Ankit3445/options_pricing

1#pragma once2 3#include <string>4#include <vector>5#include <nlohmann/json.hpp>6 7#include "Common.hpp"8 9struct StrategyLeg {10    double strike;11    double expiry;12    OptionType type;13    int quantity; // +1 long, -1 short14    double entry_price = 0.0;15};16 17struct StrategyDef {18    std::string name;19    std::string ticker;20    double spot = 0.0;21    double rate = 0.04;22    std::vector<StrategyLeg> legs;23};24 25class StrategyBuilder {26public:27    static StrategyDef covered_call(const std::string& ticker, double spot, double strike, double expiry);28    static StrategyDef protective_put(const std::string& ticker, double spot, double strike, double expiry);29    static StrategyDef straddle(const std::string& ticker, double spot, double strike, double expiry);30    static StrategyDef strangle(const std::string& ticker, double spot, double low_strike, double high_strike, double expiry);31    static StrategyDef bull_call_spread(const std::string& ticker, double spot, double low_strike, double high_strike, double expiry);32    static StrategyDef bear_put_spread(const std::string& ticker, double spot, double low_strike, double high_strike, double expiry);33    static StrategyDef butterfly(const std::string& ticker, double spot, double low, double mid, double high, double expiry);34    static StrategyDef iron_condor(const std::string& ticker, double spot, double put_low, double put_high, double call_low, double call_high, double expiry);35 36    static nlohmann::json pnl_at_expiry(const StrategyDef& strat, double spot_min, double spot_max, int steps);37    static Greeks greeks_at_spot(const StrategyDef& strat, double spot);38    static nlohmann::json to_json(const StrategyDef& strat);39    static double bs_price(double S, double K, double T, double r, double sigma, OptionType type);40    static Greeks bs_greeks(double S, double K, double T, double r, double sigma, OptionType type);41 42private:43    static double norm_cdf(double x);44};45