OPT_TOUCH";
};

String PRICING_FUNCNAME_OptProbHit
{
    Text [ en-US ] = "OPT_PROB_HIT";
};

String PRICING_FUNCNAME_OptProbInMoney
{
    Text [ en-US ] = "OPT_PROB_INMONEY";
};

// These were originally meant to be able to load Excel documents that for
// some time were stored with localized function names.
// This is not relevant to this add-in, so we only supply the same
// (English) function names again.
// see also: GetExcelName() or GetCompNames() or getCompatibilityNames()
StringArray PRICING_DEFFUNCNAME_OptBarrier
{
    ItemList =
    {
        < "OPT_BARRIER"; >;
    };
};

StringArray PRICING_DEFFUNCNAME_OptTouch
{
    ItemList =
    {
        < "OPT_TOUCH"; >;
    };
};

StringArray PRICING_DEFFUNCNAME_OptProbHit
{
    ItemList =
    {
        < "OPT_PROB_HIT"; >;
    };
};

StringArray PRICING_DEFFUNCNAME_OptProbInMoney
{
    ItemList =
    {
        < "OPT_PROB_INMONEY"; >;
    };
};

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